Matteo Barigozzi : Citation Profile

Are you Matteo Barigozzi?

Alma Mater Studiorum - Università di Bologna

15

H index

23

i10 index

940

Citations

RESEARCH PRODUCTION:

25

Articles

69

Papers

RESEARCH ACTIVITY:

   16 years (2007 - 2023). See details.
   Cites by year: 58
   Journals where Matteo Barigozzi has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 48 (4.86 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba354
   Updated: 2024-01-16    RAS profile: 2023-06-07    
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Relations with other researchers

Works with:

Hallin, Marc (9)

Soccorsi, Stefano (6)

Luciani, Matteo (5)

Trapani, Lorenzo (5)

Trapani, Lorenzo (4)

Cavaliere, Giuseppe (3)

Lippi, Marco (2)

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

Is cited by:

Hallin, Marc (62)

Trucíos, Carlos (30)

Valls Pereira, Pedro (27)

Hotta, Luiz (27)

Lippi, Marco (22)

Forni, Mario (19)

Ruiz, Esther (17)

Poncela, Pilar (16)

Guerini, Mattia (14)

GUPTA, RANGAN (14)

Napoletano, Mauro (14)

Cites to:

Reichlin, Lucrezia (196)

Lippi, Marco (193)

Forni, Mario (184)

Hallin, Marc (171)

Giannone, Domenico (120)

Bai, Jushan (82)

Watson, Mark (65)

Engle, Robert (64)

Ng, Serena (61)

Zaffaroni, Paolo (44)

Luciani, Matteo (34)

Main data

Where Matteo Barigozzi has published?

Journals with more than one article published# docs
Journal of Econometrics6
Journal of Applied Econometrics2
Oxford Bulletin of Economics and Statistics2
Structural Change and Economic Dynamics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org14
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy12
Working Papers ECARES / ULB -- Universite Libre de Bruxelles11
Working Paper Series / European Central Bank4
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)3
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"2

Recent works citing Matteo Barigozzi (2024 and 2023)

YearTitle of citing document
2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

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

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2023Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000.

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2023Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052.

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2023Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693.

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2023On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2211.04184.

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2023Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

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2023Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808.

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2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023Prospects of BRICS currency dominance in international trade. (2023). Shepelyansky, Dima L ; Jos'e Lages, ; Coquid, C'Elestin. In: Papers. RePEc:arx:papers:2305.00585.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2023). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653.

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2023Robust Impulse Responses using External Instruments: the Role of Information. (2023). Mazzali, Marco ; Franconi, Alessandro ; Brignone, Davide. In: Papers. RePEc:arx:papers:2307.06145.

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2023Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2023Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2023Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471.

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2023Inference on common trends in functional time series. (2023). Seong, Dakyung ; Nielsen, Morten Orregaard. In: Papers. RePEc:arx:papers:2312.00590.

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2023.

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2023The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57.

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2023Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246.

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2023ECB monetary policy and commodity prices. (2023). Kočenda, Evžen ; Koenda, Even ; Aliyev, Shahriyar. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:274-304.

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2023Global house prices since 1950. (2023). Sustek, Roman ; Mumtaz, Haroon. In: Discussion Papers. RePEc:cfm:wpaper:2307.

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2023A tail of labor supply and a tale of monetary policy. (2023). ferroni, filippo ; Cantore, Cristiano ; Theophilopoulou, Angeliki ; Mumtaz, Haroon. In: Discussion Papers. RePEc:cfm:wpaper:2308.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

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2023Reconciling econometrics with continuous maximum-entropy network models. (2023). Squartini, Tiziano ; Garlaschelli, Diego ; di Vece, Marzio. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:166:y:2023:i:c:s0960077922011377.

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2023Change-point testing for parallel data sets with FDR control. (2023). Wang, Zhaojun ; Zou, Changliang ; Cui, Junfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000166.

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2023Systemic political risk. (2023). Uribe, Jorge ; Chuliá, Helena ; Estevez, Marc ; Chulia, Helena. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001876.

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2023The cross-industry effects of monetary policy: New evidence from Bangladesh. (2023). Roy, Ripon ; Bhattacharya, Prasad Sankar. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002912.

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2023Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models. (2023). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002719.

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2023Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:132-154.

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2023High-dimensional VARs with common factors. (2023). Su, Liangjun ; Phillips, Peter ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:155-183.

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2023Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2023). Bai, Jushan ; Han, XU ; Duan, Jiangtao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:209-236.

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2023Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44.

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2023Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892.

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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665.

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2023News-implied linkages and local dependency in the equity market. (2023). Linton, Oliver ; Ge, Shuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:779-815.

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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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2023High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research. (2023). Anderson, Brian ; Deistler, Manfred ; Lippi, Marco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:3-16.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Energy firms in emerging markets: Systemic risk and diversification opportunities. (2023). Uribe, Jorge ; Chuliá, Helena ; Muoz-Mendoza, Jorge A ; Chulia, Helena. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000584.

