Matteo Barigozzi : Citation Profile

Are you Matteo Barigozzi?

Alma Mater Studiorum - Università di Bologna (80% share)
Centre de Recherche en Économie et Statistique (CREST) (20% share)

15

H index

22

i10 index

941

Citations

RESEARCH PRODUCTION:

29

Articles

76

Papers

RESEARCH ACTIVITY:

   17 years (2007 - 2024). See details.
   Cites by year: 55
   Journals where Matteo Barigozzi has often published
   Relations with other researchers
   Recent citing documents: 122.    Total self citations: 55 (5.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba354
   Updated: 2024-11-08    RAS profile: 2024-10-11    
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Relations with other researchers

Works with:

Hallin, Marc (14)

Soccorsi, Stefano (6)

Luciani, Matteo (5)

Trapani, Lorenzo (5)

Trapani, Lorenzo (4)

Cavaliere, Giuseppe (4)

Lippi, Marco (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Matteo Barigozzi.

Is cited by:

Hallin, Marc (50)

Trucíos, Carlos (30)

Valls Pereira, Pedro (27)

Hotta, Luiz (27)

Ruiz, Esther (21)

Lippi, Marco (20)

Forni, Mario (17)

GUPTA, RANGAN (16)

Poncela, Pilar (16)

Guerini, Mattia (14)

Napoletano, Mauro (14)

Cites to:

Reichlin, Lucrezia (230)

Lippi, Marco (220)

Forni, Mario (205)

Hallin, Marc (197)

Giannone, Domenico (148)

Bai, Jushan (106)

Ng, Serena (79)

Watson, Mark (70)

Engle, Robert (65)

Zaffaroni, Paolo (49)

Luciani, Matteo (38)

Main data

Where Matteo Barigozzi has published?

Journals with more than one article published# docs
Journal of Econometrics7
Journal of Business & Economic Statistics2
Journal of the American Statistical Association2
Journal of Applied Econometrics2
Structural Change and Economic Dynamics2
Oxford Bulletin of Economics and Statistics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org18
Working Papers ECARES / ULB -- Universite Libre de Bruxelles13
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy12
Working Paper Series / European Central Bank4
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)3
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"2

Recent works citing Matteo Barigozzi (2024 and 2023)

YearTitle of citing document
2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

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2023Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887.

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2023Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000.

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2023Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052.

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2024Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693.

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2023On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2211.04184.

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2024Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2023Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808.

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2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023Prospects of BRICS currency dominance in international trade. (2023). Shepelyansky, Dima L ; Jos'e Lages, ; Coquid, C'Elestin. In: Papers. RePEc:arx:papers:2305.00585.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2024Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2023). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653.

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2023Robust Impulse Responses using External Instruments: the Role of Information. (2023). Mazzali, Marco ; Franconi, Alessandro ; Brignone, Davide. In: Papers. RePEc:arx:papers:2307.06145.

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2023Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915.

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2023Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471.

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2024Inference on common trends in functional time series. (2023). Seo, Won-Ki ; Nielsen, Morten Orregaard ; Seong, Dakyung. In: Papers. RePEc:arx:papers:2312.00590.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024Monetary Policies on Green Financial Markets: Evidence from a Multi-Moment Connectedness Network. (2024). Ye, Shiqi ; Zhang, Hongyin ; Zheng, Tingguo. In: Papers. RePEc:arx:papers:2405.02575.

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2023Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246.

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2023ECB monetary policy and commodity prices. (2023). Kočenda, Evžen ; Koenda, Even ; Aliyev, Shahriyar. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:274-304.

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2023Identification and estimation of threshold matrix?variate factor models. (2022). Chen, Elynn Y ; Liu, Xialu. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1383-1417.

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2023Global house prices since 1950. (2023). Sustek, Roman ; Mumtaz, Haroon. In: Discussion Papers. RePEc:cfm:wpaper:2307.

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2023A tail of labor supply and a tale of monetary policy. (2023). ferroni, filippo ; Cantore, Cristiano ; Theophilopoulou, Angeliki ; Mumtaz, Haroon. In: Discussion Papers. RePEc:cfm:wpaper:2308.

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2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Zhou, Lichao ; Chen, Chuanglian ; Lin, Yuting. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592.

