Stefano Soccorsi : Citation Profile

Are you Stefano Soccorsi?

Lancaster University

5

H index

4

i10 index

72

Citations

RESEARCH PRODUCTION:

4

Articles

10

Papers

RESEARCH ACTIVITY:

   5 years (2016 - 2021). See details.
   Cites by year: 14
   Journals where Stefano Soccorsi has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 7 (8.86 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pso568
   Updated: 2024-11-08    RAS profile: 2023-05-10    
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Relations with other researchers

Works with:

Barigozzi, Matteo (6)

Hallin, Marc (6)

Massacci, Daniele (2)

Giovannelli, Alessandro (2)

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

Is cited by:

Hallin, Marc (21)

Forni, Mario (9)

Valls Pereira, Pedro (8)

Hotta, Luiz (8)

Trucíos, Carlos (8)

Barigozzi, Matteo (7)

Iskrev, Nikolay (5)

Lippi, Marco (4)

Zaffaroni, Paolo (4)

Gambetti, Luca (2)

Hillebrand, Eric (2)

Cites to:

Lippi, Marco (48)

Hallin, Marc (45)

Forni, Mario (43)

Zaffaroni, Paolo (16)

Reichlin, Lucrezia (16)

Barigozzi, Matteo (16)

Watson, Mark (14)

Ng, Serena (11)

Diebold, Francis (11)

Engle, Robert (8)

Timmermann, Allan (7)

Main data

Where Stefano Soccorsi has published?

Working Papers Series with more than one paper published# docs
Working Papers ECARES / ULB -- Universite Libre de Bruxelles4

Recent works citing Stefano Soccorsi (2024 and 2023)

YearTitle of citing document
2023Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887.

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2024Trade 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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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2023Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

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2024Inferential theory for generalized dynamic factor models. (2024). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000593.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2023A new way of measuring effects of financial crisis on contagion in currency markets. (2023). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923002806.

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2023European 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.

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2024Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:62-76.

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2024Imported financial risk in global stock markets: Evidence from the interconnected network. (2024). Liu, KE ; Lu, Min ; Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

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2023Black-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.

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2023Measuring tourism demand nowcasting performance using a monotonicity test. (2023). Liu, Ying ; Song, Haiyan ; Wang, Yongjing. In: Tourism Economics. RePEc:sae:toueco:v:29:y:2023:i:5:p:1302-1327.

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2023A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting. (2023). GUPTA, RANGAN ; Zhang, Han. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00483-5.

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Works by Stefano Soccorsi:

YearTitleTypeCited
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper21
2020Time-varying general dynamic factor models and the measurement of financial connectedness.(2020) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness.(2019) In: Working Papers ECARES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2021Time-varying general dynamic factor models and the measurement of financial connectedness.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		article
2016Dynamic Factor model with infinite dimensional factor space: forecasting In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper19
2016Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting.(2016) In: Working Papers ECARES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2016Dynamic Factor model with infinite dimensional factor space: forecasting.(2016) In: Center for Economic Research (RECent).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2016Measuring Nonfundamentalness for Structural VARs In: Working Papers ECARES.
[Full Text][Citation analysis]		paper14
2016Measuring nonfundamentalness for structural VARs.(2016) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES.
[Full Text][Citation analysis]		paper0
2021Forecasting stock returns with large dimensional factor models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
2020Forecasting Stock Returns with Large Dimensional Factor Models.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		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]		paper11
2019Identification 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 nother version. Agregated cites: 11		article

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team