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08-029/4 - Forecasting Cross-Sections of Frailty-Correlated Default


  • Authors
    Siem Jan Koopman, VU University Amsterdam; André Lucas, VU University Amsterdam; Bernd Schwaab, VU University Amsterdam
  • Publication date
    March 20, 2008
  • Keywords
    Non-Gaussian Panel Data; Common Factors; Unobserved Components; Forecasting Conditional Default Probabilities
  • JEL
    C33; G21