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2023Reconciling econometrics with continuous maximum-entropy network models. (2023). Squartini, Tiziano ; Garlaschelli, Diego ; di Vece, Marzio. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:166:y:2023:i:c:s0960077922011377.

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2024Exploring social networks through stochastic multilayer graph modeling. (2024). Rezvanian, Alireza ; Meybodi, Mohammad Reza ; Daliri, Mohammad Mehdi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:182:y:2024:i:c:s0960077924003163.

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2023Change-point testing for parallel data sets with FDR control. (2023). Wang, Zhaojun ; Zou, Changliang ; Cui, Junfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000166.

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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2023Systemic political risk. (2023). Uribe, Jorge ; Chuliá, Helena ; Estevez, Marc ; Chulia, Helena. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001876.

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2023The cross-industry effects of monetary policy: New evidence from Bangladesh. (2023). Roy, Ripon ; Bhattacharya, Prasad Sankar. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002912.

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2023Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models. (2023). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002719.

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2023Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion. (2023). Wu, Jianhong ; Zhou, Ruichao. In: Economics Letters. RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003750.

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2023Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:132-154.

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2023High-dimensional VARs with common factors. (2023). Su, Liangjun ; Phillips, Peter ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:155-183.

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2023Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2023). Bai, Jushan ; Han, XU ; Duan, Jiangtao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:209-236.

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2023Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44.

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2023Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892.

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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665.

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2023News-implied linkages and local dependency in the equity market. (2023). Linton, Oliver ; Ge, Shuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:779-815.

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2023Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

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2024The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Duan, Jiangtao ; Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003470.

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2024Confidence intervals of treatment effects in panel data models with interactive fixed effects. (2024). Zhou, Qiankun ; Shen, Yan ; Li, Xingyu. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000307.

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2023High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research. (2023). Anderson, Brian ; Deistler, Manfred ; Lippi, Marco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:3-16.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Modeling Turning Points in the Global Equity Market. (2024). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75.

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2024Data segmentation algorithms: Univariate mean change and beyond. (2024). Kirch, Claudia ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:76-95.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2024Higher-order assortativity for directed weighted networks and Markov chains. (2024). Grassi, Rosanna ; Cerqueti, Roy ; Arcagni, Alberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:215-227.

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2023Energy firms in emerging markets: Systemic risk and diversification opportunities. (2023). Uribe, Jorge ; Chuliá, Helena ; Muoz-Mendoza, Jorge A ; Chulia, Helena. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000584.

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2023Investor sentiment and global economic conditions. (2023). Lutkebohmert, Eva ; Herculano, Miguel C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:134-152.

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2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Bastianin, Andrea ; Casoli, Chiara. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006813.

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2024Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?. (2024). Wang, Mengxin ; Li, Yanling ; Liao, Gaoke. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006667.

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2023Long-term equilibrium relationship analysis and energy-saving measures of metro energy consumption and its influencing factors based on cointegration theory and an ARDL model. (2023). Chen, Hongyu ; Liu, Yang ; Feng, Zongbao ; Skibniewski, Mirosaw J. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pd:s0360544222028511.

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2023Optimization of large portfolio allocation for new-energy stocks: Evidence from China. (2023). Jiang, Hui ; Huang, Lei ; Wu, Yunlin. In: Energy. RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028505.

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2023Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198.

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2023A new way of measuring effects of financial crisis on contagion in currency markets. (2023). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923002806.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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2023Liquidity spillovers in the global stock markets: Lessons for risk management. (2023). Marquez, Vicente A ; Ferreira, Guillermo ; Muoz, Jorge A. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000911.

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2023IP protection and ownership in cross-border acquisitions. (2023). Alon, Ilan ; Tarba, Shlomo Y ; Ahammad, Mohammad Faisal ; Lee, Sang Mook ; Bazel-Shoham, Ofra. In: International Business Review. RePEc:eee:iburev:v:32:y:2023:i:3:s096959312300001x.

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2023Monetary policy shocks and consumer expectations in the euro area. (2023). Scharler, Johann ; Grundler, Daniel ; Geiger, Martin. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001404.

