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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
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Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 216 (2020) 1, pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
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Simultaneous multiple change-point and factor analysis for high-dimensional time series
Barigozzi, Matteo; Cho, Haeran; Fryzlewicz, Piotr - In: Journal of econometrics 206 (2018) 1, pp. 187-225
Persistent link: https://www.econbiz.de/10012110376
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Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 201 (2017) 2, pp. 307-321
Persistent link: https://www.econbiz.de/10011920497