Marco Lippi : Citation Profile


Are you Marco Lippi?

Istituto Einaudi per l'Economia e la Finanza (EIEF)

23

H index

28

i10 index

4602

Citations

RESEARCH PRODUCTION:

32

Articles

62

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   33 years (1988 - 2021). See details.
   Cites by year: 139
   Journals where Marco Lippi has often published
   Relations with other researchers
   Recent citing documents: 242.    Total self citations: 50 (1.07 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pli391
   Updated: 2022-07-02    RAS profile: 2021-04-11    
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Relations with other researchers


Works with:

Forni, Mario (12)

Gambetti, Luca (4)

Soccorsi, Stefano (4)

Giovannelli, Alessandro (4)

Zaffaroni, Paolo (4)

Luciani, Matteo (4)

Hallin, Marc (4)

Barigozzi, Matteo (4)

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

Is cited by:

Hallin, Marc (177)

Barigozzi, Matteo (172)

Marcellino, Massimiliano (171)

Giannone, Domenico (140)

Forni, Mario (139)

Gambetti, Luca (130)

Reichlin, Lucrezia (126)

Kapetanios, George (101)

Pesaran, M (99)

Luciani, Matteo (74)

Chudik, Alexander (71)

Cites to:

Forni, Mario (185)

Reichlin, Lucrezia (165)

Hallin, Marc (108)

Giannone, Domenico (63)

Watson, Mark (54)

Ng, Serena (49)

Bai, Jushan (42)

Stock, James (35)

Zaffaroni, Paolo (27)

Sala, Luca (21)

veronese, giovanni (19)

Main data


Where Marco Lippi has published?


Journals with more than one article published# docs
Journal of Econometrics6
Econometric Theory3
Ricerche Economiche2
The Review of Economics and Statistics2
Journal of Monetary Economics2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers15
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles12
Working Papers ECARES / ULB -- Universite Libre de Bruxelles8
Center for Economic Research (RECent) / University of Modena and Reggio E., Dept. of Economics "Marco Biagi"8
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy5
EIEF Working Papers Series / Einaudi Institute for Economics and Finance (EIEF)2
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area2

Recent works citing Marco Lippi (2021 and 2020)


YearTitle of citing document
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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2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2020Factor-Driven Two-Regime Regression. (2019). Shin, Youngki ; SEO, MYUNG HWAN ; Lee, Sokbae (Simon) ; Liao, Yuan. In: Papers. RePEc:arx:papers:1810.11109.

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2022Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2020Identifiability of Structural Singular Vector Autoregressive Models. (2019). Braumann, Alexander ; Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04096.

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2020Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

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2021Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2020Forecasts with Bayesian vector autoregressions under real time conditions. (2020). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2004.04984.

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2020Modeling High-Dimensional Unit-Root Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2005.03496.

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2020Macroeconomic Forecasting with Fractional Factor Models. (2020). Hartl, Tobias. In: Papers. RePEc:arx:papers:2005.04897.

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

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2021The Spectral Approach to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2007.13804.

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2020Economic Reality, Economic Media and Individuals Expectations. (2020). Persson, Kristoffer. In: Papers. RePEc:arx:papers:2007.13823.

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2020Simpler Proofs for Approximate Factor Models of Large Dimensions. (2020). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2008.00254.

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2021Instrumental Variable Identification of Dynamic Variance Decompositions. (2020). Wolf, Christian K ; Plagborg-Moller, Mikkel. In: Papers. RePEc:arx:papers:2011.01380.

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2020A Two-Way Transformed Factor Model for Matrix-Variate Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2011.09029.

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2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

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2021Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data. (2021). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2103.14626.

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2021Min(d)ing the President: A text analytic approach to measuring tax news. (2021). Smeekes, Stephan ; Bacsturk, Nalan ; Almeida, Rui Jorge ; Lieb, Lenard ; Jassem, Adam. In: Papers. RePEc:arx:papers:2104.03261.

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2021Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127.

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2021Output, Employment, and Price Effects of U.S. Narrative Tax Changes: A Factor-Augmented Vector Autoregression Approach. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2106.10844.

