16-105/III - The Dynamic Factor Network Model with an Application to Global Credit-Risk

• Authors
  Falk Bräuning, Federal Reserve Bank of Boston, United States; Siem Jan Koopman, VU University Amsterdam, The Netherlands
• Publication date
  November 28, 2016

• Keywords
  Network Analysis, Dynamic Factor Models, Blockmodels, Credit-Risk Spillovers
• JEL
  C32, C58, G15