On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Renault, Olivier & Scaillet, Olivier, 2004. "On the way to recovery: A nonparametric bias free estimation of recovery rate densities," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2915-2931, December.
References listed on IDEAS
- Hardle, Wolfgang & Linton, Oliver, 1986.
"Applied nonparametric methods,"
Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339,
Elsevier.
- Oliver LINTON, "undated". "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9204, Catholique de Louvain - Institut de statistique.
- HÄRDLE, Wolfgang, 1992. "Applied nonparametric methods," LIDAM Discussion Papers CORE 1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
- Härdle, W.K., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9206, Tilburg - Center for Economic Research.
- Pagan,Adrian & Ullah,Aman, 1999.
"Nonparametric Econometrics,"
Cambridge Books,
Cambridge University Press, number 9780521355643, January.
- Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521586115, January.
- Fan, Yanqin, 1994. "Testing the Goodness of Fit of a Parametric Density Function by Kernel Method," Econometric Theory, Cambridge University Press, vol. 10(2), pages 316-356, June.
- Olivier SCAILLET, 2001.
"Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels,"
LIDAM Discussion Papers IRES
2001017, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- O. Scaillet, 2001. "Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels," THEMA Working Papers 2001-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Song Chen, 2000. "Probability Density Function Estimation Using Gamma Kernels," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(3), pages 471-480, September.
- Bouezmarni, Taoufik & Scaillet, Olivier, 2005. "Consistency Of Asymmetric Kernel Density Estimators And Smoothed Histograms With Application To Income Data," Econometric Theory, Cambridge University Press, vol. 21(2), pages 390-412, April.
- Chen, Song Xi, 1999. "Beta kernel estimators for density functions," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 131-145, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bouezmarni, Taoufik & Rombouts, Jeroen V.K., 2010.
"Nonparametric density estimation for positive time series,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 245-261, February.
- Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006. "Nonparametric Density Estimation for Positive Time Series," Cahiers de recherche 06-09, HEC Montréal, Institut d'économie appliquée.
- BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V. K., 2006. "Nonparametric density estimation for positive time series," LIDAM Discussion Papers CORE 2006085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Fernandes, Marcelo & Grammig, Joachim, 2005.
"Nonparametric specification tests for conditional duration models,"
Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
- Fernandes, M. & Grammig, J., 2000. "Non-Parametric Specification Tests for Conditional Duration Models," Economics Working Papers eco2000/4, European University Institute.
- Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
- Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 502, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Hagmann, M. & Scaillet, O., 2007.
"Local multiplicative bias correction for asymmetric kernel density estimators,"
Journal of Econometrics, Elsevier, vol. 141(1), pages 213-249, November.
- Matthias HAGMANN & Olivier SCAILLET, 2003. "Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators," FAME Research Paper Series rp91, International Center for Financial Asset Management and Engineering.
- Matthias Hagmann & Olivier Scaillet, 2004. "Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators," Royal Economic Society Annual Conference 2004 25, Royal Economic Society.
- Abadir, Karim M. & Lawford, Steve, 2004. "Optimal asymmetric kernels," Economics Letters, Elsevier, vol. 83(1), pages 61-68, April.
- Charpentier, Arthur & Flachaire, Emmanuel, 2015.
"Log-Transform Kernel Density Estimation Of Income Distribution,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 141-159, Mars-Juin.
- Arthur Charpentier & Emmanuel Flachaire, 2014. "Log-Transform Kernel Density Estimation of Income Distribution," Working Papers halshs-01115988, HAL.
- Arthur Charpentier & Emmanuel Flachaire, 2015. "Log-Transform Kernel Density Estimation of Income Distribution," AMSE Working Papers 1506, Aix-Marseille School of Economics, France.
- Arthur Charpentier & Emmanuel Flachaire, 2015. "Log-Transform Kernel Density Estimation of Income Distribution," Post-Print hal-01457340, HAL.
- Hirukawa, Masayuki, 2010. "Nonparametric multiplicative bias correction for kernel-type density estimation on the unit interval," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 473-495, February.
- Ouimet, Frédéric & Tolosana-Delgado, Raimon, 2022. "Asymptotic properties of Dirichlet kernel density estimators," Journal of Multivariate Analysis, Elsevier, vol. 187(C).
- Funke, Benedikt & Hirukawa, Masayuki, 2019. "Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach," Econometrics and Statistics, Elsevier, vol. 9(C), pages 156-170.
- Malec, Peter & Schienle, Melanie, 2014.
"Nonparametric kernel density estimation near the boundary,"
Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 57-76.
- Malec, Peter & Schienle, Melanie, 2012. "Nonparametric Kernel density estimation near the boundary," SFB 649 Discussion Papers 2012-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ouimet, Frédéric, 2021. "Asymptotic properties of Bernstein estimators on the simplex," Journal of Multivariate Analysis, Elsevier, vol. 185(C).
- Nikolay Gospodinov & Masayuki Hirukawa, 2008. "Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels," Working Papers 08011, Concordia University, Department of Economics, revised Dec 2008.
- Ouimet, Frédéric, 2022. "A symmetric matrix-variate normal local approximation for the Wishart distribution and some applications," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Mohammadi, Faezeh & Izadi, Muhyiddin & Lai, Chin-Diew, 2016. "On testing whether burn-in is required under the long-run average cost," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 217-224.
- Pierre Lafaye de Micheaux & Frédéric Ouimet, 2021. "A Study of Seven Asymmetric Kernels for the Estimation of Cumulative Distribution Functions," Mathematics, MDPI, vol. 9(20), pages 1-35, October.
- Mahdi Salehi & Andriette Bekker & Mohammad Arashi, 2023. "A Semi-parametric Density Estimation with Application in Clustering," Journal of Classification, Springer;The Classification Society, vol. 40(1), pages 52-78, April.
- McCrary, Justin, 2008. "Manipulation of the running variable in the regression discontinuity design: A density test," Journal of Econometrics, Elsevier, vol. 142(2), pages 698-714, February.
- N. Balakrishna & Hira L. Koul, 2017. "Varying kernel marginal density estimator for a positive time series," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(3), pages 531-552, July.
- Marchant, Carolina & Bertin, Karine & Leiva, Víctor & Saulo, Helton, 2013. "Generalized Birnbaum–Saunders kernel density estimators and an analysis of financial data," Computational Statistics & Data Analysis, Elsevier, vol. 63(C), pages 1-15.
- Ané, Thierry & Métais, Carole, 2009. "The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 134-150, June.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
More about this item
Keywords
default; recovery; kernel estimation; credit risk;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2005-04-16 (Finance)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fam:rpseri:rp83. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal (email available below). General contact details of provider: https://edirc.repec.org/data/fameech.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.