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