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2021Trade When Opportunity Comes: Price Movement Forecasting via Locality-Aware Attention and Adaptive Refined Labeling. (2021). Wang, Ling ; Zhu, Dewei ; Dai, Zhonghao ; Zhang, Ruchen ; Li, Jian ; Niu, Hui ; Zeng, Liang. In: Papers. RePEc:arx:papers:2107.11972.

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2021Heterogeneous Responses to the U.S. Narrative Tax Changes: Evidence from the U.S. States. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.13678.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021Approximate Factor Models with Weaker Loadings. (2021). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2109.03773.

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2021Linear Panel Regressions with Two-Way Unobserved Heterogeneity. (2021). Weidner, Martin ; Freeman, Hugo. In: Papers. RePEc:arx:papers:2109.11911.

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2021CP Factor Model for Dynamic Tensors. (2021). Chen, Rong ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2110.15517.

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2021Asymmetric Conjugate Priors for Large Bayesian VARs. (2021). Chan, Joshua. In: Papers. RePEc:arx:papers:2111.07170.

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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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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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2021Machine Learning and Oil Price Point and Density Forecasting. (2021). Gaglianone, Wagner ; Lin, Yihao ; Issler, Joo Victor ; Teixeira, Osmani ; Cavalcanti, Pedro ; Bonnet, Alexandre. In: Working Papers Series. RePEc:bcb:wpaper:544.

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2020Asymmetry in the conditional distribution of euro-area inflation. (2020). Tagliabracci, Alex. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1270_20.

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2021Dating the euro area business cycle: an evaluation. (2021). Pacella, Claudia. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1332_21.

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2021The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium. (2021). Ibarra-Ramirez, Raul . In: Working Papers. RePEc:bdm:wpaper:2021-07.

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2021Labor Market Indicator for Colombia (LMI). (2021). Ramos-Veloza, Mario ; Cristiano-Botia, Deicy J ; Hernandez-Bejarano, Manuel Dario. In: Borradores de Economia. RePEc:bdr:borrec:1152.

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2021Nowcasting Colombian Economic Activity: DFM and Factor-MIDAS approaches. (2021). Rojas-Martinez, Carlos D ; Martinez-Cortes, Nicolas ; Galeano-Ramirez, Franky Juliano. In: Borradores de Economia. RePEc:bdr:borrec:1168.

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2021News Shocks under Financial Frictions. (2021). Zanetti, Francesco ; Görtz, Christoph ; Tsoukalas, John ; Gortz, Christoph. In: Discussion Papers. RePEc:bir:birmec:21-08.

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2020FISS – A Factor-based Index of Systemic Stress in the Financial System. (2020). Varga, Katalin ; Szendrei, Tibor . In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:1:p:3-34.

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2021FORECASTING RUSSIAN CPI WITH DATA VINTAGES AND MACHINE LEARNING TECHNIQUES. (2021). Mamedli, Mariam ; Shibitov, Denis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps70.

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2020RATIONAL HEURISTICS? EXPECTATIONS AND BEHAVIORS IN EVOLVING ECONOMIES WITH HETEROGENEOUS INTERACTING AGENTS. (2020). Treibich, Tania ; Stiglitz, Joseph ; Roventini, Andrea ; Napoletano, Mauro ; Dosi, Giovanni. In: Economic Inquiry. RePEc:bla:ecinqu:v:58:y:2020:i:3:p:1487-1516.

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2020A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting. (2020). Hartigan, Luke ; Morley, James. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:271-293.

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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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2020Extracting Conditionally Heteroskedastic Components using Independent Component Analysis. (2020). Miettinen, Jari ; Matilainen, Markus ; Nordhausen, Klaus ; Taskinen, Sara. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:2:p:293-311.

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2021Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models. (2021). Nisol, Gilles ; Hormann, Siegfried. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:295-313.

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2021Identifiability of structural singular vector autoregressive models. (2021). Braumann, Alexander ; Funovits, Bernd. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:431-441.

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2021Jointly determining the state dimension and lag order for Markov?switching vector autoregressive models. (2021). Kwok, Simon Sai Man ; Li, Nan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:471-491.

