Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - In: International Journal of Forecasting 30 (2014) 3, pp. 741-758
We introduce a new international model for the systematic distress risk of financial institutions from the US, the European Union, and the Asia-Pacific region. Our proposed dynamic factor model can be represented as a nonlinear, non-Gaussian state space model with parameters that we estimate...