11
H index
14
i10 index
567
Citations
Alma Mater Studiorum - Università di Bologna | 11 H index 14 i10 index 567 Citations RESEARCH PRODUCTION: 22 Articles 59 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Matteo Barigozzi. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 4 |
Structural Change and Economic Dynamics | 2 |
Oxford Bulletin of Economics and Statistics | 2 |
Journal of Applied Econometrics | 2 |
Year | Title of citing document |
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2020 | Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19. Full description at Econpapers || Download paper |
2021 | Long-run stability of money demand and monetary policy: the case of Algeria. (2021). Boucekkine, Raouf ; LAKSACI, Mohammed ; Touati-Tliba, Mohamed. In: AMSE Working Papers. RePEc:aim:wpaimx:2104. Full description at Econpapers || Download paper |
2051 | Intellectual property rights and agricultural development: evidence from a worldwide index of IPRS in agriculture (1961-2018). (2051). Nuvolari, Alessandro ; Campi, Mercedes. In: Documentos de trabajo del Instituto Interdisciplinario de Economía Política (IIEP-BAIRES). RePEc:ake:iiepdt:202051. Full description at Econpapers || Download paper |
2020 | A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485. Full description at Econpapers || Download paper |
2020 | Unveiling the relation between herding and liquidity with trader lead-lag networks. (2019). Tantari, Daniele ; Lillo, Fabrizio ; Campajola, Carlo. In: Papers. RePEc:arx:papers:1909.10807. Full description at Econpapers || Download paper |
2020 | Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173. Full description at Econpapers || Download paper |
2020 | Disentangling shock diffusion on complex networks: Identification through graph planarity. (2020). Chakrabarti, Anindya S ; di Matteo, Tiziana ; Kumar, Sudarshan. In: Papers. RePEc:arx:papers:2001.01518. Full description at Econpapers || Download paper |
2020 | A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Huber, Florian ; Piribauer, Philipp ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2001.03935. Full description at Econpapers || Download paper |
2020 | Crisis contagion in the world trade network. (2020). Shepelyansky, Dima L ; Jos'e Lages, ; Coquid, C'Elestin. In: Papers. RePEc:arx:papers:2002.07100. Full description at Econpapers || Download paper |
2020 | Sequential monitoring for cointegrating regressions. (2020). Whitehouse, Emily ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2003.12182. Full description at Econpapers || Download paper |
2020 | Inference in Unbalanced Panel Data Models with Interactive Fixed Effects. (2020). Stammann, Amrei ; Czarnowske, Daniel. In: Papers. RePEc:arx:papers:2004.03414. Full description at Econpapers || Download paper |
2020 | Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458. Full description at Econpapers || Download paper |
2020 | Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103. Full description at Econpapers || Download paper |
2020 | Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2012.01888. Full description at Econpapers || Download paper |
2020 | FISS – A Factor-based Index of Systemic Stress in the Financial System. (2020). Varga, Katalin ; Szendrei, Tibor . In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:1:p:3-34. Full description at Econpapers || Download paper |
2020 | Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100. Full description at Econpapers || Download paper |
2020 | Text-Based Linkages and Local Risk Spillovers in the Equity Market. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20115. Full description at Econpapers || Download paper |
2020 | Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates. (2020). Schiman, Stefan ; Badinger, Harald. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8558. Full description at Econpapers || Download paper |
2020 | Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions. (2020). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2020_2023. Full description at Econpapers || Download paper |
2021 | Long-run stability of money demand and monetary policy: the case of Algeria. (2021). Boucekkine, Raouf ; Touati-Tliba, M ; Laksaci, M. In: LIDAM Discussion Papers IRES. RePEc:ctl:louvir:2021001. Full description at Econpapers || Download paper |
2020 | Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983. Full description at Econpapers || Download paper |
2021 | Two sample tests for high-dimensional autocovariances. (2021). Gates, Katheleen M ; Baek, Changryong ; Pipiras, Vladas ; Leinwand, Benjamin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301584. Full description at Econpapers || Download paper |
2020 | Exploiting ergodicity in forecasts of corporate profitability. (2020). Milaković, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302155. Full description at Econpapers || Download paper |
2020 | Implications of quantal response statistical equilibrium. (2020). Scharfenaker, Ellis. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301585. Full description at Econpapers || Download paper |
2020 | Tree networks to assess financial contagion. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Agosto, Arianna. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:349-366. Full description at Econpapers || Download paper |