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2020On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy. (2020). Schlosser, Alexander ; Pruser, Jan. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:5:p:1217-1237.

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2020The Government Spending Multiplier at the Zero Lower Bound: Evidence from the United States. (2020). Gasteiger, Emanuel ; Fragetta, Matteo ; di Serio, Mario. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:6:p:1262-1294.

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2020On aggregation of strongly dependent time series. (2020). Ghosh, Sucharita ; Liu, Haiyan ; Beran, Jan. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:690-710.

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2020A Suggestion for a Dynamic Multi Factor Model (DMFM). (2020). Tavlas, George ; Hall, Stephen ; Gibson, Heather D. In: Working Papers. RePEc:bog:wpaper:282.

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2020Can Alternative Data Improve the Accuracy of Dynamic Factor Model Nowcasts?. (2020). Cristea, R G. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20108.

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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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2020News Shocks under Financial Frictions. (2020). Zanetti, Francesco ; Görtz, Christoph ; Tsoukalas, John D ; Gortz, Christoph. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8728.

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2022Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9687.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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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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2020Nowcasting German GDP. (2020). Strohsal, Till ; Reichlin, Lucrezia ; Hasenzagl, Thomas ; Senftleben-Konig, Charlotte Charlotte ; Andreini, Paolo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14323.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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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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2021Inferential Theory for Generalized Dynamic Factor Models. (2021). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/331192.

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2020PCCI – a data-rich measure of underlying inflation in the euro area. (2020). BOBEICA, Elena ; Banbura, Marta ; Babura, Marta. In: Statistics Paper Series. RePEc:ecb:ecbsps:202038.

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2020The simpler the better: measuring financial conditions for monetary policy and financial stability. (2020). Arrigoni, Simone ; Venditti, Fabrizio ; Bobasu, Alina. In: Working Paper Series. RePEc:ecb:ecbwps:20202451.

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2020Nowcasting with large Bayesian vector autoregressions. (2020). Sokol, Andrej ; Giannone, Domenico ; Cimadomo, Jacopo ; Monti, Francesca ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20202453.

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2020Synchronization of regional growth dynamics in China. (2020). Ma, Jun ; Bian, Zhicun ; Stewart, Shamar ; Ni, Jinlan. In: China Economic Review. RePEc:eee:chieco:v:61:y:2020:i:c:s1043951x18301305.

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2022On the dynamics of the q-deformed Puu’s model with cubic investment map. (2022). Muoz-Guillermo, Maria. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:157:y:2022:i:c:s0960077922001813.

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2020Identifying noise shocks. (2020). Koop, Gary ; Chan, Joshua ; Eisenstat, Eric ; Benati, Luca. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301770.

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2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Monetary policy and systemic risk-taking in the euro area banking sector. (2020). Kabundi, Alain ; de Simone, Francisco Nadal . In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:736-758.

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2020The People’s bank of China’s response to the coronavirus pandemic: A quantitative assessment. (2020). Funke, Michael ; Tsang, Andrew. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:465-473.

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2021Forecasting imports with information from abroad. (2021). Lehmann, Robert ; Grimme, Christian ; Noeller, Marvin. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:109-117.

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2022Building back better: How big are green spending multipliers?. (2022). Melina, Giovanni ; Fragetta, Matteo ; di Serio, Mario ; Batini, Nicoletta ; Waldron, Anthony. In: Ecological Economics. RePEc:eee:ecolec:v:193:y:2022:i:c:s0921800921003645.

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2020A robust procedure to build dynamic factor models with cluster structure. (2020). Galeano, Pedro ; Alonso, Andres M ; Pea, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:35-52.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70.

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2020Factor-adjusted regularized model selection. (2020). Ke, Yuan ; Fan, Jianqing ; Wang, Kaizheng. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:71-85.

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2020Estimating latent asset-pricing factors. (2020). Pelger, Markus ; Lettau, Martin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:1-31.

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2021Augmented factor models with applications to validating market risk factors and forecasting bond risk premia. (2021). Liao, Yuan ; Ke, Yuan ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:269-294.

