Stefano Soccorsi : Citation Profile

Are you Stefano Soccorsi?

Lancaster University

5

H index

4

i10 index

82

Citations

RESEARCH PRODUCTION:

5

Articles

10

Papers

RESEARCH ACTIVITY:

   5 years (2016 - 2021). See details.
   Cites by year: 16
   Journals where Stefano Soccorsi has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 7 (7.87 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pso568
   Updated: 2023-05-27    RAS profile: 2023-05-10    
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Relations with other researchers

Works with:

Barigozzi, Matteo (7)

Hallin, Marc (7)

Giovannelli, Alessandro (2)

Massacci, Daniele (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 (27)

Hotta, Luiz (13)

Valls Pereira, Pedro (13)

Trucíos, Carlos (13)

Barigozzi, Matteo (10)

Forni, Mario (9)

Lippi, Marco (5)

Iskrev, Nikolay (5)

Zaffaroni, Paolo (5)

Rossi, Barbara (5)

Zevallos, Mauricio (4)

Cites to:

Lippi, Marco (48)

Hallin, Marc (45)

Forni, Mario (43)

Barigozzi, Matteo (16)

Reichlin, Lucrezia (16)

Zaffaroni, Paolo (16)

Watson, Mark (14)

Ng, Serena (11)

Diebold, Francis (11)

Giovannelli, Alessandro (7)

Engle, Robert (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 (2022 and 2021)

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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2022Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2023Trade 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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2021Using 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.

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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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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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2021Under 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.

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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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2022Manfred 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.

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2021Under 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.

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2022A 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.

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2021Large-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.

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2022Fat 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.

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2022The 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.

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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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2021Nowcasting 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.

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2021Robustness 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.

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2022Manfred 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.

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2022.

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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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2021Spectral decomposition of the information about latent variables in dynamic macroeconomic models. (2021). Iskrev, Nikolay. In: Working Papers. RePEc:ptu:wpaper:w202105.

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2022On 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.

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2022Moments, Shocks and Spillovers in Markov-switching VAR Models. (2022). van Dijk, Dick ; Kole, Erik. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210080.

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2021Forecasting 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.

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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]		paper11
2020Time-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
2019Time-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
2021Time-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
2016Dynamic Factor model with infinite dimensional factor space: forecasting In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper41
2016Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting.(2016) In: Working Papers ECARES.
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This paper has another version. Agregated cites: 41		paper
2016Dynamic Factor model with infinite dimensional factor space: forecasting.(2016) In: Center for Economic Research (RECent).
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This paper has another version. Agregated cites: 41		paper
2018Dynamic factor model with infinite?dimensional factor space: Forecasting.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 41		article
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 another 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]		article5
2020Forecasting Stock Returns with Large Dimensional Factor Models.(2020) In: Working Papers.
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This paper has another version. Agregated cites: 5		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: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article

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