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~language:"eng"
~language:"und"
~person:"Lucas, André"
~person:"Meier, Martin"
~subject:"non-Gaussian state space models"
~type:"book"
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non-Gaussian state space models
Zustandsraummodell
15
awareness
15
State space model
14
Theorie
14
type-space
13
unawareness
13
Theory
12
agreement
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common prior
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speculative trade
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credit portfolio models
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frailty-correlated defaults
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interactive epistemology
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equilibrium
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incomplete information
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state space methods
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importance sampling
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systematic default risk
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credit risk
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international default risk cycles
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multivariate unobserved component models
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English
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Lucas, André
Meier, Martin
Koopman, Siem Jan
5
Daniels, Robert
4
Bidarkota, Prasad
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Daniels, Robert J.
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Tinbergen Institute
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Tinbergen Instituut
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de Nederlandsche Bank
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A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert
-
2005
propose a non-Gaussian multivariate state
space
model that deals with all of this issues simultaneously. The model is …
Persistent link: https://www.econbiz.de/10011343953
Saved in:
2
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert
-
Tinbergen Instituut
-
2005
) missing observations. We propose a non-Gaussian multivariate state
space
model that deals with all of this issues …
Persistent link: https://www.econbiz.de/10011256141
Saved in:
3
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert
-
2005
propose a non-Gaussian multivariate state
space
model that deals with all of this issues simultaneously. The model is …
Persistent link: https://www.econbiz.de/10010325605
Saved in:
4
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert
-
Tinbergen Institute
-
2005
propose a non-Gaussian multivariate state
space
model that deals with all of this issues simultaneously. The model is …
Persistent link: https://www.econbiz.de/10005137260
Saved in:
5
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert J.
-
de Nederlandsche Bank
-
2005
, and (v) missing observations. We propose a non-Gaussian ultivariate state
space
model that deals with all of these issues …
Persistent link: https://www.econbiz.de/10005106684
Saved in:
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