Generalized dynamic factor models and volatilities: recovering the market volatility shocks

By Matteo Barigozzi, Marc Hallin. 2016

66 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/99d3dc8ad0cf22b144a145d9a83b279a88c24e01

Citations in the corpus

• NETS: Network estimation for time series (2019, unknown): “On the other hand, the contributions of Billio et al. (2012) and Diebold and Yılmaz (2014), among others, propose network definitions that measure the overall degree of dependence between series.”