5
H index
4
i10 index
82
Citations
Lancaster University | 5 H index 4 i10 index 82 Citations RESEARCH PRODUCTION: 5 Articles 10 Papers RESEARCH ACTIVITY:
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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: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Working Papers ECARES / ULB -- Universite Libre de Bruxelles | 4 |
Year | Title of citing document |
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2023 | Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887. Full description at Econpapers || Download paper |
2022 | Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341. Full description at Econpapers || Download paper |
2023 | Trade 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. Full description at Econpapers || Download paper |
2021 | Using 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. Full description at Econpapers || Download paper |
2021 | Nowcasting 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. Full description at Econpapers || Download paper |
2021 | Prediction 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. Full description at Econpapers || Download paper |
2021 | Under 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. Full description at Econpapers || Download paper |
2021 | Inferential Theory for Generalized Dynamic Factor Models. (2021). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/331192. Full description at Econpapers || Download paper |
2022 | Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series. (2022). Hallin, Marc. In: Working Papers ECARES. RePEc:eca:wpaper:2013/350249. Full description at Econpapers || Download paper |
2021 | Under 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2021 | Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors. (2021). Lippi, Marco ; Barigozzi, Matteo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:455-482. Full description at Econpapers || Download paper |
2022 | Fat 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2023 | European stock market volatility connectedness: The role of country and sector membership. (2023). Uribe, Jorge ; Guillen, Montserrat ; Vidal-Llana, Xenxo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001688. Full description at Econpapers || Download paper |
2021 | Nowcasting 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. Full description at Econpapers || Download paper |
2021 | Robustness 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. Full description at Econpapers || Download paper |
2022 | Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series. (2022). Hallin, Marc. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:4:p:37-:d:1002210. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2023 | Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints. (2023). Pivnitskaya, Nataliya ; Munir, Qaiser ; Evgeniia, Mikova ; Teplova, Tamara. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09435-y. Full description at Econpapers || Download paper |
2021 | Spectral decomposition of the information about latent variables in dynamic macroeconomic models. (2021). Iskrev, Nikolay. In: Working Papers. RePEc:ptu:wpaper:w202105. Full description at Econpapers || Download paper |
2022 | On the impact of serial dependence on penalized regression methods. (2022). Giovannelli, Alessandro ; Chiaromonte, Francesca ; Tonini, Simone. In: LEM Papers Series. RePEc:ssa:lemwps:2022/21. Full description at Econpapers || Download paper |
2022 | Moments, Shocks and Spillovers in Markov-switching VAR Models. (2022). van Dijk, Dick ; Kole, Erik. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210080. Full description at Econpapers || Download paper |
2021 | Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them. (2019). Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1711. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 11 |
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: 11 | 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: 11 | paper | |
2021 | Time-varying general dynamic factor models and the measurement of financial connectedness.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2016 | Dynamic Factor model with infinite dimensional factor space: forecasting In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 41 |
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: 41 | 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: 41 | paper | |
2018 | Dynamic factor model with infinite?dimensional factor space: Forecasting.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | article | |
2016 | Measuring Nonfundamentalness for Structural VARs In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 14 |
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: 14 | 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 |
2021 | Forecasting stock returns with large dimensional factor models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
2020 | Forecasting Stock Returns with Large Dimensional Factor Models.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
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 | 11 |
2019 | Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models.(2019) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated April, 29 2023. Contact: CitEc Team