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2023Brexit and Canadadvent: An application of graphs and hypergraphs to recent international trade agreements. (2023). Torre, Dominique ; Persenda, Arnaud ; Chessa, Michela. In: International Economics. RePEc:eee:inteco:v:175:y:2023:i:c:p:1-12.

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2023European stock market volatility connectedness: The role of country and sector membership. (2023). Uribe, Jorge ; Guillen, Montserrat ; Vidal-Llana, Xenxo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001688.

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2023The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023One-stop source: A global database of inflation. (2023). Ohnsorge, Franziska ; Kose, Ayhan ; Ha, Jongrim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000979.

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2024Estimating shadow policy rates in a small open economy and the role of foreign factors. (2024). Kirchner, Markus ; Fornero, Jorge ; Molina, Carlos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001730.

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2023Who is the core? Reveal the heterogeneity of global rare earth trade structure from the perspective of industrial chain. (2023). Du, Debin ; Xia, Qifan ; Li, Xiya ; Cao, Wanpeng. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s030142072300243x.

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2024Supply shock propagation in the multi-layer network of global steel product chain: Additive effect of trade and production. (2024). Sun, Xiaoqi ; Jiang, Meihui ; Hao, Xiaoqing. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000229.

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2023Clustering coefficients as measures of the complex interactions in a directed weighted multilayer network. (2023). Grassi, Rosanna ; Clemente, Gian Paolo ; Bartesaghi, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:610:y:2023:i:c:s0378437122009712.

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2023Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices. (2023). Pagnottoni, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:615:y:2023:i:c:s037843712300136x.

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2024Structure characteristics and formation mechanism of the RCEP manufacturing trade network: An ERGM analysis. (2024). Yang, Shuwen ; Wang, Yuqing ; Zhu, Nina ; Huang, Siyi ; Gong, Kunyao ; Lyu, Lixing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:635:y:2024:i:c:s0378437123010439.

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2023The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223.

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2024Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions. (2024). Wang, Gang-Jin ; Zhou, Xuewei ; Ouyang, Zisheng ; Lu, Min ; Liu, Shuwen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:909-928.

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2024Imported financial risk in global stock markets: Evidence from the interconnected network. (2024). Liu, KE ; Lu, Min ; Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

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2023Should I have closed? A multiplex network approach for the short-term economic effect of Covid-19 containment measures in the EU. (2023). Grassetti, Francesca ; della Torre, M ; Ceriotti, C ; Marazzina, D. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:90:y:2023:i:c:s003801212300246x.

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2024Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Cipollini, F ; Candila, V. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768.

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2024Necessary and sufficient conditions for continuity of hypercontractive processes and fields. (2024). Viitasaari, Lauri ; Nummi, Patrik. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s016771522400018x.

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2023Regionalisation and cross-region integration. Twin dynamics in the automotive international trade networks. (2023). simonazzi, annamaria ; Righi, Simone ; Russo, Margherita ; Mangioni, Giuseppe ; de Domenico, Manlio ; Sangines, Jorge Carreto ; Alboni, Fabrizio. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:67:y:2023:i:c:p:98-114.

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2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: Working Papers. RePEc:fem:femwpa:2023.11.

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2023Monetary Policy Implications on Macroeconomic Performance in the Common Monetary Area: A Panel-SVAR Framework. (2023). Mukorera, Sophia ; Shumba, Theron. In: Economies. RePEc:gam:jecomi:v:11:y:2023:i:5:p:144-:d:1144118.

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2024A Dynamic Evolutionary Analysis of the Vulnerability of Global Food Trade Networks. (2024). Li, Dongmei ; Niu, Niu ; Xu, Hao ; Wang, Chengjie. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:10:p:3998-:d:1391915.

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2023Hospital cost efficiency: an examination of US acute care inpatient hospitals. (2023). Linde, Sebastian. In: International Journal of Health Economics and Management. RePEc:kap:ijhcfe:v:23:y:2023:i:3:d:10.1007_s10754-023-09356-x.

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2023THE EXPANSIONARY EFFECTS OF HOUSING CREDIT SUPPLY SHOCKS. (2023). Motta, Giorgio ; Miescu, Mirela Sorina ; Rossi, Raffaele ; Pontiggia, Dario. In: Working Papers. RePEc:lan:wpaper:399832231.