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2021Time-varying general dynamic factor models and the measurement of financial connectedness. (2021). Soccorsi, Stefano ; von Sachs, Rainer ; Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:324-343.

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2021Autoregressive models for matrix-valued time series. (2021). Yang, Dan ; Xiao, Han ; Chen, Rong. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:539-560.

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2021On factor models with random missing: EM estimation, inference, and cross validation. (2021). Su, Liangjun ; Jin, Sainan ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:745-777.

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2020Flexible copula models with dynamic dependence and application to financial data. (2020). Joe, Harry ; Krupskii, Pavel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:148-167.

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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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2021Spurious cross-sectional dependence in credit spread changes. (2021). McAleer, Michael ; Jaskowski, Marcin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:12-27.

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2020The euro-area government spending multiplier at the effective lower bound. (2020). Melina, Giovanni ; Fragetta, Matteo ; di Serio, Mario ; Amendola, Adalgiso. In: European Economic Review. RePEc:eee:eecrev:v:127:y:2020:i:c:s0014292120301124.

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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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2021Follow the leader: Index tracking with factor models. (2021). Perez, M. Fabricio ; Jiang, Pan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:337-350.

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2021Machine learning and oil price point and density forecasting. (2021). Issler, João ; Gaglianone, Wagner ; Cavalcanti, Pedro ; Bonnet, Alexandre ; Lin, Yihao ; Teixeira, Osmani. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003807.

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2020Energy commodity uncertainties and the systematic risk of US industries. (2020). Balli, Faruk ; Naeem, Muhammad Abubakr ; de Bruin, Anne ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303846.

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2021Cyclical convergence in per capita carbon dioxide emission in US states: A dynamic unobserved component approach. (2021). Cabezas-Ares, Alfredo ; Delgado-Rodriguez, Maria Jesus ; de Lucas-Santos, Sonia. In: Energy. RePEc:eee:energy:v:217:y:2021:i:c:s0360544220324567.

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2020Research on Chinas financial systemic risk contagion under jump and heavy-tailed risk. (2020). Liu, Xi-Hua ; Gong, Xiao-Li ; Zhang, Wei ; Xiong, Xiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302283.

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2020Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis. (2020). de Simone, Francisco Nadal ; Jin, Xisong. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300486.

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2020News and why it is not shocking: The role of micro-foundations. (2020). Minford, A. Patrick ; Meenagh, David ; Mai, Vo Phuong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300834.

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2020Forecasting inflation with online prices. (2020). Bertolotto, Manuel I ; Aparicio, Diego. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:232-247.

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2020Macroeconomic forecasting using approximate factor models with outliers. (2020). Yen, Yu-Min ; Chou, Ray Yeutien. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:267-291.

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2020Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model. (2020). Wolters, Maik ; Reif, Magnus ; Heinrich, Markus ; Carstensen, Kai. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:829-850.

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2020A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth. (2020). Cheung, Calista ; Chernis, Tony ; Velasco, Gabriella. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:851-872.

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2021ALICE: Composite leading indicators for euro area inflation cycles. (2021). Zekaite, Zivile ; de Bondt, Gabe ; Hahn, Elke. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:687-707.

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

Works by Marco Lippi:


