Time-varying general dynamic factor models and the measurement of financial connectedness
Matteo Barigozzi, Marc Hallin, Stefano Soccorsi, Rainer von Sachs
| Year of publication: |
2021
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|---|---|
| Authors: | Barigozzi, Matteo ; Hallin, Marc ; Soccorsi, Stefano ; Sachs, Rainer von |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,2, p. 324-343
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| Subject: | Financial connectedness | Locally stationary dynamic factor models | Volatility | Schätzung | Estimation | Theorie | Theory | Volatilität | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.07.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619427