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2023Credit risk linkages in the international banking network, 2000–2019. (2023). Parfenov, Daniil ; Stolbov, Mikhail. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:3:d:10.1057_s41283-023-00126-0.

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More than 100 citations found, this list is not complete...

Works by Matteo Barigozzi:

YearTitleTypeCited
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: LIDAM Discussion Papers ISBA.
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2020Time-varying general dynamic factor models and the measurement of financial connectedness.(2020) In: LIDAM Reprints ISBA.
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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness.(2019) In: Working Papers ECARES.
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2021Time-varying general dynamic factor models and the measurement of financial connectedness.(2021) In: Journal of Econometrics.
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2010Multinetwork of international trade: A commodity-specific analysis In: Papers.
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2009The Multi-Network of International Trade: A Commodity-Specific Analysis.(2009) In: LEM Papers Series.
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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series In: Papers.
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2015Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series.(2015) In: Working Papers ECARES.
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2020Sequential testing for structural stability in approximate factor models In: Papers.
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2020Sequential testing for structural stability in approximate factor models.(2020) In: Stochastic Processes and their Applications.
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2018Sequential testing for structural stability in approximate factor models.(2018) In: Discussion Papers.
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2018Determining the dimension of factor structures in non-stationary large datasets In: Papers.
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2018Determining the dimension of factor structures in non-stationary large datasets.(2018) In: Discussion Papers.
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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals In: Papers.
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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals.(2018) In: Working Papers ECARES.
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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals.(2020) In: Journal of Econometrics.
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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm In: Papers.
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2019Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models In: Papers.
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2021Inference in heavy-tailed non-stationary multivariate time series In: Papers.
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2024Inference in Heavy-Tailed Nonstationary Multivariate Time Series.(2024) In: Journal of the American Statistical Association.
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2024Factor Network Autoregressions In: Papers.
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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models In: Papers.
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2023On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis In: Papers.
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2023Multidimensional dynamic factor models In: Papers.
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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review In: Papers.
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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices In: Papers.
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2024Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models In: Papers.
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2024Dynamic Factor Models: a Genealogy In: Papers.
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2023Dynamic Factor Models: a Genealogy.(2023) In: Working Papers ECARES.
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2024The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series In: Papers.
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2024The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series.(2024) In: Working Papers ECARES.
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2024Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy In: Papers.
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2013Nets: Network Estimation for Time Series In: Working Papers.
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2018Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics.
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2013Nets: Network estimation for time series.(2013) In: Economics Working Papers.
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2019NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics.
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2017A network analysis of the volatility of high dimensional financial series In: Journal of the Royal Statistical Society Series C.
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2017A network analysis of the volatility of high-dimensionalfinancial series.(2017) In: LSE Research Online Documents on Economics.
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2014Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? In: Oxford Bulletin of Economics and Statistics.
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2012Do Euro area countries respond asymmetrically to the common monetary policy?.(2012) In: LSE Research Online Documents on Economics.
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2013Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?.(2013) In: ULB Institutional Repository.
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2018On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy In: Oxford Bulletin of Economics and Statistics.
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2018On the stability of euro area money demand and its implications for monetary policy.(2018) In: LSE Research Online Documents on Economics.
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2013On the Stability of Euro Area Money Demand and its Implications for Monetary Policy.(2013) In: LEM Papers Series.
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2009Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure In: Working Papers ECARES.
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2011Immigrants legal status, permanence in the destination country and the distribution of consumption expenditure.(2011) In: Post-Print.
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2011Immigrants legal status, permanence in the destination country and the distribution of consumption expenditure.(2011) In: Applied Economics Letters.
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2009A Robust Criterion for Determining the Number of Factors in Approximate Factor Models In: Working Papers ECARES.
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2014Dynamic Factor Models, Cointegration and Error Correction Mechanisms In: Working Papers ECARES.
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2016Dynamic Factor Models, Cointegration, and Error Correction Mechanisms.(2016) In: Finance and Economics Discussion Series.
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2014Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks In: Working Papers ECARES.
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2015Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2015) In: LSE Research Online Documents on Economics.