YearTitleTypeCited
1993The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment. In: American Economic Review.
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article185
1993The dynamic effects of aggregate demand and supply disturbances: comment.(1993) In: ULB Institutional Repository.
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2017Noisy News in Business Cycles In: American Economic Journal: Macroeconomics.
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2013Noisy News in Business cycles.(2013) In: CEPR Discussion Papers.
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2014Noisy News in Business Cycles.(2014) In: Working Papers.
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2014Noisy News in Business Cycles.(2014) In: Center for Economic Research (RECent).
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2001A real time coincident indicator of the euro area business cycle In: Temi di discussione (Economic working papers).
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2007New Eurocoin: Tracking Economic Growth in Real Time In: Temi di discussione (Economic working papers).
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2006New EuroCOIN: Tracking Economic Growth in Real Time.(2006) In: CEPR Discussion Papers.
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2008New Eurocoin: Tracking Economic Growth in Real Time.(2008) In: Center for Economic Research (RECent).
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paper
2010New Eurocoin: Tracking Economic Growth in Real Time.(2010) In: The Review of Economics and Statistics.
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article
2005The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting In: Journal of the American Statistical Association.
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article551
2002The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting.(2002) In: CEPR Discussion Papers.
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paper
2003The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting.(2003) In: LEM Papers Series.
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paper
2005The generalised dynamic factor model: one sided estimation and forecasting.(2005) In: ULB Institutional Repository.
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paper
1998Aggregation of Simple Linear Dynamics: Exact Asymptotic Results In: STICERD - Econometrics Paper Series.
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paper6
1998Aggregation of simple linear dynamics: exact asymptotic results.(1998) In: LSE Research Online Documents on Economics.
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2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis In: CEPR Discussion Papers.
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2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Working Papers ECARES.
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2017Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis.(2017) In: Journal of Econometrics.
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2016Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis.(2016) In: EIEF Working Papers Series.
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2015Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Center for Economic Research (RECent).
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paper
2016Dynamic Factor model with infinite dimensional factor space: forecasting In: CEPR Discussion Papers.
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paper41
2016Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting.(2016) In: Working Papers ECARES.
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2016Dynamic Factor model with infinite dimensional factor space: forecasting.(2016) In: Center for Economic Research (RECent).
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2018Dynamic factor model with infinite?dimensional factor space: Forecasting.(2018) In: Journal of Applied Econometrics.
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article
2016Eigenvalue Ratio Estimators for the Number of Common Factors In: CEPR Discussion Papers.
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2020Common Component Structural VARs In: CEPR Discussion Papers.
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2020Common Components Structural VARs.(2020) In: Center for Economic Research (RECent).
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1999The Generalized Dynamic Factor Model: Identification and Estimation In: CEPR Discussion Papers.
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2000The Generalized Dynamic-Factor Model: Identification And Estimation.(2000) In: The Review of Economics and Statistics.
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2000The generalised dynamic factor model: identification and estimation.(2000) In: ULB Institutional Repository.
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2000Reference Cycles: The NBER Methodology Revisited In: CEPR Discussion Papers.
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paper45
2000The Generalized Dynamic Factor Model: Representation Theory In: CEPR Discussion Papers.
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paper348
2001THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY.(2001) In: Econometric Theory.
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2001EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle In: CEPR Discussion Papers.
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paper151
2003EUROCOIN: A REAL TIME COINCIDENT INDICATOR OF THE EURO AREA BUSINESS CYCLE.(2003) In: Computing in Economics and Finance 2003.
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2002Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area? In: CEPR Discussion Papers.
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paper242
2003Do financial variables help forecasting inflation and real activity in the euro area?.(2003) In: Journal of Monetary Economics.
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2003Do financial variables help forecasting inflation and real activity in the Euro area ?.(2003) In: ULB Institutional Repository.
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paper
2003Opening the Black Box: Structural Factor Models versus Structural VARs In: CEPR Discussion Papers.
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paper44
1993Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle In: CEPR Discussion Papers.
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paper60
1994Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle.(1994) In: Review of Economic Studies.
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article
1994Diffusion of technical change and the decomposition of output into trend and cycle.(1994) In: ULB Institutional Repository.
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paper
2013Noise Bubbles In: CEPR Discussion Papers.
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paper8
2014Noise Bubbles.(2014) In: Center for Economic Research (RECent).
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2017Noise Bubbles.(2017) In: Economic Journal.
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article
2004ISSUES CONCERNING THE APPROXIMATION UNDERLYING THE SPECTRAL REPRESENTATION THEOREM In: Econometric Theory.
