Matteo Barigozzi : Citation Profile


Are you Matteo Barigozzi?

Alma Mater Studiorum - Università di Bologna

13

H index

17

i10 index

789

Citations

RESEARCH PRODUCTION:

24

Articles

63

Papers

RESEARCH ACTIVITY:

   15 years (2007 - 2022). See details.
   Cites by year: 52
   Journals where Matteo Barigozzi has often published
   Relations with other researchers
   Recent citing documents: 112.    Total self citations: 44 (5.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba354
   Updated: 2022-08-13    RAS profile: 2021-12-08    
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Relations with other researchers


Works with:

Hallin, Marc (15)

Trapani, Lorenzo (7)

Soccorsi, Stefano (7)

Luciani, Matteo (7)

Duenas, Marco (4)

Fagiolo, Giorgio (4)

Trapani, Lorenzo (2)

Lippi, Marco (2)

Campi, Mercedes (2)

Brownlees, Christian (2)

Cavaliere, Giuseppe (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 (40)

Rodríguez Caballero, Carlos (30)

Valls Pereira, Pedro (27)

Hotta, Luiz (27)

Trucíos, Carlos (24)

Forni, Mario (17)

Lippi, Marco (17)

Ruiz, Esther (16)

Poncela, Pilar (16)

Fan, Jianqing (13)

GUPTA, RANGAN (13)

Cites to:

Lippi, Marco (180)

Forni, Mario (171)

Reichlin, Lucrezia (168)

Hallin, Marc (162)

Giannone, Domenico (96)

Bai, Jushan (65)

Watson, Mark (61)

Engle, Robert (54)

Ng, Serena (52)

Zaffaroni, Paolo (42)

Diebold, Francis (30)

Main data


Where Matteo Barigozzi has published?


Journals with more than one article published# docs
Journal of Econometrics6
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
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy12
Working Papers ECARES / ULB -- Universite Libre de Bruxelles11
Papers / arXiv.org8
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 (2022 and 2021)


YearTitle of citing document
2021Expecting the unexpected: economic growth under stress. (2021). Ortega, Esther Ruiz ; Rodriguez-Caballero, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: CREATES Research Papers. RePEc:aah:create:2021-06.

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2021Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices. (2021). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: FEEM Working Papers. RePEc:ags:feemwp:312367.

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2021Long-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.

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2022Rank Determination in Tensor Factor Model. (2022). Chen, Rong ; Han, Yuefeng ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2011.07131.

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2021Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

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2021Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2021). Han, XU ; Bai, Jushan ; Duan, Jiangtao. In: Papers. RePEc:arx:papers:2102.12666.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021Can Machine Learning Catch the COVID-19 Recession?. (2021). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2103.01201.

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2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters. (2021). Kneip, Alois ; Bada, Oualid ; Sickles, Robin C ; Gualtieri, James ; Mensinger, Tim ; Liebl, Dominik. In: Papers. RePEc:arx:papers:2109.10950.

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2022Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000.

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2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2021Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market. (2021). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: Papers. RePEc:arx:papers:2112.13127.

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2022Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310.

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2022Confidence Intervals of Treatment Effects in Panel Data Models with Interactive Fixed Effects. (2022). Li, Xingyu ; Zhou, Qiankun ; Shen, Yan. In: Papers. RePEc:arx:papers:2202.12078.

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2022A Network Approach to Consumption. (2022). Mayerhoffer, Daniel M ; Schulz, Jan. In: Papers. RePEc:arx:papers:2203.14259.

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2022Clustering coefficients as measures of the complex interactions in a directed multiplex network. (2022). Clemente, Gian Paolo ; Bartesaghi, Paolo ; Grassi, Rosanna. In: Papers. RePEc:arx:papers:2206.06309.

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

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2022Exchange rate pass-through in small, open, commodity-exporting economies: lessons from Canada. (2022). Flaccadoro, Marco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1368_22.

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2021GDP?network CoVaR: A tool for assessing growth?at?risk. (2021). Tizzanini, Giacomo ; De Meo, Emanuele . In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:2:n:e12181.

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2021A dynamic separable network model with actor heterogeneity: An application to global weapons transfers. (2021). Kauermann, Goran ; Thurner, Paul W ; Lebacher, Michael. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:1:p:201-226.

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2021Nowcasting monthly GDP with big data: A model averaging approach. (2021). Proietti, Tommaso ; Giovannelli, Alessandro. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:2:p:683-706.

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2021Finite sample change point inference and identification for high?dimensional mean vectors. (2021). Chen, Xiaohui ; Yu, Mengjia. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:83:y:2021:i:2:p:247-270.