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2016Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2016) In: Econometrics Journal.
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2015Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting In: Working Papers ECARES.
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2017Generalized dynamic factor models and volatilities: estimation and forecasting.(2017) In: Journal of Econometrics.
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2017Generalized dynamic factor models and volatilities estimation and forecasting.(2017) In: LSE Research Online Documents on Economics.
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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES.
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2021Inferential Theory for Generalized Dynamic Factor Models In: Working Papers ECARES.
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2024Inferential theory for generalized dynamic factor models.(2024) In: Journal of Econometrics.
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2010On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis In: Working Papers ECARES.
[Full Text][Citation analysis]		paper4
2008A robust criterion for determining the number of static factors in approximate factor models. In: Working Paper Series.
[Full Text][Citation analysis]		paper24
2007A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models.(2007) In: LEM Papers Series.
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2008A review of nonfundamentalness and identification in structural VAR models In: Working Paper Series.
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2007A Review of Nonfundamentalness and Identification in Structural VAR Models.(2007) In: LEM Papers Series.
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2009The distribution of households consumption-expenditure budget shares In: Working Paper Series.
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2012The distribution of household consumption-expenditure budget shares.(2012) In: Structural Change and Economic Dynamics.
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2009Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors In: Working Paper Series.
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2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
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2014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive.
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2018Simultaneous multiple change-point and factor analysis for high-dimensional time series In: Journal of Econometrics.
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2018Simultaneous multiple change-point and factor analysis for high-dimensional time series.(2018) In: LSE Research Online Documents on Economics.
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2021Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors In: Journal of Econometrics.
[Full Text][Citation analysis]		article16
2011Identifying the community structure of the international-trade multi-network In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article59
2010Identifying the Community Structure of the International-Trade Multi Network.(2010) In: LEM Papers Series.
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2010Improved penalization for determining the number of factors in approximate factor models In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article185
2013The common component of firm growth In: Structural Change and Economic Dynamics.
[Full Text][Citation analysis]		article3
2016Identifying the independent sources of consumption variation In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper4
2012Identifying the Independent Sources of Consumption Variation.(2012) In: LEM Papers Series.
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2016Identifying the Independent Sources of Consumption Variation.(2016) In: Journal of Applied Econometrics.
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2017Spatio-temporal patterns of the international merger and acquisition network In: LSE Research Online Documents on Economics.
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2017Spatio-Temporal Patterns of the International Merger and Acquisition Network.(2017) In: LEM Papers Series.
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2019Identification of global and local shocks in international financial markets via general dynamic factor models In: LSE Research Online Documents on Economics.
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2019Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models.(2019) In: Journal of Financial Econometrics.
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2018Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions In: LSE Research Online Documents on Economics.
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2019Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions.(2019) In: The Journal of International Trade & Economic Development.
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2008The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households In: Papers on Economics and Evolution.
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2008The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households.(2008) In: LEM Papers Series.
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2011The Rank of a System of Engel Curves. How Many Common Factors? In: Papers on Economics and Evolution.
[Full Text][Citation analysis]		paper1
2011Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model In: European Economy - Economic Papers 2008 - 2015.
[Full Text][Citation analysis]		paper9
2016Non-Stationary Dynamic Factor Models for Large Datasets In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper17
2017Common Factors, Trends, and Cycles in Large Datasets In: Finance and Economics Discussion Series.
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2018Do National Account Statistics Underestimate US Real Output Growth? In: FEDS Notes.
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2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
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2020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors In: Econometrics.
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2020Determining the rank of cointegration with infinite variance In: Discussion Papers.
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2010On the distributional properties of household consumption expenditures: the case of Italy In: Empirical Economics.
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2007On the distributional properties of household consumption expenditures. The case of Italy..(2007) In: LEM Papers Series.
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2007On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters In: LEM Papers Series.
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2009ON 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).
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2016Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ? In: LEM Papers Series.
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2021Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility In: LEM Papers Series.
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2024An Algebraic Estimator for Large Spectral Density Matrices In: Journal of the American Statistical Association.
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2022Testing for Common Trends in Nonstationary Large Datasets In: Journal of Business & Economic Statistics.
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2024FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series In: Journal of Business & Economic Statistics.
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2023Measuring the Output Gap using Large Datasets In: The Review of Economics and Statistics.
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