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Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008. (2012). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan.
In: Working Paper Series.
RePEc:ecb:ecbwps:20121459.

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Cited: 37

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Cites: 11

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Cocites: 71

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  1. An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121.

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  2. Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA.
    In: Papers.
    RePEc:arx:papers:2304.11586.

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  3. Modelling clusters of corporate defaults: Regime?switching models significantly reduce the contagion source. (2022). Maruotti, Antonello ; Bulla, Jan ; Berentsen, Geir D ; Stove, Brd.
    In: Journal of the Royal Statistical Society Series C.
    RePEc:bla:jorssc:v:71:y:2022:i:3:p:698-722.

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  4. Local logit regression for loan recovery rate. (2021). GAO, Jiti ; Sopitpongstorn, Nithi ; Fenech, Jean-Pierre ; Silvapulle, Param.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000510.

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  5. Systematic credit risk in securitised mortgage portfolios. (2021). Scheule, Harald ; Rosch, Daniel ; Lee, Yongwoong.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302582.

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  6. Does societal trust make firms more trustworthy?. (2020). Shi, Lisi ; Gu, Yan ; Yen, Huang-Ping ; Ho, Kung-Cheng.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:42:y:2020:i:c:s1566014118302401.

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  7. Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution. (2019). Parisi, Laura ; Giudici, Paolo.
    In: Risks.
    RePEc:gam:jrisks:v:7:y:2019:i:1:p:3-:d:195087.

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  8. Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20192225.

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  9. Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego.
    In: BIS Working Papers.
    RePEc:bis:biswps:766.

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  10. Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem.
    In: Staff Working Papers.
    RePEc:bca:bocawp:19-16.

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  11. Unobservable country bond premia and fragmentation. (2018). De Santis, Roberto A.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:82:y:2018:i:c:p:1-25.

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  12. Exploring the sources of default clustering. (2018). Azizpour, S ; Schwenkler, G ; Giesecke, K.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:129:y:2018:i:1:p:154-183.

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  13. Measuring bank contagion in Europe using binary spatial regression models. (2017). Giudici, Paolo ; Calabrese, Raffaella ; Elkink, Johan A.
    In: Journal of the Operational Research Society.
    RePEc:pal:jorsoc:v:68:y:2017:i:12:d:10.1057_s41274-017-0189-4.

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  14. Debt correlations in the wake of the financial crisis: What are appropriate default correlations for structured products?. (2017). Nickerson, Jordan ; Griffin, John M.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:3:p:454-474.

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  15. Bail in or Bail out? The Atlante example from a systemic risk perspective. (2016). Parisi, Laura ; Giudici, Paolo.
    In: DEM Working Papers Series.
    RePEc:pav:demwpp:demwp0124.

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  16. CoRisk: measuring systemic risk through default probability contagion. (2016). Parisi, Laura ; Giudici, Paolo.
    In: DEM Working Papers Series.
    RePEc:pav:demwpp:demwp0116.

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  17. Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme. (2016). Schwaab, Bernd ; Eser, Fabian.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:119:y:2016:i:1:p:147-167.

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  18. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2016). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663.

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  19. It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events. (2016). Trueck, Stefan ; Truong, Chi ; Truck, Stefan.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:253:y:2016:i:3:p:856-868.

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  20. Global Credit Risk: World, Country and Industry Factors. (2015). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; André Lucas, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150029.

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  21. Modeling Systemic Risk with Correlated Stochastic Processes. (2015). Parisi, Laura ; Giudici, Paolo.
    In: DEM Working Papers Series.
    RePEc:pav:demwpp:demwp0110.

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  22. Modeling financial sector joint tail risk in the euro area. (2015). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0308.

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  23. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2015). Kristensen, Dennis ; Cavaliere, Giuseppe ; Agosto, Arianna ; Rahbek, Anders.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-11.

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  24. A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area. (2014). Schwaab, Bernd ; Mesters, Geert ; Koopman, Siem Jan.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140071.

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  25. Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics. (2014). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130063.

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  26. Measuring Bank Contagion in Europe Using Binary Spatial Regression Models. (2014). Giudici, Paolo ; Calabrese, Raffaella ; Elkink, Johan A..
    In: DEM Working Papers Series.
    RePEc:pav:demwpp:demwp0096.

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  27. Nowcasting and forecasting global financial sector stress and credit market dislocation. (2014). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:3:p:741-758.

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  28. A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors. (2014). Koop, Gary ; Gefang, Deborah ; Campolieti, Michele.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:41:y:2014:i:c:p:257-275.

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  29. Similarity and Clustering of Banks: Application to the Credit Exposures of the Czech Banking Sector. (2014). Plašil, Miroslav ; Komarkova, Zlatuse ; Hausenblas, Václav ; Brechler, Josef ; Plasil, Miroslav .
    In: Research and Policy Notes.
    RePEc:cnb:rpnrpn:2014/04.

