Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
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- Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
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- Affinito, Massimiliano & Franco Pozzolo, Alberto, 2017.
"The interbank network across the global financial crisis: Evidence from Italy,"
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- Massimiliano Affinito & Alberto Franco Pozzolo, 2017. "The interbank network across the global financial crisis: evidence from Italy," Temi di discussione (Economic working papers) 1118, Bank of Italy, Economic Research and International Relations Area.
- Barigozzi, Matteo & Hallin, Marc, 2020.
"Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals,"
Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals," Papers 1811.10045, arXiv.org, revised Jul 2019.
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More about this item
Keywords
Time Series; Dynamic Factor Models; Network Analysis; Volatility; Systemic Risk;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2016-04-16 (Econometric Time Series)
- NEP-NET-2016-04-09 (Network Economics)
- NEP-NET-2016-04-16 (Network Economics)
Statistics
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