Abstract

http://ssrn.com/abstract=1765764
 
 

References (37)



 
 

Citations (3)



 


 



Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk


Drew D. Creal


University of Chicago - Booth School of Business - Econometrics and Statistics

Bernd Schwaab


European Central Bank (ECB) - Directorate General Research

Siem Jan Koopman


VU University Amsterdam; Tinbergen Institute

Andre Lucas


VU University Amsterdam - Faculty of Economics and Business; Tinbergen Institute

February 11, 2011

Tinbergen Institute Discussion Paper 11-042/DSF 16

Abstract:     
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 missing observations, and may exhibit common dynamics and cross-sectional dependence due to shared exposure to dynamic latent factors. The distinguishing feature of our model is that the likelihood function is known in closed form and need not be obtained by means of simulation, thus enabling straightforward parameter estimation by standard maximum likelihood. We use the new mixed-measurement framework for the signal extraction and forecasting of macro, credit, and loss given default risk conditions for U.S. Moody's-rated firms from January 1982 until March 2010.

Number of Pages in PDF File: 43

Keywords: panel data, loss given default, default risk, dynamic beta density, dynamic ordered probit, dynamic factor model

JEL Classification: C32, G32

working papers series





Download This Paper

Date posted: February 22, 2011  

Suggested Citation

Creal, Drew D. and Schwaab, Bernd and Koopman, Siem Jan and Lucas, Andre, Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (February 11, 2011). Tinbergen Institute Discussion Paper 11-042/DSF 16. Available at SSRN: http://ssrn.com/abstract=1765764 or http://dx.doi.org/10.2139/ssrn.1765764

Contact Information

Drew D. Creal (Contact Author)
University of Chicago - Booth School of Business - Econometrics and Statistics ( email )
Chicago, IL 60637
United States
Bernd Schwaab
European Central Bank (ECB) - Directorate General Research ( email )
Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany
Siem Jan Koopman
VU University Amsterdam ( email )
De Boelelaan 1105
1081 HV Amsterdam
Netherlands
+31205986019 (Phone)
HOME PAGE: http://personal.vu.nl/s.j.koopman
Tinbergen Institute ( email )
Gustav Mahlerplein 117
1082 MS Amsterdam
Netherlands
HOME PAGE: http://personal.vu.nl/s.j.koopman
Andre Lucas
VU University Amsterdam - Faculty of Economics and Business ( email )
De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands
+31 20 598 6039 (Phone)
+31 20 598 6020 (Fax)
HOME PAGE: http://www.feweb.vu.nl
Tinbergen Institute
Roetersstraat 31
Amsterdam, 1018 WB
Netherlands
HOME PAGE: http://www.tinbergen.nl
Feedback to SSRN


Paper statistics
Abstract Views: 420
Downloads: 86
Download Rank: 158,206
References:  37
Citations:  3

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.328 seconds