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Results for Locally stationary dynamic factor models
Publications & Outputs
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 Journal/Magazine
›
Journal article
›
peer-review