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  30. Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy. (2013). Sant'Anna, Pedro ; Sant'Anna, Pedro H. C., .
    In: MPRA Paper.
    RePEc:pra:mprapa:48376.

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  31. A new look at variation in employment growth in Canada. (2013). Koop, Gary ; Gefang, Deborah ; Campolieti, Michele.
    In: Working Papers.
    RePEc:lan:wpaper:26145565.

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  32. CDO Surfaces Dynamics. (2013). Härdle, Wolfgang ; Choros-Tomczyk, Barbara ; Choro-Tomczyk, Barbara ; Hardle, Wolfgang Karl ; Okhrin, Ostap.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-032.

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  33. Assessing asset purchases within the ECB’s securities markets programme. (2013). Schwaab, Bernd ; Eser, Fabian.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131587.

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  34. Bank dependence and investment during the financial crisis. (2012). Vermeulen, Philip.
    In: Research Bulletin.
    RePEc:ecb:ecbrbu:2012:0017:3.

    Full description at Econpapers || Download paper

  35. Conditional probabilities and contagion measures for euro area sovereign default risk. (2012). Schwaab, Bernd.
    In: Research Bulletin.
    RePEc:ecb:ecbrbu:2012:0017:2.

    Full description at Econpapers || Download paper

  36. The impact of the Securities Markets Programme. (2012). Manganelli, Simone.
    In: Research Bulletin.
    RePEc:ecb:ecbrbu:2012:0017:1.

    Full description at Econpapers || Download paper

References

References cited by this document

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  2. Azizpour, S., K. Giesecke, and G. Schwenkler (2010). Exploring the sources of default clustering. Stanford University working paper series.
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    RePEc:mmf:mmfc04:64.

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  51. Panel Data Tests of PPP. A Critical Overview. (2004). cerrato, mario ; Caporale, Guglielmo Maria.
    In: Economics Series.
    RePEc:ihs:ihsesp:159.

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  52. Structural changes, common stochastic trends and unit roots in panel data. (2004). Carrion-i-Silvestre, Josep ; Bai, Jushan.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:345.

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  53. Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis. (2004). Justiniano, Alejandro.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:148.

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  54. Macroeconomic Forecasting with Independent Component Analysis. (2004). Yau, Ruey .
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:741.

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  55. Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence. (2004). Sul, Donggyu ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1438.

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  56. Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. (2004). Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1331.

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  57. Stochastic Trends, Demographics and Demand Systems. (2004). Attfield, Clifford.
    In: Bristol Economics Discussion Papers.
    RePEc:bri:uobdis:04/563.

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  58. Unobserved Heterogeneity in Panel Time Series Models. (2004). Smith, Ronald ; Fuertes, Ana-Maria ; Coakley, Jerry.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0403.

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  59. Common and idiosyncratic shocks to labor productivity across sectors and countries: Is climate relevant?. (2003). Gutierrez, Luciano.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0311008.

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  60. Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison. (2003). Gutierrez, Luciano.
    In: Econometrics.
    RePEc:wpa:wuwpem:0310004.

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  61. The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting. (2003). Reichlin, Lucrezia ; Lippi, Marco ; Hallin, Marc ; Forni, Mario.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2003/13.

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  62. Have National Business Cycles Become More Synchronized?. (2003). Bordo, Michael ; Helbling, Thomas .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10130.

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  63. Forecasting in large macroeconomic panels using Bayesian Model Averaging. (2003). Potter, Simon ; Koop, Gary.
    In: Staff Reports.
    RePEc:fip:fednsr:163.

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  64. Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence. (2003). Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0305.

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  65. Covariance structure analysis of regional development data: an application to municipality development assessment. (2002). Cziraky, Dario ; Malekovic, Sanja ; Polic, Mario ; Jurlin, Kresimir ; Puljiz, Jaksa.
    In: ERSA conference papers.
    RePEc:wiw:wiwrsa:ersa02p469.

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  66. Testing for a Unit Root in Panels with Dynamic Factors. (2002). Perron, Benoit ; Moon, Hyungsik.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-18.

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  67. Factor Models in Large Cross-Sections of Time Series. (2002). Reichlin, Lucrezia.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3285.

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  68. Generalized Reduced Rank Regression. (2002). .
    In: Working Papers.
    RePEc:bro:econwp:2002-02.

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  69. A PANIC Attack on Unit Roots and Cointegration. (2001). Ng, Serena ; Bai, Jushan.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:519.

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  70. A New Look at Panel Testing of Stationarity and the PPP Hypothesis. (2001). Ng, Serena ; Bai, Jushan.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:518.

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