Essays in Applied Financial Econometrics
<p>This dissertation studies applied econometric problems in volatility estimation and CDS pricing. The first chapter studies estimation of loss given default from CDS spreads for U.S. corporates. This paper combines a term structure model of credit default swaps (CDS) with weak-identificati...
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2015
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| Online Access: | http://hdl.handle.net/10161/9837 |