Estimating time-varying networks for high-dimensional time series

Jia Chen, Degui Li, Yuning Li, Oliver Linton

Year of publication:	14 December 2022 ; Version: December 13, 2022
Authors:	Chen, Jia ; Li, Degui ; Li, Yuning ; Linton, Oliver
Publisher:	[Cambridge] : University of Cambridge, Faculty of Economics
Subject:	CLIME \| factor model \| Granger causality \| LASSO \| local linear smoothing \| partial correlation \| time-varying network \| VAR \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Kausalanalyse \| Causality analysis \| VAR-Modell \| VAR model \| Korrelation \| Correlation \| Faktorenanalyse \| Factor analysis \| Schätzung \| Estimation

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