Stefano Soccorsi : Citation Profile


Are you Stefano Soccorsi?

Lancaster University

4

H index

2

i10 index

56

Citations

RESEARCH PRODUCTION:

3

Articles

10

Papers

RESEARCH ACTIVITY:

   4 years (2016 - 2020). See details.
   Cites by year: 14
   Journals where Stefano Soccorsi has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 5 (8.2 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pso568
   Updated: 2021-03-01    RAS profile: 2021-02-20    
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Relations with other researchers


Works with:

Hallin, Marc (6)

Barigozzi, Matteo (6)

Giovannelli, Alessandro (5)

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 (21)

Trucíos, Carlos (10)

Hotta, Luiz (10)

Valls Pereira, Pedro (10)

Forni, Mario (9)

Barigozzi, Matteo (7)

Rossi, Barbara (5)

Iskrev, Nikolay (4)

Lippi, Marco (4)

Venetis, Ioannis (3)

Lucchetti, Riccardo (Jack) (3)

Cites to:

Lippi, Marco (37)

Forni, Mario (35)

Hallin, Marc (34)

Barigozzi, Matteo (14)

Reichlin, Lucrezia (11)

Watson, Mark (10)

Ng, Serena (8)

Sentana, Enrique (6)

Engle, Robert (6)

Diebold, Francis (6)

Brownlees, Christian (6)

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 (2021 and 2020)


YearTitle of citing document
2020Exchange 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.

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

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2020Forecasting 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.

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2020Generalized 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.

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2020Robustness 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.

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2020An 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.

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2020A 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.

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2020A 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.

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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.
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paper1
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: 1
paper
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness.(2019) In: Working Papers ECARES.
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This paper has another version. Agregated cites: 1
paper
2016Dynamic Factor model with infinite dimensional factor space: forecasting In: CEPR Discussion Papers.
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paper32
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: 32
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: 32
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: 32
article
2016Measuring Nonfundamentalness for Structural VARs In: Working Papers ECARES.
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paper10
2016Measuring nonfundamentalness for structural VARs.(2016) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 10
article
2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES.
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paper0
2019Identification of global and local shocks in international financial markets via general dynamic factor models In: LSE Research Online Documents on Economics.
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paper9
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: 9
article
2020Forecasting Stock Returns with Large Dimensional Factor Models In: Working Papers.
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paper4

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