2020 | Credit creation under multiple banking regulations: The impact of balance sheet diversity on money supply. (2020). Stanley, Eugene H ; Wang, Yougui ; Xing, Xiaoyun. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:720-735. Full description at Econpapers || Download paper |
2021 | Mortgage credit volumes and monetary policy after the Great Recession. (2021). Leu, Shawn ; Robertson, Mari L. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:483-500. Full description at Econpapers || Download paper |
2020 | Characteristics of the global copper raw materials and scrap trade systems and the policy impacts of Chinas import ban. (2020). Chen, Wei-Qiang ; Lim, Ming K ; Wang, Chao ; Hu, Xiaoqian. In: Ecological Economics. RePEc:eee:ecolec:v:172:y:2020:i:c:s0921800919314119. Full description at Econpapers || Download paper |
2020 | Nearest comoment estimation with unobserved factors. (2020). Boudt, Kris ; Verdonck, Tim ; Cornilly, Dries. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:381-397. Full description at Econpapers || Download paper |
2020 | Flexible copula models with dynamic dependence and application to financial data. (2020). Joe, Harry ; Krupskii, Pavel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:148-167. Full description at Econpapers || Download paper |
2020 | Research on Chinas financial systemic risk contagion under jump and heavy-tailed risk. (2020). Liu, Xi-Hua ; Gong, Xiao-Li ; Zhang, Wei ; Xiong, Xiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302283. Full description at Econpapers || Download paper |
2020 | Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis. (2020). de Simone, Francisco Nadal ; Jin, Xisong. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300486. Full description at Econpapers || Download paper |
2020 | What is the investment loss due to uncertainty?. (2020). Panagiotidis, Theodore ; Printzis, Panagiotis. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318302023. Full description at Econpapers || Download paper |
2020 | Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term. (2020). Oliveira, Fernando ; Gaglianone, Wagner ; de Oliveira, Fernando Nascimento. In: International Economics. RePEc:eee:inteco:v:163:y:2020:i:c:p:72-91. Full description at Econpapers || Download paper |
2020 | Macroeconomic forecasting using approximate factor models with outliers. (2020). Yen, Yu-Min ; Chou, Ray Yeutien. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:267-291. Full description at Econpapers || Download paper |
2021 | Realized volatility forecasting: Robustness to measurement errors. (2021). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57. Full description at Econpapers || Download paper |
2020 | Monetary policy and herd behavior: International evidence. (2020). Spyrou, Spyros ; Makrychoriti, Panagiota ; Krokida, Styliani-Iris. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:170:y:2020:i:c:p:386-417. Full description at Econpapers || Download paper |
2020 | Unconventional monetary policy in the Euro Area: Shadow rate and light effets. (2020). Lubochinsky, Catherine ; Boucher, Christophe ; Ouerk, Salima. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:65:y:2020:i:c:s0164070420301452. Full description at Econpapers || Download paper |
2020 | The aggregation of multiplex networks based on the similarity of networks. (2020). Li, Liqiang ; Liu, Jing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s037843711931684x. Full description at Econpapers || Download paper |
2020 | Structure of trade flow networks for world commodities. (2020). Lee, Jaewoo ; Ho, Tae ; Nobi, Ashadun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:556:y:2020:i:c:s0378437120303848. Full description at Econpapers || Download paper |
2020 | The empirical properties of euro area M3, 1980-2017. (2020). Carcel, Hector ; Villanova, Hector Carcel ; Jung, Alexander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:37-49. Full description at Econpapers || Download paper |
2020 | From me to you: Measuring connectedness between Eurozone financial institutions. (2020). Angelini, Eliana ; Foglia, Matteo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919301886. Full description at Econpapers || Download paper |
2020 | Information network modeling for U.S. banking systemic risk. (2020). Cerchiello, Paola ; Nicola, Giancarlo ; Aste, Tomaso. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:107563. Full description at Econpapers || Download paper |
2020 | Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. (2020). Valls Pereira, Pedro ; Hallin, Marc ; Trucios, Carlos Cesar ; Hotta, Luiz Koodi. In: Textos para discussão. RePEc:fgv:eesptd:521. Full description at Econpapers || Download paper |
2020 | Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters. (2020). Storti, Giuseppe ; la Rocca, Michele ; Coretto, Pietro. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:64-:d:338390. Full description at Econpapers || Download paper |
2020 | Interdependence of sectors of economic activities for world countries from the reduced Google matrix analysis of WTO data. (2020). Lages, Jose ; Coquide, Celestin ; Shepelyansky, Dima L. In: Post-Print. RePEc:hal:journl:hal-02132487. Full description at Econpapers || Download paper |
2021 | Long-run stability of money demand and monetary policy: the case of Algeria. (2021). Boucekkine, Raouf ; Touati-Tliba, Mohamed ; LAKSACI, Mohammed . In: Working Papers. RePEc:hal:wpaper:halshs-03120699. Full description at Econpapers || Download paper |
