A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Year of publication: |
2005-11
|
---|---|
Authors: | Koopman, Siem Jan ; Lucas, André ; Daniels, Robert J. |
Institutions: | de Nederlandsche Bank |
Subject: | credit risk | multivariate unobserved component models | importance sampling | non-Gaussian state space models |
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