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11-042/2 - Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

  • Authors
    Drew Creal, University of Chicago, Booth School of Business; Bernd Schwaab, European Central Bank; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam
  • Publication date
    February 21, 2011
  • Keywords
    panel data, loss given default, default risk, dynamic beta density, dynamic ordered probit, dynamic factor model
  • JEL
    C32, G32