Tsay, Ruey S.; Ando, Tomohiro - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3345-3365
The effects of recent subprime financial crisis on the US stock market are analyzed. To investigate this problem, a Bayesian panel data analysis to identify common factors that explain the movement of stock returns when the dimension is high is developed. For high-dimensional panel data, it is...