2020 | One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area. (2020). Mann, Samuel ; Duarte, Joao B ; Corsetti, Giancarlo. In: IMF Working Papers. RePEc:imf:imfwpa:2020/108. Full description at Econpapers || Download paper |
2020 | Quantile Factor Models. (2020). Dolado, Juan J ; Chen, Liang ; Gonzalo, Jesus. In: IZA Discussion Papers. RePEc:iza:izadps:dp13870. Full description at Econpapers || Download paper |
2020 | Decomposition of the Gender Wage Gap using the LASSO Estimator. (2020). Böheim, René ; Stollinger, Philipp ; Boheim, Rene. In: Economics working papers. RePEc:jku:econwp:2020-03. Full description at Econpapers || Download paper |
2020 | Estimating Non-stationary Common Factors: Implications for Risk Sharing. (2020). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9875-9. Full description at Econpapers || Download paper |
2020 | An analysis of systemic risk in worldwide economic sentiment indices. (2020). Yanovski, Boyan ; Luu, Duc Thi ; Lux, Thomas. In: Empirica. RePEc:kap:empiri:v:47:y:2020:i:4:d:10.1007_s10663-019-09464-3. Full description at Econpapers || Download paper |
2020 | Forecasting Stock Returns with Large Dimensional Factor Models. (2020). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Working Papers. RePEc:lan:wpaper:305661169. Full description at Econpapers || Download paper |
2020 | Market dynamics and integration of the financial markets of the NAFTA countries. (2020). Ruiz-Porras, Antonio ; Anguiano, Javier Emmanuel . In: Lecturas de EconomÃa. RePEc:lde:journl:y:2020:i:92:p:67-100. Full description at Econpapers || Download paper |
2020 | Bridging nestedness and economic complexity in multilayer world trade networks. (2020). Zhang, Yi-Cheng ; Zeng, AN ; Ren, Zhuo-Ming. In: Palgrave Communications. RePEc:pal:palcom:v:7:y:2020:i:1:d:10.1057_s41599-020-00651-3. Full description at Econpapers || Download paper |
2020 | Network VAR models to Measure Financial Contagion. (2020). Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0178. Full description at Econpapers || Download paper |
2020 | A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series. (2020). Ahelegbey, Daniel Felix ; Carvalho, Luis ; Kolaczyk, Eric D. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0181. Full description at Econpapers || Download paper |
2020 | Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0188. Full description at Econpapers || Download paper |
2020 | Modeling Turning Points In Global Equity Market. (2020). Ahelegbey, Daniel Felix ; Billio, Monica ; Casarin, Roberto. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0195. Full description at Econpapers || Download paper |
2020 | Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness. (2020). Tiwari, Aviral ; GUPTA, RANGAN ; Gabauer, David ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202059. Full description at Econpapers || Download paper |
2021 | Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning. (2021). Gabauer, David ; Balcilar, Mehmet ; Pierdzioch, Christian ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202111. Full description at Econpapers || Download paper |
2020 | “Credit view†on monetary policy in Russia. (2020). Pestova, Anna. In: Applied Econometrics. RePEc:ris:apltrx:0388. Full description at Econpapers || Download paper |
2020 | Change point detection for nonparametric regression under strongly mixing process. (2020). Yang, Qing ; Zhang, YI ; Li, Yu-Ning. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:4:d:10.1007_s00362-020-01196-y. Full description at Econpapers || Download paper |
2020 | Intellectual property rights and agricultural development: Evidence from a worldwide index of IPRs in agriculture (1961-2018). (2020). Nuvolari, Alessandro ; Campi, Mercedes. In: LEM Papers Series. RePEc:ssa:lemwps:2020/06. Full description at Econpapers || Download paper |
2020 | Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates. (2020). Schiman, Stefan ; Badinger, Harald. In: WIFO Working Papers. RePEc:wfo:wpaper:y:2020:i:608. Full description at Econpapers || Download paper |
2020 | Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates. (2020). Schiman, Stefan ; Badinger, Harald. In: Department of Economics Working Papers. RePEc:wiw:wiwwuw:wuwp300. Full description at Econpapers || Download paper |
2020 | Not just a work permit: EU citizenship and the consumption behaviour of documented and undocumented immigrants. (2020). Kaya, Ezgi ; Adamopoulou, Effrosyni. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:53:y:2020:i:4:p:1552-1598. Full description at Econpapers || Download paper |
2020 | Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange?. (2020). Vladimirov, Evgenii V ; Eratalay, Hakan M. In: Economics of Transition and Institutional Change. RePEc:wly:ectrin:v:28:y:2020:i:4:p:581-620. Full description at Econpapers || Download paper |
2020 | A multiâ€country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Pfarrhofer, Michael ; Huber, Florian ; Piribauer, Philipp. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:911-926. Full description at Econpapers || Download paper |
2020 | A replication of A quasi-maximum likelihood approach for large, approximate dynamic factor models (Review of Economics and Statistics, 2012). (2020). Venetis, Ioannis ; Lucchetti, Riccardo. In: Economics Discussion Papers. RePEc:zbw:ifwedp:20205. Full description at Econpapers || Download paper |
