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) (Accepted: 2024) Estimating Time-Varying Networks for High-Dimensional Time Series. Journal of Econometrics. ISSN 0304-4076 (In Press)

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Item Type: Article
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This is an author-produced version of the published paper. Uploaded in accordance with the University’s Research Publications and Open Access policy.

Keywords: factor model,Granger causality,partial correlation,time-varying network,VAR
Dates:
  • Accepted: 15 May 2024
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: 16 Oct 2024 19:57
Status: In Press
Refereed: Yes
Open Archives Initiative ID (OAI ID):

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