Observation-driven mixed-measurement dynamic factor models with an application to credit risk

Review of Economics and Statistics

Volumn 96, Issue 5, 2014, Pages 898-915

  Creal, Drew ^a   Schwaab, Bernd ^b   Koopman, Siem Jan ^c,d   Lucas, André ^c,d,e  

^a UNIVERSITY OF CHICAGO   (United States)

^b EUROPEAN CENTRAL BANK   (Germany)

^c VU UNIVERSITY AMSTERDAM   (Netherlands)

^d TINBERGEN INSTITUTE   (Netherlands)

^e Duisenberg School of Finance   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84941588248     PISSN: 00346535     EISSN: 15309142     Source Type: Journal    
DOI: 10.1162/REST_a_00393     Document Type: Article

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