Identification of global and local shocks in international financial markets via general dynamic factor models
Year of publication: |
2019
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Authors: | Barigozzi, Matteo ; Hallin, Marc ; Soccorsi, Stefano |
Subject: | Dynamic factor models | volatility | financial crises | contagion | interdependence | Volatilität | Volatility | Schock | Shock | Finanzkrise | Financial crisis | Internationaler Finanzmarkt | International financial market | Theorie | Theory | Welt | World | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Ansteckungseffekt | Contagion effect |
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