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2023Investor sentiment and global economic conditions. (2023). Lutkebohmert, Eva ; Herculano, Miguel C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:134-152.

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2023Long-term equilibrium relationship analysis and energy-saving measures of metro energy consumption and its influencing factors based on cointegration theory and an ARDL model. (2023). Chen, Hongyu ; Liu, Yang ; Feng, Zongbao ; Skibniewski, Mirosaw J. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pd:s0360544222028511.

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2023Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198.

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2023IP protection and ownership in cross-border acquisitions. (2023). Alon, Ilan ; Tarba, Shlomo Y ; Ahammad, Mohammad Faisal ; Lee, Sang Mook ; Bazel-Shoham, Ofra. In: International Business Review. RePEc:eee:iburev:v:32:y:2023:i:3:s096959312300001x.

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2023Monetary policy shocks and consumer expectations in the euro area. (2023). Scharler, Johann ; Grundler, Daniel ; Geiger, Martin. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001404.

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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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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023One-stop source: A global database of inflation. (2023). Ohnsorge, Franziska ; Kose, Ayhan ; Ha, Jongrim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000979.

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2023Who is the core? Reveal the heterogeneity of global rare earth trade structure from the perspective of industrial chain. (2023). Du, Debin ; Xia, Qifan ; Li, Xiya ; Cao, Wanpeng. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s030142072300243x.

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2023Clustering coefficients as measures of the complex interactions in a directed weighted multilayer network. (2023). Grassi, Rosanna ; Clemente, Gian Paolo ; Bartesaghi, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:610:y:2023:i:c:s0378437122009712.

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2023Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices. (2023). Pagnottoni, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:615:y:2023:i:c:s037843712300136x.

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2023The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223.

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2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: Working Papers. RePEc:fem:femwpa:2023.11.

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2023Monetary Policy Implications on Macroeconomic Performance in the Common Monetary Area: A Panel-SVAR Framework. (2023). Mukorera, Sophia ; Shumba, Theron. In: Economies. RePEc:gam:jecomi:v:11:y:2023:i:5:p:144-:d:1144118.

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2023Hospital cost efficiency: an examination of US acute care inpatient hospitals. (2023). Linde, Sebastian. In: International Journal of Health Economics and Management. RePEc:kap:ijhcfe:v:23:y:2023:i:3:d:10.1007_s10754-023-09356-x.

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2023THE EXPANSIONARY EFFECTS OF HOUSING CREDIT SUPPLY SHOCKS. (2023). Motta, Giorgio ; Miescu, Mirela Sorina ; Rossi, Raffaele ; Pontiggia, Dario. In: Working Papers. RePEc:lan:wpaper:399832231.

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2023Credit risk linkages in the international banking network, 2000–2019. (2023). Parfenov, Daniil ; Stolbov, Mikhail. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:3:d:10.1057_s41283-023-00126-0.

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2023Fiscal Policy and Asset Prices in a Dynamic Factor Model with Cointegrated Factors. (2023). Takumah, Wisdom. In: MPRA Paper. RePEc:pra:mprapa:117897.

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2023Impact of COVID-19 on household consumption in Russia. (2023). Demidova, Olga ; Voytenkov, Valentin. In: Applied Econometrics. RePEc:ris:apltrx:0486.

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2023The Vector Error Correction Index Model: Representation, Estimation and Identification. (2023). Cubadda, Gianluca ; Mazzali, Marco. In: CEIS Research Paper. RePEc:rtv:ceisrp:556.

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2023Applied Regional Economic Research Can Improve Development Strategies and Drive Better Outcomes. (2023). Williams, Nichelle ; Forbes, Allison ; Poole, Kenneth E. In: Economic Development Quarterly. RePEc:sae:ecdequ:v:37:y:2023:i:1:p:85-95.

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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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2023Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. (2023). Zhou, Wei-Xing ; Jawadi, Fredj ; Xu, Hai-Chuan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02338-x.

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2023The impact of pandemic on dynamic volatility spillover network of international stock markets. (2023). Shao, Liuguo ; Lan, Tingting ; Yuan, Caijun ; Zhang, Hua. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:5:d:10.1007_s00181-023-02422-w.

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2023Imperfect Information and Hidden Dynamics. (2023). Levine, Paul ; Yang, BO ; Wright, Stephen ; Pearlman, Joseph. In: School of Economics Discussion Papers. RePEc:sur:surrec:1223.

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2023Connectedness between G10 currencies: Searching for the causal structure. (2023). Heinlein, Reinhold ; Bettendorf, Timo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3938-3959.

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2023Structural VAR and financial networks: A minimum distance approach to spatial modeling. (2023). Scida, Daniela. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:1:p:49-68.

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2023Nowcasting the state of the Italian economy: The role of financial markets. (2023). Silvestrini, Andrea ; Ceci, Donato. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1569-1593.

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2023Aid for Trade flows, Patent Rights Protection and Total Factor Productivity. (2023). Gnangnon, Sena Kimm. In: EconStor Preprints. RePEc:zbw:esprep:274650.

