Zobrazeno 1 - 2
of 2
pro vyhledávání: '"dynamic beta density"'
Publikováno v:
Review of Economics and Statistics, 96(5), 898-915. MIT Press Journals
Creal, D, Schwaab, B, Koopman, S J & André, L 2014, ' Observation driven mixed-measurement dynamic factor models with an application to credit risk ', Review of Economics and Statistics, vol. 96, no. 5, pp. 898-915 . https://doi.org/10.1162/REST_a_00393
Creal, D D, Schwaab, B, Koopman, S J & Lucas, A 2014, ' Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk ', Review of Economics and Statistics, vol. 96, no. 5, pp. 898-915 . https://doi.org/10.1162/REST_a_00393
Creal, D, Schwaab, B, Koopman, S J & André, L 2014, ' Observation driven mixed-measurement dynamic factor models with an application to credit risk ', Review of Economics and Statistics, vol. 96, no. 5, pp. 898-915 . https://doi.org/10.1162/REST_a_00393
Creal, D D, Schwaab, B, Koopman, S J & Lucas, A 2014, ' Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk ', Review of Economics and Statistics, vol. 96, no. 5, pp. 898-915 . https://doi.org/10.1162/REST_a_00393
This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of famil
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f6ef1b59ceb8fd9b76335dc6ce354df1
https://hdl.handle.net/1871.1/5a417706-df29-4f7f-ae23-1f310abcd295
https://hdl.handle.net/1871.1/5a417706-df29-4f7f-ae23-1f310abcd295
Publikováno v:
Vrije Universiteit Amsterdam
Creal, D D, Schwaab, B, Koopman, S J & Lucas, A 2011 ' Observation driven mixed-measurement dynamic factor models with an application to credit risk ' DSF Discussion Papers, no. 11-042/2/DSF16, Duisenberg School of Finance, Amsterdam . < http://www.tinbergen.nl/discussionpaper/?paper=1733 >
Creal, D D, Schwaab, B, Koopman, S J & Lucas, A 2011 ' Observation driven mixed-measurement dynamic factor models with an application to credit risk ' DSF Discussion Papers, no. 11-042/2/DSF16, Duisenberg School of Finance, Amsterdam . < http://www.tinbergen.nl/discussionpaper/?paper=1733 >
We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be observed at different time frequencies, may have
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::161dd0f73b2be39fccbc90f806bcc9f0
https://hdl.handle.net/10419/86923
https://hdl.handle.net/10419/86923
