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

par Barigozzi, Matteo;Hallin, Marc ;Soccorsi, Stefano
Publication Publié, 2017-03

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Titre:	Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
Auteur:	Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano
Statut de publication:	Publié, 2017-03
series:	ECARES Working Papers, ECARES 2017-10
Sujet CREF:	Economie
Sujet JEL:	Multiple or Simultaneous Equation Models: Time-Series Models
	Financial Economics: General
	Econometric Modeling: General
	Multiple or Simultaneous Equation Models: General
	International Financial Markets
Volumes/pages:	45 p.
Mots-clés:	dynamic factor models
	volatility
	financial crises
	contagion
	interdependence
Langue:	Anglais
Identificateurs:	RePEc:eca:wpaper:2013/248676