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Validating dsge models with SVARs and high-dimensional dynamic factor models

Lippi, Marco - In: Econometric theory 39 (2023) 6, pp. 1273-1291

Persistent link: https://www.econbiz.de/10014465374

Generalized dynamic factor models and volatilities : recovering the market volatility shocks

Barigozzi, Matteo; Hallin, Marc - In: The econometrics journal 19 (2016) 1, pp. 33-60

Persistent link: https://www.econbiz.de/10011487491

Identification of global and national shocks in international financial markets via general dynamic factor models

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2017

Persistent link: https://www.econbiz.de/10011673310

Identification of global and local shocks in international financial markets via general dynamic factor models

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - In: Journal of financial econometrics 17 (2019) 3, pp. 462-494

Persistent link: https://www.econbiz.de/10012054816

Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models

Barigozzi, Matteo - 2017

We employ a two-stage general dynamic factor model to analyze co-movements between returns and between volatilities of stocks from the US, European, and Japanese financial markets. We find two common shocks driving the dynamics of volatilities – one global shock and one US-European shock –...

Persistent link: https://www.econbiz.de/10012960732