par Barigozzi, Matteo;Hallin, Marc
Publication Publié, 2015-10
Travail de recherche/Working paper
Titre:
  • Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
Auteur:Barigozzi, Matteo; Hallin, Marc
Statut de publication:Publié, 2015-10
series:ECARES Working Papers, ECARES 2015-34
Sujet CREF:Economie
Volumes/pages:34 p.
Mots-clés:Time Series
Dynamic Factor Models
Network Analysis
Volatility
Systemic Risk
Langue:Anglais
Identificateurs:RePEc:eca:wpaper:2013/218748

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