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Works by Matteo Barigozzi:

YearTitleTypeCited
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: LIDAM Discussion Papers ISBA.
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2020Time-varying general dynamic factor models and the measurement of financial connectedness.(2020) In: LIDAM Reprints ISBA.
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This paper has nother version. Agregated cites: 12		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 nother version. Agregated cites: 12		paper
2021Time-varying general dynamic factor models and the measurement of financial connectedness.(2021) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 12		article
2010Multinetwork of international trade: A commodity-specific analysis In: Papers.
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2009The Multi-Network of International Trade: A Commodity-Specific Analysis.(2009) In: LEM Papers Series.
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This paper has nother version. Agregated cites: 79		paper
2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series In: Papers.
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2015Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series.(2015) In: Working Papers ECARES.
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This paper has nother version. Agregated cites: 1		paper
2020Sequential testing for structural stability in approximate factor models In: Papers.
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2020Sequential testing for structural stability in approximate factor models.(2020) In: Stochastic Processes and their Applications.
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2018Sequential testing for structural stability in approximate factor models.(2018) In: Discussion Papers.
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2018Determining the dimension of factor structures in non-stationary large datasets In: Papers.
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2018Determining the dimension of factor structures in non-stationary large datasets.(2018) In: Discussion Papers.
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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals In: Papers.
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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals.(2018) In: Working Papers ECARES.
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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals.(2020) In: Journal of Econometrics.
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2022Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm In: Papers.
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2019Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models In: Papers.
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2021Inference in heavy-tailed non-stationary multivariate time series In: Papers.
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2023Factor Network Autoregressions In: Papers.
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2023Modelling Large Dimensional Datasets with Markov Switching Factor Models In: Papers.
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2023On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis In: Papers.
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2023Multidimensional dynamic factor models In: Papers.
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2023Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review In: Papers.
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2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices In: Papers.
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2013Nets: Network Estimation for Time Series In: Working Papers.
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2018Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics.
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2013Nets: Network estimation for time series.(2013) In: Economics Working Papers.
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2019NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics.
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2011Non?Fundamentalness in Structural Econometric Models: A Review In: International Statistical Review.
[Citation analysis]		article42
2017A network analysis of the volatility of high dimensional financial series In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article32
2017A network analysis of the volatility of high-dimensionalfinancial series.(2017) In: LSE Research Online Documents on Economics.
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2014Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? In: Oxford Bulletin of Economics and Statistics.
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2012Do Euro area countries respond asymmetrically to the common monetary policy?.(2012) In: LSE Research Online Documents on Economics.
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2013Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?.(2013) In: ULB Institutional Repository.
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2018On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy In: Oxford Bulletin of Economics and Statistics.
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2018On the stability of euro area money demand and its implications for monetary policy.(2018) In: LSE Research Online Documents on Economics.
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2013On the Stability of Euro Area Money Demand and its Implications for Monetary Policy.(2013) In: LEM Papers Series.
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2009Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure In: Working Papers ECARES.
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2011Immigrants legal status, permanence in the destination country and the distribution of consumption expenditure.(2011) In: Applied Economics Letters.
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2016Dynamic Factor Models, Cointegration, and Error Correction Mechanisms.(2016) In: Finance and Economics Discussion Series.
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2015Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2015) In: LSE Research Online Documents on Economics.
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2016Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2016) In: Econometrics Journal.
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2017Generalized dynamic factor models and volatilities: estimation and forecasting.(2017) In: Journal of Econometrics.
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2010On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis In: Working Papers ECARES.
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2008A robust criterion for determining the number of static factors in approximate factor models. In: Working Paper Series.
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2007A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models.(2007) In: LEM Papers Series.
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2007A Review of Nonfundamentalness and Identification in Structural VAR Models.(2007) In: LEM Papers Series.
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2012The distribution of household consumption-expenditure budget shares.(2012) In: Structural Change and Economic Dynamics.
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2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
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2014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive.
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2018Simultaneous multiple change-point and factor analysis for high-dimensional time series.(2018) In: LSE Research Online Documents on Economics.
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2010Identifying the Community Structure of the International-Trade Multi Network.(2010) In: LEM Papers Series.
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2016Identifying the independent sources of consumption variation In: LSE Research Online Documents on Economics.
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2012Identifying the Independent Sources of Consumption Variation.(2012) In: LEM Papers Series.
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2016Identifying the Independent Sources of Consumption Variation.(2016) In: Journal of Applied Econometrics.
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2017Spatio-Temporal Patterns of the International Merger and Acquisition Network.(2017) In: LEM Papers Series.
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2019Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models.(2019) In: The Journal of Financial Econometrics.
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2008The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households.(2008) In: LEM Papers Series.
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2010On the distributional properties of household consumption expenditures: the case of Italy In: Empirical Economics.
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2007On the distributional properties of household consumption expenditures. The case of Italy..(2007) In: LEM Papers Series.
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2009ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS.(2009) In: Advances in Complex Systems (ACS).
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