Dynamic factor models with macro, frailty and industry effects for US default counts : the credit crisis of 2008

Siem Jan Koopman, André Lucas and Bernd Schwaab

Year of publication:	2012
Authors:	Koopman, Siem Jan ; Lucas, André ; Schwaab, Bernd
Publisher:	Frankfurt am Main : European Central Bank
Subject:	USA \| United States \| Finanzkrise \| Financial crisis \| Kreditrisiko \| Credit risk \| Faktorenanalyse \| Factor analysis

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