A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk

S.J. Koopman, A. Lucas, R. Daniels

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Number of pages29
Publication statusPublished - 2005

Publication series

NameTI Discussion Paper
No.05/060-4

Cite this

Koopman, S. J., Lucas, A., & Daniels, R. (2005). A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk. (TI Discussion Paper; No. 05/060-4). Amsterdam: Tinbergen Instituut (TI).
Koopman, S.J. ; Lucas, A. ; Daniels, R. / A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk. Amsterdam : Tinbergen Instituut (TI), 2005. (TI Discussion Paper; 05/060-4).
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Koopman, SJ, Lucas, A & Daniels, R 2005 'A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk' TI Discussion Paper, no. 05/060-4, Tinbergen Instituut (TI), Amsterdam.

A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk. / Koopman, S.J.; Lucas, A.; Daniels, R.

Amsterdam : Tinbergen Instituut (TI), 2005. (TI Discussion Paper; No. 05/060-4).

Research output: Working paperProfessional

TY - UNPB

T1 - A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk

AU - Koopman, S.J.

AU - Lucas, A.

AU - Daniels, R.

PY - 2005

Y1 - 2005

M3 - Working paper

T3 - TI Discussion Paper

BT - A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk

PB - Tinbergen Instituut (TI)

CY - Amsterdam

ER -

Koopman SJ, Lucas A, Daniels R. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk. Amsterdam: Tinbergen Instituut (TI). 2005. (TI Discussion Paper; 05/060-4).