recently developed approach for partitioning the nodes of a network (graph). A network with N nodes is associated to the set of … context of financial time series. Then, searching for network communities allows one to identify groups of nodes (and then …

We propose the dynamic network effect (DNE) model for the study of high-dimensional multivariate time series data … of latent stochastic network effects. The parameter-driven, nonlinear state-space model requires simulation …-section dimension is large and the network is dense. An empirical application on the spread of the COVID-19 pandemic through …