A network analysis of the volatility of high dimensional financial series

DOI10.1111/rssc.12177MaRDI QIDQ6645780

Matteo Barigozzi, Marc Hallin

Publication date: 29 November 2024

Published in: Journal of the Royal Statistical Society. Series C. Applied Statistics (Search for Journal in Brave)

zbMATH Keywords

volatilitydynamic factor modelssystemic risksparse vector auto-regression modelsStandard \& Poor's 100 index

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Related Items (1)

High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling

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