High-dimensional VARs with common factors (Q2688656)
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scientific article; zbMATH DE number 7659416
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| default for all languages | No label defined |
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| English | High-dimensional VARs with common factors |
scientific article; zbMATH DE number 7659416 |
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High-dimensional VARs with common factors (English)
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3 March 2023
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common factors
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connectedness
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cross-sectional dependence
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investor fear
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high-dimensional VAR
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nuclear-norm regularization
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