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scientific article; zbMATH DE number 7307124 - MaRDI portal

scientific article; zbMATH DE number 7307124

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Publication:5149190

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zbMath1476.62221MaRDI QIDQ5149190

Marc Hallin, Matteo Barigozzi

Publication date: 6 February 2021

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

volatility dynamic factor models systemic risk sparse vector auto-regression models Standard \& Poor's 100 index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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