3 Key Publications

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  Koopman, S. and Lucas, A. (2008). A Non-Gaussian Panel Time series Model for Estimating and Decomposing Default Risk Journal of Business and Economic Statistics, 26(4):510--525.

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  Koopman, S., Lucas, A. and Monteiro, A. (2008). The Multi-state Latent Factor Intensity Model for Credit Rating Transitions Journal of Econometrics, 142:399--424.

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  van Dijk, B. and Paap, R. (2008). Explaining individual response using aggregated data Journal of Econometrics, 146(1):1--9.