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2021Censored regression for modelling small arms trade volumes and its ‘Forensic’ use for exploring unreported trades. (2021). Kauermann, Goran ; Thurner, Paul W ; Lebacher, Michael. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:4:p:909-933.

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2021Do ECBs Monetary Policies Benefit EMEs? A GVAR Analysis on the Global Financial and Sovereign Debt Crises and Postcrises Period. (2021). Colabella, Andrea. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:472-494.

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2021Connectalism: A new paradigm for human choice. (2021). Faugere, Christophe. In: Systems Research and Behavioral Science. RePEc:bla:srbeha:v:38:y:2021:i:6:p:866-889.

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2021Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco M ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1160.

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2021Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. (2021). Linton, O ; Chen, J ; Li, Y-N., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2150.

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2237.

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Tang, H ; Linton, O B ; Wu, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:camjip:2214.

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2021Estimating Shadow Policy Rates in a Small Open Economy and the Role of Foreign Factors. (2021). Kirchner, Markus ; Fornero, Jorge ; Molina, Carlos. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:915.

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2021Can Machine Learning Catch the COVID-19 Recession?. (2021). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2021s-09.

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2021Expecting the unexpected: economic growth under stress. (2021). Gonzalezrivera, Gloria ; Rodriguez, Carlos Vladimir ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32148.

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2021Dynamic factor models: does the specification matter?. (2021). Miranda, Karen Alejandra ; Poncela, Pilar ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32210.

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2021Long-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.

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2021Volatility connectedness of major cryptocurrencies: The role of investor happiness. (2021). GUPTA, RANGAN ; Gabauer, David ; Tiwari, Aviral Kumar ; Bouri, Elie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000071.

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2021Two 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.

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2021Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco ; Angelini, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921002001.

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2022A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x.

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2022Estimation of high-dimensional factor models with multiple structural changes. (2022). Wu, Jianhong ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321003321.

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2021Mortgage 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.

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2021Resurrecting the Phillips Curve in Low-Inflation Times. (2021). Conti, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:172-195.

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2021Network VAR models to measure financial contagion. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302059.

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2021Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market. (2021). Jiang, Cuixia ; Li, Mengting ; Xu, Qifa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001224.

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2021Nonlinear factor models for network and panel data. (2021). Fernandez-Val, Ivan ; Weidner, Martin ; Chen, Mingli. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:296-324.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2021Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:429-450.

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2021Nonparametric estimation of large covariance matrices with conditional sparsity. (2021). Leng, Chenlei ; Li, Degui ; Peng, Bin ; Wang, Hanchao. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:53-72.

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2021Detecting groups in large vector autoregressions. (2021). Guðmundsson, Guðmundur ; Brownlees, Christian ; Gumundsson, Gumundur Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:2-26.

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2022A wavelet method for panel models with jump discontinuities in the parameters. (2022). Sickles, R C ; Gualtieri, J ; Mensinger, T ; Liebl, D ; Kneip, A ; Bada, O. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:2:p:399-422.

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2022Factor models with local factors — Determining the number of relevant factors. (2022). Freyaldenhoven, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:80-102.

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2021Evaluating restricted common factor models for non-stationary data. (2021). Fachin, Stefano ; Di Iorio, Francesca. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:64-75.

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2022High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203.

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2022Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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2021Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269.

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2021Cross-border systemic risk spillovers in the global oil system: Does the oil trade pattern matter?. (2021). Chevallier, Julien ; Lin, Renda ; Liu, Jiahao ; Zhu, BO. In: Energy Economics. RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321002942.

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2022The banking instability and climate change: Evidence from China. (2022). Lu, Li Ping ; Zhang, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006253.

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2021Financialization, idiosyncratic information and commodity co-movements. (2021). Pan, Jiaofeng ; Wu, Fei ; Ji, Qiang ; Ma, Yan-Ran. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304230.

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2021Covid-19 pandemic and tail-dependency networks of financial assets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Do, Hung Xuan ; Le, Trung Hai. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316147.

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2022The nexus between bank connectedness and investors’ sentiment. (2022). Pochea, Maria Miruna ; Nioi, Mihai. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321004219.

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2022Risk spillovers and interconnectedness between systemically important institutions. (2022). Andrieș, Alin Marius ; Tunaru, Radu ; Sprincean, Nicu ; Ongena, Steven. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001224.

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2022Structural determinants of global trade in graphic paper and pulp products. (2022). Lovri, Marko ; Shen, Xinran. In: Forest Policy and Economics. RePEc:eee:forpol:v:134:y:2022:i:c:s1389934121002355.

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2022Bearish Vs Bullish risk network: A Eurozone financial system analysis. (2022). Angelini, Eliana ; Wang, Gang-Jin ; Addi, Abdelhamid ; Foglia, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000142.

