4
H index
2
i10 index
56
Citations
Stefano Soccorsi : Citation Profile
Lancaster University | RESEARCH PRODUCTION: 3 Articles 10 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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4 years (2016 - 2020). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Stefano Soccorsi. | Is cited by:
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Main data
Where Stefano Soccorsi has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers ECARES / ULB -- Universite Libre de Bruxelles | 4 |
Recent works citing Stefano Soccorsi (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19. Full description at Econpapers || Download paper |
| 2020 | Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887. Full description at Econpapers || Download paper |
| 2020 | Forecasting 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. Full description at Econpapers || Download paper |
| 2020 | Generalized 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. Full description at Econpapers || Download paper |
| 2020 | Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. (2020). Valls Pereira, Pedro ; Hallin, Marc ; Trucios, Carlos Cesar ; Hotta, Luiz Koodi. In: Textos para discussão. RePEc:fgv:eesptd:521. Full description at Econpapers || Download paper |
| 2020 | An analysis of systemic risk in worldwide economic sentiment indices. (2020). Yanovski, Boyan ; Luu, Duc Thi ; Lux, Thomas. In: Empirica. RePEc:kap:empiri:v:47:y:2020:i:4:d:10.1007_s10663-019-09464-3. Full description at Econpapers || Download paper |
| 2020 | A replication of A quasi-maximum likelihood approach for large, approximate dynamic factor models (Review of Economics and Statistics, 2012). (2020). Venetis, Ioannis ; Lucchetti, Riccardo. In: Economics Discussion Papers. RePEc:zbw:ifwedp:20205. Full description at Econpapers || Download paper |
| 2020 | A replication of A quasi-maximum likelihood approach for large, approximate dynamic factor models (Review of Economics and Statistics, 2012). (2020). Venetis, Ioannis ; Lucchetti, Riccardo (Jack). In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:202014. Full description at Econpapers || Download paper |
Works by Stefano Soccorsi:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2019 | Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Time-varying general dynamic factor models and the measurement of financial connectedness.(2020) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2019 | Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness.(2019) In: Working Papers ECARES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | Dynamic Factor model with infinite dimensional factor space: forecasting In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 32 |
| 2016 | Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting.(2016) In: Working Papers ECARES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
| 2016 | Dynamic Factor model with infinite dimensional factor space: forecasting.(2016) In: Center for Economic Research (RECent). [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
| 2018 | Dynamic factor model with infiniteâ€dimensional factor space: Forecasting.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | article | |
| 2016 | Measuring Nonfundamentalness for Structural VARs In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 10 |
| 2016 | Measuring nonfundamentalness for structural VARs.(2016) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2017 | Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Identification of global and local shocks in international financial markets via general dynamic factor models In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 9 |
| 2019 | Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models.(2019) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2020 | Forecasting Stock Returns with Large Dimensional Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team