2020 | A comment on the dynamic factor model with dynamic factors. (2020). Ruiz, Esther ; Poncela, Pilar. In: Economics Discussion Papers. RePEc:zbw:ifwedp:20207. Full description at Econpapers || Download paper |
2020 | A replication of A quasi-maximum likelihood approach for large, approximate dynamic factor models (Review of Economics and Statistics, 2012). (2020). Venetis, Ioannis ; Lucchetti, Riccardo (Jack). In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:202014. Full description at Econpapers || Download paper |
2021 | Does one size fit all in the Euro Area? Some counterfactual evidence. (2019). Gasteiger, Emanuel ; Destefanis, Sergio ; Fragetta, Matteo. In: ECON WPS - Vienna University of Technology Working Papers in Economic Theory and Policy. RePEc:zbw:tuweco:052019. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 1 |
2020 | Time-varying general dynamic factor models and the measurement of financial connectedness.(2020) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2019 | Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness.(2019) In: Working Papers ECARES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2010 | Multinetwork of international trade: A commodity-specific analysis In: Papers. [Full Text][Citation analysis] | paper | 61 |
2009 | The Multi-Network of International Trade: A Commodity-Specific Analysis.(2009) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 61 | paper | |
2016 | Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series In: Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series.(2015) In: Working Papers ECARES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2020 | Sequential testing for structural stability in approximate factor models In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Sequential testing for structural stability in approximate factor models.(2020) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2018 | Sequential testing for structural stability in approximate factor models.(2018) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2018 | Determining the dimension of factor structures in non-stationary large datasets In: Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Determining the dimension of factor structures in non-stationary large datasets.(2018) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2019 | Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals In: Papers. [Full Text][Citation analysis] | paper | 5 |
2018 | Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals.(2018) In: Working Papers ECARES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2020 | Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2020 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm In: Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models In: Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Nets: Network Estimation for Time Series In: Working Papers. [Full Text][Citation analysis] | paper | 36 |
2018 | Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
2013 | Nets: Network estimation for time series.(2013) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
2019 | NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
2011 | Nonâ€Fundamentalness in Structural Econometric Models: A Review In: International Statistical Review. [Citation analysis] | article | 31 |
2017 | A network analysis of the volatility of high dimensional financial series In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 16 |
2017 | A network analysis of the volatility of high-dimensionalfinancial series.(2017) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2014 | Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 65 |
2012 | Do Euro area countries respond asymmetrically to the common monetary policy?.(2012) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | paper | |
2013 | Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?.(2013) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 65 | paper | |
2018 | On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 7 |
2018 | On the stability of euro area money demand and its implications for monetary policy.(2018) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2013 | On the Stability of Euro Area Money Demand and its Implications for Monetary Policy.(2013) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2009 | Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 3 |
2011 | Immigrants legal status, permanence in the destination country and the distribution of consumption expenditure.(2011) In: Applied Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2009 | A Robust Criterion for Determining the Number of Factors in Approximate Factor Models In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 11 |
2014 | Dynamic Factor Models, Cointegration and Error Correction Mechanisms In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 7 |
2016 | Dynamic Factor Models, Cointegration, and Error Correction Mechanisms.(2016) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2014 | Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 23 |
2015 | Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2015) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2016 | Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2016) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
2015 | Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 22 |
2017 | Generalized dynamic factor models and volatilities: estimation and forecasting.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