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2021Realized 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.

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2021Variational Bayes approximation of factor stochastic volatility models. (2021). Nott, David ; Kohn, Robert ; Gunawan, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1355-1375.

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2021Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach. (2021). Tinti, Cristina ; Tegami, Christian ; Citton, Ambra ; Ricchi, Ottavio ; Giovannelli, Alessandro ; Proietti, Tommaso. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1376-1398.

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2021Factor extraction using Kalman filter and smoothing: This is not just another survey. (2021). Ruiz, Esther ; Miranda, Karen ; Poncela, Pilar. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1399-1425.

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2021Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting. (2021). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1520-1534.

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2021Investment and uncertainty: Are large firms different from small ones?. (2021). Panagiotidis, Theodore ; Printzis, Panagiotis. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:184:y:2021:i:c:p:302-317.

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2021A semiparametric latent factor model for large scale temporal data with heteroscedasticity. (2021). Wang, Haonan ; Zhou, Wen ; Zhang, Lyuou. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000646.

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2021Long-run stability of money demand and monetary policy: The case of Algeria. (2021). Boucekkine, Raouf ; Touati-Tliba, M ; Laksaci, M. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000220.

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2021Bank credit risk networks: Evidence from the Eurozone. (2021). Brownlees, Christian ; Nualart, Eulalia ; Hans, Christina . In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:585-599.

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2021Policy uncertainty spillovers and financial risk contagion in the Asia-Pacific network. (2021). Jiang, Yongmu ; Luo, Jingqiu ; Li, Yang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000615.

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2021Vulnerability assessment of China–Europe Railway Express multimodal transport network under cascading failures. (2021). Chin, Kwai Sang ; Su, Qin ; Wang, BI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:584:y:2021:i:c:s0378437121006324.

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2022An empirical analysis of the global input–output network and its evolution. (2022). Grazzini, Jakob ; Spelta, Alessandro. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:594:y:2022:i:c:s0378437122000796.

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2022NetVIX — A network volatility index of financial markets. (2022). Giudici, Paolo ; Ahelegbey, Daniel Felix. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:594:y:2022:i:c:s0378437122000917.

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2021Distribution dynamics of Chinas household consumption upgrading. (2021). Shi, Xunpeng ; Cheong, Tsun Se ; Se, Tsun ; Yu, Jian. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:58:y:2021:i:c:p:193-203.

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2021Economic Aspects of Population Aging. Modeling Senior Household Ependiture. (2021). Szczecinska, Beata ; Bak, Iwona. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:special3:p:50-67.

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2021Relative prices and pure inflation since the mid-1990s. (2021). Luciani, Matteo ; Ahn, Hie Joo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-69.

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2021Quantile Regression with Generated Regressors. (2021). Song, Suyong ; Galvao, Antonio F ; Chen, Liqiong. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:16-:d:534600.

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2021Technical Analysis of Tourism Price Process in the Eurozone. (2021). Griar, Sergej ; Bojnec, Tefan. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:517-:d:666054.

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2021Another look into the factor model black box: factors interpretation and structural (in)stability. (2019). Doz, Catherine ; Despois, Thomas. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02235543.

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2021Another look into the factor model black box: factor interpretation and structural (in)stability. (2020). Doz, Catherine ; Despois, Thomas. In: Working Papers. RePEc:hal:wpaper:halshs-02235543.

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2021Long-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.

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2021International Economic Integration: Comparing Exports and FDI Networks in the New Millennium. (2021). Uberti, Teodora Erika ; Baronchelli, Adelaide. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:13:y:2021:i:11:p:30.

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2021Detecting Community Structures Within Complex Networks Using a Discrete Unconscious Search Algorithm. (2021). Almasarwah, Najat E ; Young, William A ; Ardjmand, Ehsan. In: International Journal of Operations Research and Information Systems (IJORIS). RePEc:igg:joris0:v:12:y:2021:i:2:p:15-32.

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2021Determining the Number of Factors in Static Approximate Factor Models Using Discrete Fourier Transforms and Pseudo-Eigenvalues. (2021). Qian, Hou ; Weihua, Ruan. In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). RePEc:jns:jbstat:v:241:y:2021:i:1:p:71-117:n:3.

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2021Multi-Attribute Community Detection in International Trade Network. (2021). Bartesaghi, Paolo ; Grassi, Rosanna ; Clemente, Gian Paolo ; Benati, Stefano. In: Networks and Spatial Economics. RePEc:kap:netspa:v:21:y:2021:i:3:d:10.1007_s11067-021-09547-4.

