Matteo Barigozzi : Citation Profile

Are you Matteo Barigozzi?

Alma Mater Studiorum - Università di Bologna

13

H index

17

i10 index

766

Citations

RESEARCH PRODUCTION:

24

Articles

63

Papers

RESEARCH ACTIVITY:

   14 years (2007 - 2021). See details.
   Cites by year: 54
   Journals where Matteo Barigozzi has often published
   Relations with other researchers
   Recent citing documents: 110.    Total self citations: 43 (5.32 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba354
   Updated: 2022-06-22    RAS profile: 2021-12-08    
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Relations with other researchers

Works with:

Hallin, Marc (16)

Luciani, Matteo (7)

Soccorsi, Stefano (7)

Trapani, Lorenzo (7)

Duenas, Marco (4)

Fagiolo, Giorgio (4)

Trapani, Lorenzo (2)

Cavaliere, Giuseppe (2)

Campi, Mercedes (2)

Brownlees, Christian (2)

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 (40)

Rodríguez Caballero, Carlos (30)

Hotta, Luiz (27)

Valls Pereira, Pedro (27)

Trucíos, Carlos (24)

Lippi, Marco (17)

Forni, Mario (17)

Poncela, Pilar (15)

Ruiz, Esther (15)

GUPTA, RANGAN (13)

Fagiolo, Giorgio (13)

Cites to:

Lippi, Marco (179)

Forni, Mario (170)

Reichlin, Lucrezia (166)

Hallin, Marc (160)

Giannone, Domenico (94)

Bai, Jushan (64)

Watson, Mark (61)

Engle, Robert (54)

Ng, Serena (52)

Zaffaroni, Paolo (41)

Fan, Jianqing (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
2020Exchange 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.

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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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2020A 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.

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2020Crisis contagion in the world trade network. (2020). Shepelyansky, Dima L ; Jos'e Lages, ; Coquid, C'Elestin. In: Papers. RePEc:arx:papers:2002.07100.

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2020Sequential monitoring for cointegrating regressions. (2020). Whitehouse, Emily ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2003.12182.

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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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2021Dynamic 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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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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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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2020Forecasting 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.

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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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2020Characteristics 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.

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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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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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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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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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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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2020The 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.

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2020Structure 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.

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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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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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2020Robustness 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.

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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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2020Interdependence 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.

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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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2020Bridging 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.

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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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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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2021River Stage Forecasting using Enhanced Partial Correlation Graph. (2021). Venna, Siva R ; Gottumukkala, Raju ; Raghavan, Vijay ; Katragadda, Satya. In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:35:y:2021:i:12:d:10.1007_s11269-021-02933-0.

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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.
[Full Text][Citation analysis]
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2010Multinetwork of international trade: A commodity-specific analysis In: Papers.
[Full Text][Citation analysis]		paper68
2009The Multi-Network of International Trade: A Commodity-Specific Analysis.(2009) In: LEM Papers Series.
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This paper has another version. Agregated cites: 68		paper
2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series In: Papers.
[Full Text][Citation analysis]		paper1
2015Networks, 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
2020Sequential testing for structural stability in approximate factor models In: Papers.
[Full Text][Citation analysis]		paper1
2020Sequential 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
2018Sequential testing for structural stability in approximate factor models.(2018) In: Discussion Papers.
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This paper has another version. Agregated cites: 1		paper
2018Determining the dimension of factor structures in non-stationary large datasets In: Papers.
[Full Text][Citation analysis]		paper2
2018Determining the dimension of factor structures in non-stationary large datasets.(2018) In: Discussion Papers.
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This paper has another version. Agregated cites: 2		paper
2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals In: Papers.
[Full Text][Citation analysis]		paper8
2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals.(2018) In: Working Papers ECARES.
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This paper has another version. Agregated cites: 8		paper
2020Generalized 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: 8		article
2022Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm In: Papers.
[Full Text][Citation analysis]		paper5
2019Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models In: Papers.
[Full Text][Citation analysis]		paper3
2021Inference in heavy-tailed non-stationary multivariate time series In: Papers.
[Full Text][Citation analysis]		paper0
2013Nets: Network Estimation for Time Series In: Working Papers.
[Full Text][Citation analysis]		paper61
2018Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 61		paper
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.
[Full Text][Citation analysis]
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2011Non?Fundamentalness in Structural Econometric Models: A Review In: International Statistical Review.
[Citation analysis]		article36
2017A network analysis of the volatility of high dimensional financial series In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article22
2017A network analysis of the volatility of high-dimensionalfinancial series.(2017) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 22		paper
2014Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article76
2012Do Euro area countries respond asymmetrically to the common monetary policy?.(2012) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
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2013Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?.(2013) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 76		paper
2018On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article9
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.
[Full Text][Citation analysis]		paper3
2011Immigrants legal status, permanence in the destination country and the distribution of consumption expenditure.(2011) In: Applied Economics Letters.
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This paper has another version. Agregated cites: 3		article
2009A Robust Criterion for Determining the Number of Factors in Approximate Factor Models In: Working Papers ECARES.
[Full Text][Citation analysis]		paper12
2014Dynamic Factor Models, Cointegration and Error Correction Mechanisms In: Working Papers ECARES.
[Full Text][Citation analysis]		paper7
2016Dynamic Factor Models, Cointegration, and Error Correction Mechanisms.(2016) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
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2014Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks In: Working Papers ECARES.
[Full Text][Citation analysis]		paper30
2015Generalized 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: 30		paper
2016Generalized 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: 30		article
2015Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting In: Working Papers ECARES.
[Full Text][Citation analysis]		paper30
2017Generalized dynamic factor models and volatilities: estimation and forecasting.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
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2017Generalized dynamic factor models and volatilities estimation and forecasting.(2017) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES.
[Full Text][Citation analysis]		paper0
2021Inferential Theory for Generalized Dynamic Factor Models In: Working Papers ECARES.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper13
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.
[Full Text][Citation analysis]		paper6
2012The distribution of household consumption-expenditure budget shares.(2012) In: Structural Change and Economic Dynamics.
[Full Text][Citation analysis]
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2009Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors In: Working Paper Series.
[Full Text][Citation analysis]		paper14
2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
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.
[Full Text][Citation analysis]		article12
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]		article4
2011Identifying the community structure of the international-trade multi-network In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article48
2010Identifying the Community Structure of the International-Trade Multi Network.(2010) In: LEM Papers Series.
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This paper has another version. Agregated cites: 48		paper
2010Improved penalization for determining the number of factors in approximate factor models In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article174
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
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.
[Full Text][Citation analysis]		paper1
2017Spatio-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
2019Identification 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]		paper10
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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This paper has another version. Agregated cites: 10		article
2018Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper2
2019Intellectual 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
2008The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households In: Papers on Economics and Evolution.
[Citation analysis]		paper0
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]		paper12
2017Common Factors, Trends, and Cycles in Large Datasets In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper2
2018Do National Account Statistics Underestimate US Real Output Growth? In: FEDS Notes.
[Full Text][Citation analysis]		paper1
2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper7
2020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors In: Econometrics.
[Full Text][Citation analysis]		article6
2020Determining the rank of cointegration with infinite variance In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2010On the distributional properties of household consumption expenditures: the case of Italy In: Empirical Economics.
[Full Text][Citation analysis]		article9
2007On 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: 9		paper
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.
[Full Text][Citation analysis]		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).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2016Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ? In: LEM Papers Series.
[Full Text][Citation analysis]		paper0
2021Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility In: LEM Papers Series.
[Full Text][Citation analysis]		paper0

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