Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness

Matteo Barigozzi, Marc Hallin, Stefano Soccorsi and R. von Sachs

No 2019024, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Date: 2019-01-01
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Related works:
Journal Article: Time-varying general dynamic factor models and the measurement of financial connectedness (2021)
Working Paper: Time-varying general dynamic factor models and the measurement of financial connectedness (2020)
Working Paper: Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness (2019)
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