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2021Housing Demand Shocks and Households’ Balance Sheets. (2021). Anderes, Marc. In: KOF Working papers. RePEc:kof:wpskof:21-492.

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2022THE IMPACT OF ESG RATINGS ON THE SYSTEMIC RISK OF EUROPEAN BLUE-CHIP FIRMS. (2022). Corts, Ariana Paola ; Eratalay, Mustafa Hakan. In: University of Tartu - Faculty of Economics and Business Administration Working Paper Series. RePEc:mtk:febawb:139.

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2022A method for evaluating the rank condition for CCE estimators. (2022). Sarafidis, Vasilis ; Everaert, Gerdie ; de Vos, Ignace. In: MPRA Paper. RePEc:pra:mprapa:112305.

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2021Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning. (2021). Balcilar, Mehmet ; Pierdzioch, Christian ; Gupta, Rangan ; Gabauer, David. In: Working Papers. RePEc:pre:wpaper:202111.

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2021Spectral decomposition of the information about latent variables in dynamic macroeconomic models. (2021). Iskrev, Nikolay. In: Working Papers. RePEc:ptu:wpaper:w202105.

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2021Financial Conditions and Downside Risk to Economic Activity in Australia. (2021). Hartigan, Luke ; Wright, Michelle . In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2021-03.

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2021On the applicability of dynamic factor models for forecasting real GDP growth in Armenia. (2021). Poghosyan, Karen. In: Applied Econometrics. RePEc:ris:apltrx:0411.

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2021A method for evaluating the rank condition for CCE estimators. (2021). Sarafidis, Vasilis ; De Vos, Ignace ; Everaert, Gerdie. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:21/1013.

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2021Banks’ business models in the euro area: a cluster analysis in high dimensions. (2021). Vouldis, Angelos T ; Farne, Matteo. In: Annals of Operations Research. RePEc:spr:annopr:v:305:y:2021:i:1:d:10.1007_s10479-021-04045-9.

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2021Interdependence among mental health care providers: evidence from a spatial dynamic panel data model with interactive fixed effects. (2021). Wu, Lizi ; Lin, XU. In: The Annals of Regional Science. RePEc:spr:anresc:v:67:y:2021:i:1:d:10.1007_s00168-020-01043-w.

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2021Factor dimension determination for panel interactive effects models: an orthogonal projection approach. (2021). Zhou, Qiankun ; Xie, Yimeng ; Hsiao, Cheng. In: Computational Statistics. RePEc:spr:compst:v:36:y:2021:i:2:d:10.1007_s00180-020-01059-y.

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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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2021Time-varying general dynamic factor models and the measurement of financial connectedness.(2021) In: Journal of Econometrics.
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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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2020Time-varying general dynamic factor models and the measurement of financial connectedness.(2020) In: LIDAM Reprints ISBA.
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paper
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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paper
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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paper
2018Determining the dimension of factor structures in non-stationary large datasets In: Papers.
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paper2
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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paper
2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals.(2020) In: Journal of Econometrics.
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article
2022Quasi 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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2013Nets: Network Estimation for Time Series In: Working Papers.
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paper64
2018Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics.
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paper
2013Nets: Network estimation for time series.(2013) In: Economics Working Papers.
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paper
2019NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics.
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article
2011Non?Fundamentalness in Structural Econometric Models: A Review In: International Statistical Review.
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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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paper
2013Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?.(2013) In: ULB Institutional Repository.
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paper
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: 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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paper
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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2010On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis In: Working Papers ECARES.
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2008A robust criterion for determining the number of static factors in approximate factor models. In: Working Paper Series.
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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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article14
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.
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article4
2011Identifying the community structure of the international-trade multi-network In: Physica A: Statistical Mechanics and its Applications.
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article51
2010Identifying the Community Structure of the International-Trade Multi Network.(2010) In: LEM Papers Series.
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paper
2010Improved penalization for determining the number of factors in approximate factor models In: Statistics & Probability Letters.
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article178
2013The common component of firm growth In: Structural Change and Economic Dynamics.
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article3
2016Identifying the independent sources of consumption variation In: LSE Research Online Documents on Economics.
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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.
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paper1
2011Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model In: European Economy - Economic Papers 2008 - 2015.
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paper9
2016Non-Stationary Dynamic Factor Models for Large Datasets In: Finance and Economics Discussion Series.
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paper12
2017Common Factors, Trends, and Cycles in Large Datasets In: Finance and Economics Discussion Series.
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paper2
2018Do National Account Statistics Underestimate US Real Output Growth? In: FEDS Notes.
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paper1
2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
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paper7
2020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors In: Econometrics.
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article6
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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article9
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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paper2
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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