2017 | Generalized dynamic factor models and volatilities estimation and forecasting.(2017) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2017 | Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
2010 | On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 5 |
2008 | A robust criterion for determining the number of static factors in approximate factor models. In: Working Paper Series. [Full Text][Citation analysis] | paper | 17 |
2007 | A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models.(2007) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2008 | A review of nonfundamentalness and identification in structural VAR models In: Working Paper Series. [Full Text][Citation analysis] | paper | 11 |
2007 | A Review of Nonfundamentalness and Identification in Structural VAR Models.(2007) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2009 | The distribution of households consumption-expenditure budget shares In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2012 | The distribution of household consumption-expenditure budget shares.(2012) In: Structural Change and Economic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2009 | Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors In: Working Paper Series. [Full Text][Citation analysis] | paper | 9 |
2014 | Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics. [Full Text][Citation analysis] | article | 12 |
2014 | Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2018 | Simultaneous multiple change-point and factor analysis for high-dimensional time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
2018 | Simultaneous multiple change-point and factor analysis for high-dimensional time series.(2018) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2011 | Identifying the community structure of the international-trade multi-network In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 35 |
2010 | Identifying the Community Structure of the International-Trade Multi Network.(2010) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
2010 | Improved penalization for determining the number of factors in approximate factor models In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 126 |
2013 | The common component of firm growth In: Structural Change and Economic Dynamics. [Full Text][Citation analysis] | article | 3 |
2016 | Identifying the independent sources of consumption variation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
2012 | Identifying the Independent Sources of Consumption Variation.(2012) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2016 | Identifying the Independent Sources of Consumption Variation.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2017 | Spatio-temporal patterns of the international merger and acquisition network In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
2017 | Spatio-Temporal Patterns of the International Merger and Acquisition Network.(2017) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2019 | Identification of global and local shocks in international financial markets via general dynamic factor models In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 7 |
2019 | Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models.(2019) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2018 | Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
2019 | Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions.(2019) In: The Journal of International Trade & Economic Development. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2008 | The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households In: Papers on Economics and Evolution. [Citation analysis] | paper | 0 |
2008 | The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households.(2008) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2011 | The Rank of a System of Engel Curves. How Many Common Factors? In: Papers on Economics and Evolution. [Full Text][Citation analysis] | paper | 0 |
2011 | Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model In: European Economy - Economic Papers 2008 - 2015. [Full Text][Citation analysis] | paper | 8 |
2016 | Non-Stationary Dynamic Factor Models for Large Datasets In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 10 |
2017 | Common Factors, Trends, and Cycles in Large Datasets In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 2 |
2018 | Do National Account Statistics Underestimate US Real Output Growth? In: FEDS Notes. [Full Text][Citation analysis] | paper | 1 |
2010 | Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 7 |
2020 | Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors In: Econometrics. [Full Text][Citation analysis] | article | 1 |
2010 | On the distributional properties of household consumption expenditures: the case of Italy In: Empirical Economics. [Full Text][Citation analysis] | article | 8 |
2007 | On the distributional properties of household consumption expenditures. The case of Italy..(2007) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2007 | On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters In: LEM Papers Series. [Full Text][Citation analysis] | paper | 2 |
2009 | ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS.(2009) In: Advances in Complex Systems (ACS). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2016 | Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ? In: LEM Papers Series. [Full Text][Citation analysis] | paper | 0 |
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