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stat.ME2025
Factor-Driven Network Informed Restricted Vector Autoregression
Brendan Martin, Mihai Cucuringu, Alessandra Luati +1
High-dimensional financial time series often exhibit complex dependence relations driven by both common market structures and latent connections among assets. To capture these char…
stat.ME2024
NIRVAR: Network Informed Restricted Vector Autoregression
Brendan Martin, Francesco Sanna Passino, Mihai Cucuringu +1
High-dimensional panels of time series often arise in finance and macroeconomics, where co-movements within groups of panel components occur. Extracting these groupings from the da…