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Universiteit van Amsterdam, Korteweg-de Vries Institute for Mathematics
Contingent Capital Pricing, Accounting Noise, Coco Triggers, Coco Design, Risk Taking Incentives, Investment Incentives
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accounting noise, Coco design, Coco triggers, Contingent capital pricing, Investment incentives, risk taking incentives
Diffusion coefficient, Dispersion coefficient, Gaussian likelihood, Gibbs sampler, Independent inverse Gamma prior, Inverse Gamma Markov chain prior, MCMC, Metropolis-within-Gibbs, Nonparametric Bayesian estimation, Pseudo-likelihood, Stochastic differential equation, Volatility
Forward Filtering Backward Simulation, Gibbs sampler, High frequency data, Inverse Gamma Markov chain, Microstructure noise, State-space model, Volatility
Diffusion Coefficient, Gaussian Likelihood, Non-Parametric Bayesian Estimation, Pseudo-likelihood, Posterior Contraction Rate, Stochastic Differential Equation, Volatility
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