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~accessRights:"restricted"
~person:"Soccorsi, Stefano"
~person:"Werker, Bas J.M."
~subject:"Financial crisis"
~subject:"Volatility"
~subject:"volatility"
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Soccorsi, Stefano
Werker, Bas J.M.
Hallin, Marc
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Barigozzi, Matteo
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
2
Identification of global and local shocks in international financial markets via general dynamic factor models
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 462-494
Persistent link: https://www.econbiz.de/10012054816
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