Koopman, S., Lucas, A., and Monteiro, A. (2008b). The multi-state latent factor intensity model for credit rating transitions. Journal of Econometrics, 142:399-424.
3 Key Publications
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Koopman, S. and Lucas, A. (2008). A non-gaussian panel time series model for estimating and decomposing default risk. Journal of Business and Economic Statistics, 26(4):510-525. -
van Dijk, B. and Paap, R. (2008). Explaining individual response using aggregated data. Journal of Econometrics, 146(1):1-9.