This paper develops a new class of multivariate models for large-dimensional time-varying covariance matrices, called Cholesky generalized autoregressive score (GAS) models, which are based on the Cholesky decomposition of the covariance matrix and assume that the parameters are score-driven....

This article confirms the direct positive effect of digital finance on technological innovation and explores its regional heterogeneity. It further demonstrates the mediation effect from the fund supply side and product demand side of innovation, proving that digital finance stimulates...

We introduce a new time-varying parameter spatial matrix autoregressive model that integrates matrix-valued time series, heterogeneous spillover effects, outlier robustness, and time-varying parameters in one unified framework. The model allows for separate dynamic spatial spillover effects...

This study examines how maturity mismatched behavior influence firms’ digital orientation, and the moderate effect of digital financial inclusion (DFI) on maturity mismatched behavior. We use a sample of over 3,000 Chinese listed firms for the period 2011-2020, we provide new evidence on the...