Time-varying general dynamic factor models and the measurement of financial connectedness
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 | Volatilität | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Faktorenanalyse | Factor analysis | Finanzmarkt | Financial market | Stochastischer Prozess | Stochastic process |
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