Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008
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- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2012. "Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008," Working Paper Series 1459, European Central Bank.
References listed on IDEAS
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More about this item
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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