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A nonparametric dynamic network via multivariate quantile autoregressions

Cai, Zongwu; Liu, Xiyuan - 2022

Persistent link: https://www.econbiz.de/10013283992

Estimation of grouped time-varying network vector autoregression models

Li, Degui; Peng, Bin; Tang, Songqiao; Wu, Weibiao - 2024

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A structural model of dense network formation

Angelo, Mele - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 3, pp. 825-850

Persistent link: https://www.econbiz.de/10011778815

NETS : Network Estimation for Time Series

Barigozzi, Matteo; Brownlees, Christian - 2018

We model a large panel of time series as a VAR where the autoregressive matrices and the inverse covariance matrix of the system innovations are assumed to be sparse. The system has a network representation in terms of a directed graph representing predictive Granger relations and an undirected...

Persistent link: https://www.econbiz.de/10014158917

Nets : network estimation for time series

Barigozzi, Matteo; Brownlees, Christian - 2013

Persistent link: https://www.econbiz.de/10010374236

Smooth marginalized particle filters for dynamic network effect models

Wang, Dieter; Schaumburg, Julia - 2020

. Cross-sectional dependencies between units are captured via one or multiple observed networks and a low-dimensional vector …-based filtering and estimation, for which we suggest to use the smooth marginalized particle filter (SMPF). In a Monte Carlo … international travel networks illustrates the usefulness of our method. …

Persistent link: https://www.econbiz.de/10012214446

Networks, dynamic factors, and the volatility analysis of high-dimensional financial series

Barigozzi, Matteo; Hallin, Marc - 2015

Persistent link: https://www.econbiz.de/10011622692

Detecting granular time series in large panels

Brownlees, Christian; Mesters, Geert - In: Journal of econometrics 220 (2021) 2, pp. 544-561

Persistent link: https://www.econbiz.de/10012618565

High-dimensional sparse financial networks through a regularised regression model

Bernardi, Mauro; Costola, Michele - 2019

We propose a shrinkage and selection methodology specifically designed for network inference using high dimensional data through a regularised linear regression model with Spike-and-Slab prior on the parameters. The approach extends the case where the error terms are heteroscedastic, by adding...

Persistent link: https://www.econbiz.de/10011976930

Empirics of dynamic network in actor-oriented model : panel estimation of the parameters of co-evolution of network and behavior effects in business relations

Lakshmanasamy, T. - In: South Asian journal of management : SAJM 24 (2017) 2, pp. 136-168

Persistent link: https://www.econbiz.de/10011772289