Identification of global and local shocks in international financial markets via general dynamic factor models
Matteo Barigozzi, Marc Hallin, Stefano Soccorsi
| Year of publication: |
2019
|
|---|---|
| Authors: | Barigozzi, Matteo ; Hallin, Marc ; Soccorsi, Stefano |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 3, p. 462-494
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| Subject: | Dynamic factor models | volatility | financial crises | contagion | interdependence | Theorie | Theory | Finanzkrise | Financial crisis | Volatilität | Volatility | Schock | Shock | Faktorenanalyse | Factor analysis | Internationaler Finanzmarkt | International financial market | Welt | World | Finanzmarkt | Financial market | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054816