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20182023
most citedCredit risk with asymmetric information and a switching default threshold

1 citations · 1 across the 2 of their papers we have counts for

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q-fin.MF2018

Asymptotic Filter Behavior for High-Frequency Expert Opinions in a Market with Gaussian Drift

Abdelali Gabih, Hakam Kondakji, Ralf Wunderlich

This paper investigates a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from returns and exper…