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Time-varying general dynamic factor models and the measurement of financial connectedness

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Time-varying general dynamic factor models and the measurement of financial connectedness

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A time-varying fiscal reaction function for Brazil

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A time-varying fiscal reaction function for Brazil

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Robust estimation of time-dependent precision matrix with application to the cryptocurrency market

Stolfi, Paola; Bernardi, Mauro; Vergni, Davide - In: Financial innovation : FIN 8 (2022), pp. 1-25

Most financial signals show time dependency that, combined with noisy and extreme events, poses serious problems in the parameter estimations of statistical models. Moreover, when addressing asset pricing, portfolio selection, and investment strategies, accurate estimates of the relationship...

Persistent link: https://www.econbiz.de/10013272673