Related papers: A Dynamic Factor Model for Level and Volatility
This paper consider a highly general dissemination model that keeps track of the stochastic evolution of the distribution of wealth over a set of agents. There are two types of events: (i) units of wealth externally arrive, and (ii) units…
This paper investigates the dynamics of risk transmission in cryptocurrency markets and proposes a novel framework for volatility forecasting. The framework uncovers two key empirical facts: the asymmetric amplification of volatility…
This paper considers a class of GMM estimators for general dynamic panel models, allowing for weakly exogenous covariates and cross sectional dependence due to spatial lags, unspecified common shocks and time-varying interactive effects. We…
Recent developments in financial time series focus on modeling volatility across multiple assets or indices in a multivariate framework, accounting for potential interactions such as spillover effects. Furthermore, the increasing…
In this paper, we consider the nonstationary matrix-valued time series with common stochastic trends. Unlike the traditional factor analysis which flattens matrix observations into vectors, we adopt a matrix factor model in order to fully…
We propose a new estimator for the Generalised Dynamic Factor Model (GDFM) that simplifies estimation by avoiding frequency-domain methods. Our key theoretical insight shows that under reasonable conditions the dynamic common component can…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
In this paper, we focus on exploiting the group structure for large-dimensional factor models, which captures the homogeneous effects of common factors on individuals within the same group. In view of the fact that datasets in…
Modeling the time-varying covariance structures of high-dimensional variables is critical across diverse scientific and industrial applications; however, existing approaches exhibit notable limitations in either modeling flexibility or…
Factor analysis is a classical data reduction technique that seeks a potentially lower number of unobserved variables that can account for the correlations among the observed variables. This paper presents an extension of the factor…
We propose a multivariate generative model to capture the complex dependence structure often encountered in business and financial data. Our model features heterogeneous and asymmetric tail dependence between all pairs of individual…
Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effects among volatilities - which we call volatility spillovers…
In dealing with high-dimensional data sets, factor models are often useful for dimension reduction. The estimation of factor models has been actively studied in various fields. In the first part of this paper, we present a new approach to…
We propose an opinion model based on agents located at the vertices of a regular lattice. Each agent has an independent opinion (among an arbitrary, but fixed, number of choices) and its own degree of conviction. The latter changes every…
Leadership in social groups is often a dynamic characteristic that emerges from interactions and opinion exchange. Empirical evidence suggests that individuals with strong opinions tend to gain influence, at the same time maintaining…
Large-scale matrix data has been widely discovered and continuously studied in various fields recently. Considering the multi-level factor structure and utilizing the matrix structure, we propose a multilevel matrix factor model with both…
Joint models for longitudinal and survival data have gained a lot of attention in recent years, with the development of myriad extensions to the basic model, including those which allow for multivariate longitudinal data, competing risks…
Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large loss, assuming that the market has also…
Many physical systems are well described on domains which are relatively large in some directions but relatively thin in other directions. In this scenario we typically expect the system to have emergent structures that vary slowly over the…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…