Macroeconomic variables and default risk : an application of the FAVAR model
Year of publication: |
2014
|
---|---|
Authors: | Guo, Liang ; Bruneau, Catherine |
Published in: |
Revue d'économie politique. - Paris : Dalloz, ISSN 0373-2630, ZDB-ID 241473-9. - Vol. 124.2014, 5, p. 817-857
|
Subject: | macroeconomic factors | dynamic factor model | credit risk | Kreditrisiko | Credit risk | Theorie | Theory | Wirkungsanalyse | Impact assessment | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Makroökonomik | Macroeconomics | VAR-Modell | VAR model | Wirtschaftsindikator | Economic indicator |
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