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16-105/III - The Dynamic Factor Network Model with an Application to Global Credit-Risk


  • Authors
    Falk Bräuning, Federal Reserve Bank of Boston, United States; Siem Jan Koopman, VU University Amsterdam, The Netherlands
  • Publication date
    November 28, 2016
  • Keywords
    Network Analysis, Dynamic Factor Models, Blockmodels, Credit-Risk Spillovers
  • JEL
    C32, C58, G15