Time-varying general dynamic factor models and the measurement of financial connectedness
Year of publication: |
[2019]
|
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Authors: | Barigozzi, Matteo ; Hallin, Marc ; Soccorsi, Stefano |
Publisher: |
Lancester : Lancaster University Management School |
Subject: | Dynamic factor models | volatility | financial crises | contagion | financial connectedness | high-dimensional time series | panel data | time-varying models | local stationarity | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Finanzkrise | Financial crisis | Finanzmarkt | Financial market | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Panel | Panel study |
Extent: | 1 Online-Ressource (circa 49 Seiten) Illustrationen |
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Series: | Economics working paper series. - Lancaster : Lancaster University Management School, ZDB-ID 3009784-8. - Vol. 2019/006 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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