Observation driven mixed-measurement dynamic factor models with an application to credit risk

D.D. Creal, B. Schwaab, S.J. Koopman, A. Lucas

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherDuisenberg School of Finance
Number of pages43
Publication statusPublished - 2011

Publication series

NameDSF Discussion Papers
No.11-042/2/DSF16

Cite this