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