3 papers
math.ST2024
Gordon Growth Model with Vector Autoregressive Process
Battulga Gankhuu
In this study, we introduce a Gordon's dividend discount model, based on Vector Autoregressive Process (VAR). We provide two Propositions, which are related to generic Gordon growt…
q-fin.MF2022
Merton's Default Risk Model for Private Company
Battulga Gankhuu
Because the asset value of a private company does not observable except in quarterly reports, the structural model has not been developed for a private company. For this reason, th…
q-fin.GN2022
Parameter Estimation Methods of Required Rate of Return on Stock
Battulga Gankhuu
In this study, we introduce new estimation methods for the required rate of return of the stochastic dividend discount model (DDM) and the private company valuation model, which wi…