Arbeitspapier

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

to connected objects

This paper has been accepted for publication in the 'Review of Economics and Statistics'.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.

Language: Englisch

Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 11-042/2/DSF16

Classification: Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

Subject: panel data
loss given default
default risk
dynamic beta density
dynamic ordered probit
dynamic factor model
Kreditrisiko
Faktorenanalyse
Panelforschung
Schätzung
USA

Event: Geistige Schöpfung

(who): Creal, Drew
Schwaab, Bernd
Koopman, Siem Jan
Lucas, Andre

Event: Veröffentlichung

(who): Tinbergen Institute

(where): Amsterdam and Rotterdam

(when): 2011

Handle: http://hdl.handle.net/10419/86923

Last update: 10.03.2025, 11:43 AM CET

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Show original at data provider

Object type

Arbeitspapier

Associated

Creal, Drew
Schwaab, Bernd
Koopman, Siem Jan
Lucas, Andre
Tinbergen Institute

Time of origin

2011

Other Objects (12)

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

Arbeitspapier

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

Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics

Arbeitspapier

Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics

Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models

Arbeitspapier

Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models

Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects

Arbeitspapier

Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects

Missing Observations in Observation-Driven Time Series Models

Arbeitspapier

Missing Observations in Observation-Driven Time Series Models

Information Theoretic Optimality of Observation Driven Time Series Models

Arbeitspapier

Information Theoretic Optimality of Observation Driven Time Series Models

A General Framework for Observation Driven Time-Varying Parameter Models

Arbeitspapier

A General Framework for Observation Driven Time-Varying Parameter Models

A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors

Arbeitspapier

A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors

Forecasting economic time series using score-driven dynamic models with mixed-data sampling

Arbeitspapier

Forecasting economic time series using score-driven dynamic models with mixed-data sampling

Business and Default Cycles for Credit Risk

Arbeitspapier

Business and Default Cycles for Credit Risk

Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

Arbeitspapier

Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Arbeitspapier

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

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

Arbeitspapier

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

Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics

Arbeitspapier

Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics

Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models

Arbeitspapier

Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models

Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects

Arbeitspapier

Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects

Missing Observations in Observation-Driven Time Series Models

Arbeitspapier

Missing Observations in Observation-Driven Time Series Models

Information Theoretic Optimality of Observation Driven Time Series Models

Arbeitspapier

Information Theoretic Optimality of Observation Driven Time Series Models

A General Framework for Observation Driven Time-Varying Parameter Models

Arbeitspapier

A General Framework for Observation Driven Time-Varying Parameter Models

A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors

Arbeitspapier

A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors

Forecasting economic time series using score-driven dynamic models with mixed-data sampling

Arbeitspapier

Forecasting economic time series using score-driven dynamic models with mixed-data sampling

Business and Default Cycles for Credit Risk

Arbeitspapier

Business and Default Cycles for Credit Risk

Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

Arbeitspapier

Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Arbeitspapier

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

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

Arbeitspapier

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

Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics

Arbeitspapier

Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics

Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models

Arbeitspapier

Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models

Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects

Arbeitspapier

Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects

Missing Observations in Observation-Driven Time Series Models

Arbeitspapier

Missing Observations in Observation-Driven Time Series Models

Information Theoretic Optimality of Observation Driven Time Series Models

Arbeitspapier

Information Theoretic Optimality of Observation Driven Time Series Models

A General Framework for Observation Driven Time-Varying Parameter Models

Arbeitspapier

A General Framework for Observation Driven Time-Varying Parameter Models

A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors

Arbeitspapier

A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors

Forecasting economic time series using score-driven dynamic models with mixed-data sampling

Arbeitspapier

Forecasting economic time series using score-driven dynamic models with mixed-data sampling

Business and Default Cycles for Credit Risk

Arbeitspapier

Business and Default Cycles for Credit Risk

Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

Arbeitspapier

Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Arbeitspapier

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Cultural heritage institutions wishing to register will find more information here.

Fields marked * need to be filled in.

Username*

Please enter your username

Email*

Please enter your email address

Please do not fill this field

First name

Last name

Password*

Please enter your password

Confirm password*

Please enter the same password

I have read the terms of use and the privacy policy for the collection of personal data and accept them. *

This field is required.

I would like to subscribe to the newsletter of the Deutsche Digitale Bibliothek. See newsletter subscription info.

Account created

Your "My DDB" account has been successfully created. Before you can log in to your account, you must click the confirmation link in the message we just sent to the email address you provided.