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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo, Hallin, Marc, Soccorsi, Stefano, von Sachs, RainerJournal:
Journal of Econometrics
DOI:
10.1016/j.jeconom.2020.07.004
Date:
August, 2020
File:
PDF, 2.73 MB
2020