A non-Gaussian panel time series model for estimating and decomposing default risk

Journal of Business and Economic Statistics

Volumn 26, Issue 4, 2008, Pages 510-525

  Koopman, Siem Jan ^a,b   Lucas, André ^a,b  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b TINBERGEN INSTITUTE   (Netherlands)

Author keywords

Credit risk; Importance sampling; Industry effects; Multivariate unobserved component model; Non Gaussian state space model

Indexed keywords

EID: 54949096181     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500108000000051     Document Type: Article

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