Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK

By Katalin Varga, Tibor Szendrei

Published 2024-04-03

Everscope rating

1533.6

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Non-stationary dynamic factor model. Problem types: Time Series Forecasting, Risk Management.

arXiv:2404.01451 · Paper rankings

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