Belvisi, Martin; Pianeti, Riccardo; Urga, Giovanni - In: Dynamic factor models, (pp. 317-360). 2016
We propose a novel dynamic factor model to characterise comovements between returns on securities from different asset classes from different countries. We apply a global-class-country latent factor model and allow time-varying loadings. We are able to separate contagion (asset exposure driven)...