A network analysis of the volatility of high dimensional financial series

By Matteo Barigozzi, Marc Hallin. 2017

81 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6083c2ff1ef202f8452754ed3c24e80a3a7bd1db

Citations in the corpus

• Simultaneous multiple change-point and factor analysis for high-dimensional time series (2016, unknown): “…data (Stock and Watson, 2009) or retail price index data (Groen et al., 2013)), neuroimaging (e.g., measurements of brain activity (Schröder and Ombao, 2016; Barnett and Onnela, 2016)) and biology (e.g., transcriptomics data (Omranian et al., 2015) or Hi-C data matrices (Brault et al., 2016)).”
• NETS: Network estimation for time series (2019, unknown): “There is a large literature documenting evidence of a factor structure in volatility (see, among others, Barigozzi et al., 2014; Barigozzi & Hallin, 2016).”