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Results for Locally stationary dynamic factor models

Publications & Outputs

  1. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness

    Barigozzi, M., Hallin, M., Soccorsi, S. & von Sachs, R., 31/05/2021, In: Journal of Econometrics. 222, 1, p. 324-343 20 p.

    Research output: Contribution to journalJournal articlepeer-review