Time-varying general dynamic factor models and the measurement of financial connectedness
Matteo Barigozzi, Marc Hallin, Stefano Soccorsi
| Year of publication: |
[2019]
|
|---|---|
| Authors: | Barigozzi, Matteo ; Hallin, Marc ; Soccorsi, Stefano |
| Publisher: |
Brussels, Belgium : ECARES |
| Subject: | Dynamic factor models | volatility | financial crises | contagion | financial connectedness | high-dimensional time series | panel data | time-varying models | local stationarity | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Finanzkrise | Financial crisis | Schätzung | Estimation | Theorie | Theory | Finanzmarkt | Financial market | Panel | Panel study | Faktorenanalyse | Factor analysis |
freely available
| Extent: | 1 Online-Ressource (circa 51 Seiten) |
|---|---|
| Series: | ECARES working paper. - Brussels, ZDB-ID 2771005-1. - Vol. 2019, 09 (February 2019) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Other identifiers: | hdl:2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/283963 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012064799