Stefano Soccorsi : Citation Profile

Are you Stefano Soccorsi?

Lancaster University

3

H index

1

i10 index

33

Citations

RESEARCH PRODUCTION:

3

Articles

8

Papers

RESEARCH ACTIVITY:

   3 years (2016 - 2019). See details.
   Cites by year: 11
   Journals where Stefano Soccorsi has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 4 (10.81 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pso568
   Updated: 2020-01-18    RAS profile: 2019-08-08    
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Relations with other researchers

Works with:

Barigozzi, Matteo (5)

Hallin, Marc (5)

Giovannelli, Alessandro (4)

Lippi, Marco (4)

Forni, Mario (4)

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 (11)

Forni, Mario (8)

Barigozzi, Matteo (4)

Lippi, Marco (3)

Iskrev, Nikolay (3)

Valls Pereira, Pedro (2)

Gambetti, Luca (2)

Hotta, Luiz (2)

Trucíos, Carlos (2)

Rossi, Barbara (2)

Guay, Alain (1)

Cites to:

Forni, Mario (35)

Lippi, Marco (33)

Hallin, Marc (28)

Reichlin, Lucrezia (11)

Barigozzi, Matteo (10)

Watson, Mark (10)

Ng, Serena (8)

Sentana, Enrique (6)

Engle, Robert (6)

Diebold, Francis (6)

Brownlees, Christian (5)

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 (2019 and 2018)

YearTitle of citing document
2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2018The Forcasting Performance of Dynamic Factor Models with Vintage Data. (2018). Forni, Mario ; Pattarin, Francesco ; di Bonaventura, Luca. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13034.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2019On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. (2019). Hallin, Marc ; Hotta, Luis K ; Trucios-Maza, Carlos Cesar ; Valls, Pedro L. In: Working Papers ECARES. RePEc:eca:wpaper:2013/298201.

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2018Are asset price data informative about news shocks? A DSGE perspective. (2018). Iskrev, Nikolay. In: Working Paper Series. RePEc:ecb:ecbwps:20182161.

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2017Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis. (2017). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:74-92.

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2018Macroeconomic forecasting using penalized regression methods. (2018). Smeekes, Stephan ; Wijler, Etienne. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:408-430.

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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios, Carlos. In: Textos para discussão. RePEc:fgv:eesptd:505.

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2019Detection and Analysis of Multiple Events Based on High-Dimensional Factor Models in Power Grid. (2019). Yang, Fan ; He, Xing ; Ling, Zenan ; Qiu, Robert C. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:7:p:1360-:d:221154.

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2018How Do the Industrial Structure Optimization and Urbanization Development Affect Energy Consumption in Zhejiang Province of China?. (2018). Jiang, Huiqin ; Bao, Jianqiang ; Shao, Xinxiao ; Zhang, Xiao. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1889-:d:150811.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: Working Papers. RePEc:hae:wpaper:2019-4.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

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2018Are asset price data informative about news shocks? A DSGE perspective. (2018). Iskrev, Nikolay. In: Working Papers REM. RePEc:ise:remwps:wp0332018.

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2019Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy. (2019). Mumtaz, Haroon ; Miescu, Mirela. In: Working Papers. RePEc:lan:wpaper:280730188.

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2018Monitoring Bank Failures in a Data-Rich Environment. (2018). Moran, Kevin ; Gnagne, Jean Armand . In: Cahiers de recherche. RePEc:lvl:crrecr:1815.

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2018The Forecasting Performance of Dynamic Factor Models with Vintage Data. (2018). Forni, Mario ; Pattarin, Francesco ; di Bonaventura, Luca. In: Center for Economic Research (RECent). RePEc:mod:recent:138.

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2018The Forecasting Performance of Dynamic Factor Models with Vintage Data. (2018). Forni, Mario ; Pattarin, Francesco ; di Bonaventura, Luca. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0070.

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2017A forecasting performance comparison of dynamic factor models based on static and dynamic methods. (2017). Della Marra, Fabio. In: Economics Department Working Papers. RePEc:par:dipeco:2017-me01.

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2017Dealing with Misspecification in DSGE Models: A Survey. (2017). Paccagnini, Alessia. In: MPRA Paper. RePEc:pra:mprapa:82914.

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2018Are asset price data informative about news shocks? A DSGE perspective. (2018). Iskrev, Nikolay. In: Working Papers. RePEc:ptu:wpaper:w201802.

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2019When is Nonfundamentalness in SVARs a Real Problem?. (). Portier, Franck ; Guay, Alain ; Fève, Patrick ; Beaudry, Paul. In: Review of Economic Dynamics. RePEc:red:issued:18-478.

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2019A Horse Race in High Dimensional Space. (2019). Ceci, Donato ; Andreini, Paolo. In: CEIS Research Paper. RePEc:rtv:ceisrp:452.

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Works by Stefano Soccorsi:

YearTitleTypeCited
2016Dynamic Factor model with infinite dimensional factor space: forecasting In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper20
2016Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting.(2016) In: Working Papers ECARES.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2016Dynamic 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: 20		paper
2018Dynamic 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: 20		article
2016Measuring Nonfundamentalness for Structural VARs In: Working Papers ECARES.
[Full Text][Citation analysis]		paper9
2016Measuring nonfundamentalness for structural VARs.(2016) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		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
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: Working Papers ECARES.
[Full Text][Citation analysis]		paper0
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Identification 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]		paper4
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 another version. Agregated cites: 4		article

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