Estimating Time-Varying Networks for High-Dimensional Time Series

Chen, Jia orcid.org/0000-0002-2791-2486, Li, Degui orcid.org/0000-0001-6802-308X, Li, Yu-Ning orcid.org/0000-0003-1473-0146 et al. (1 more author) (2025) Estimating Time-Varying Networks for High-Dimensional Time Series. Journal of Econometrics. 105941. ISSN 0304-4076

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Item Type: Article
Authors/Creators:
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© 2024 The Author(s)

Keywords: factor model,Granger causality,partial correlation,time-varying network,VAR
Dates:
  • Accepted: 14 May 2024
  • Published: 16 May 2025
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > The York Management School
The University of York > Faculty of Sciences (York) > Mathematics (York)
The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 20 May 2024 16:20
Last Modified: 21 May 2025 14:10
Published Version: https://doi.org/10.1016/j.jeconom.2024.105941
Status: Published
Refereed: Yes
Identification Number: 10.1016/j.jeconom.2024.105941
Open Archives Initiative ID (OAI ID):

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Filename: 1-s2.0-S0304407624002926-main.pdf

Description: Estimating time-varying networks for high-dimensional time series

Licence: CC-BY 2.5

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