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2003Issues Concerning the Approximation Underlying the Spectral Representation Theorem.(2003) In: LEM Papers Series.
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paper
2009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS In: Econometric Theory.
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article304
2008Opening the Black Box: Structural Factor Models with Large Cross-Sections.(2008) In: Working Papers ECARES.
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paper
2007Opening the black box: structural factor models with large cross-sections.(2007) In: Working Paper Series.
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2007Opening the Black Box: Structural Factor Models with Large Cross-Sections.(2007) In: Center for Economic Research (RECent).
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2012Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations In: Working Papers ECARES.
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paper65
2015Dynamic factor models with infinite-dimensional factor spaces: One-sided representations.(2015) In: Journal of Econometrics.
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article
2013Factor Models in High-Dimensional Time Series: A Time-Domain Approach In: Working Papers ECARES.
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paper28
2013Factor models in high-dimensional time series—A time-domain approach.(2013) In: Stochastic Processes and their Applications.
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article
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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paper
2017Optimal Dimension Reduction for High-dimensional and Functional Time Series In: Working Papers ECARES.
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2018Optimal dimension reduction for high-dimensional and functional time series.(2018) In: Statistical Inference for Stochastic Processes.
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2011One-Sided Representations of Generalized Dynamic Factor Models In: Working Papers ECARES.
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2011One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: EIEF Working Papers Series.
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2011One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: DSS Empirical Economics and Econometrics Working Papers Series.
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1991Trend-Cycle Decompositions and Measures of Persistence: Does Time Aggregation Matter? In: Economic Journal.
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1991Trend-cycle decompositions and measures of persistence: does time aggregation matter?.(1991) In: ULB Institutional Repository.
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1988On the dynamic shape of aggregated error correction models In: Journal of Economic Dynamics and Control.
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article15
2004The generalized dynamic factor model consistency and rates In: Journal of Econometrics.
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2004The generalised dynamic factor model: consistency and rates.(2004) In: ULB Institutional Repository.
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2011The general dynamic factor model: One-sided representation results In: Journal of Econometrics.
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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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1994VAR analysis, nonfundamental representations, blaschke matrices In: Journal of Econometrics.
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article155
1994VAR analysis, non-fundamental representations, Blashke matrices.(1994) In: ULB Institutional Repository.
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1994Common and uncommon trends and cycles In: European Economic Review.
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1994Common and uncommon trends and cycles.(1994) In: ULB Institutional Repository.
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2001Innovation and corporate growth in the evolution of the drug industry In: International Journal of Industrial Organization.
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2001Innovation and Corporate Growth in the Evolution of the Drug Industry.(2001) In: LEM Papers Series.
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1994Aggregation: Aggregate production functions and related topics, collected papers by Franklin M. Fisher : Franklin M. Fisher, edited by John Monz (The MIT Press, Cambridge, MA) pp. xxiv-280, $45.00 (cl In: Journal of Economic Behavior & Organization.
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1999Aggregation of linear dynamic microeconomic models In: Journal of Mathematical Economics.
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1992On persistence of shocks to economic variables : A common misconception In: Journal of Monetary Economics.
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1992On persistence of shocks to economic variables: a common misconception.(1992) In: ULB Institutional Repository.
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1993Editors note In: Ricerche Economiche.
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1993Editors note In: Ricerche Economiche.
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2016Non-Stationary Dynamic Factor Models for Large Datasets In: Finance and Economics Discussion Series.
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2004A dynamic factor analysis of the response of U. S. interest rates to news In: Working Papers.
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2004A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News.(2004) In: LEM Papers Series.
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1990Issues on Aggregation and Microfundations of Macroeconomics. In: Roma la Sapienza - Scienze Economiche.
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2020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors In: Econometrics.
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1998The Principle of Labor Value In: International Journal of Political Economy.
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2016Eigenvalue Ratio Estimators for the Number of Dynamic Factors In: Center for Economic Research (RECent).
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2007Il primo esercizio italiano di valutazione della ricerca: una prima valutazione In: Rivista italiana degli economisti.
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1997Aggregation and the Microfoundations of Dynamic Macroeconomics In: OUP Catalogue.
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1988Part III - How well does established theory work In: LEM Chapters Series.
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2000Processes of corporate growth in the evolution of an innovation-driven industry. The case of pharmaceuticals. In: LEM Papers Series.
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2001Coincident and leading indicators for the Euro area In: ULB Institutional Repository.
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1991Permanent and temporary fluctuations in macroeconomics In: ULB Institutional Repository.
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