Matteo Barigozzi : Citation Profile

Alma Mater Studiorum - Università di Bologna (80% share)
Centre de Recherche en Économie et Statistique (CREST) (20% share)

16

H index

24

i10 index

1041

Citations

RESEARCH PRODUCTION:

32

Articles

81

Papers

RESEARCH ACTIVITY:

   18 years (2007 - 2025). See details.
   Cites by year: 57
   Journals where Matteo Barigozzi has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 55 (5.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba354
   Updated: 2025-03-15    RAS profile: 2025-03-14    
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Relations with other researchers

Works with:

Hallin, Marc (9)

Luciani, Matteo (7)

Trapani, Lorenzo (5)

Cavaliere, Giuseppe (4)

Trapani, Lorenzo (4)

Lippi, Marco (2)

Soccorsi, Stefano (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 (58)

Trucíos, Carlos (31)

Valls Pereira, Pedro (27)

Hotta, Luiz (27)

Ruiz, Esther (22)

Lippi, Marco (22)

Forni, Mario (19)

GUPTA, RANGAN (16)

Luciani, Matteo (16)

Poncela, Pilar (16)

Guerini, Mattia (14)

Cites to:

Reichlin, Lucrezia (245)

Lippi, Marco (237)

Forni, Mario (218)

Hallin, Marc (212)

Giannone, Domenico (156)

Bai, Jushan (119)

Ng, Serena (88)

Watson, Mark (74)

Engle, Robert (65)

Zaffaroni, Paolo (54)

Luciani, Matteo (41)

Main data

Where Matteo Barigozzi has published?

Journals with more than one article published# docs
Journal of Econometrics8
Oxford Bulletin of Economics and Statistics3
Journal of Business & Economic Statistics2
Structural Change and Economic Dynamics2
Journal of Applied Econometrics2
Journal of the American Statistical Association2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org20
Working Papers ECARES / ULB -- Universite Libre de Bruxelles13
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy12
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)5
Working Paper Series / European Central Bank4
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"2
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Matteo Barigozzi (2025 and 2024)

YearTitle of citing document
2024The international effects of central bank information shocks. (2019). Stelzer, Anna ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:1912.03158.

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2024Matrix 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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2024Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2024Optimization 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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2024Inference on common trends in functional time series. (2023). Seo, Won-Ki ; Nielsen, Morten Orregaard ; Seong, Dakyung. In: Papers. RePEc:arx:papers:2312.00590.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024Monetary Policies on Green Financial Markets: Evidence from a Multi-Moment Connectedness Network. (2024). Ye, Shiqi ; Zhang, Hongyin ; Zheng, Tingguo. In: Papers. RePEc:arx:papers:2405.02575.

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2024Canonical correlation analysis of stochastic trends via functional approximation. (2024). Paruolo, Paolo ; Franchi, Massimo ; Georgiev, Iliyan. In: Papers. RePEc:arx:papers:2411.19572.

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2024VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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2025Sequential Monte Carlo for Noncausal Processes. (2025). Grassi, Stefano ; Giancaterini, Francesco ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2501.03945.

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2025Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Trapin, Luca ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2502.04112.

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2024A Conversation With Marc Hallin. (2024). Genest, Christian. In: International Statistical Review. RePEc:bla:istatr:v:92:y:2024:i:2:p:137-159.

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2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Zhou, Lichao ; Chen, Chuanglian ; Lin, Yuting. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592.

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2024Exploring social networks through stochastic multilayer graph modeling. (2024). Rezvanian, Alireza ; Meybodi, Mohammad Reza ; Daliri, Mohammad Mehdi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:182:y:2024:i:c:s0960077924003163.

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2024A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series. (2024). Liu, Yixuan ; Meyer, Renate ; Lee, Jeong Eun ; Kirch, Claudia. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:199:y:2024:i:c:s016794732400094x.

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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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2024Risk spillover mechanism among commercial banks and FinTech institutions throughout public health emergencies. (2024). Zhu, Jing ; Zhao, Jingsong ; Sun, Jiaojiao ; Zhang, Chen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001402.

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2024Monetary policy and house price heterogeneity: Evidence from the U.K. (2024). Margaris, Aristotelis. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s016517652400507x.

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2024The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Duan, Jiangtao ; Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003470.

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2024Confidence intervals of treatment effects in panel data models with interactive fixed effects. (2024). Zhou, Qiankun ; Shen, Yan ; Li, Xingyu. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000307.

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2024Change-point analysis of time series with evolutionary spectra. (2024). Perron, Pierre ; Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s030440762400157x.

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2024Testing for sparse idiosyncratic components in factor-augmented regression models. (2024). Striaukas, Jonas ; Beyhum, Jad. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001908.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Modeling Turning Points in the Global Equity Market. (2024). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75.

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2024Data segmentation algorithms: Univariate mean change and beyond. (2024). Kirch, Claudia ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:76-95.

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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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2024Higher-order assortativity for directed weighted networks and Markov chains. (2024). Grassi, Rosanna ; Cerqueti, Roy ; Arcagni, Alberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:215-227.

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2024Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?. (2024). Wang, Mengxin ; Li, Yanling ; Liao, Gaoke. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006667.

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2024Monetary policies on green financial markets: Evidence from a multi-moment connectedness network. (2024). Zheng, Tingguo ; Ye, Shiqi ; Zhang, Hongyin. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s014098832400447x.

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2024Connectedness in the global banking market network: Implications for risk management and financial policy. (2024). Sepulveda, Sandra M ; Muoz, Jorge A ; Araya, Ivan E ; Cornejo, Edinson E ; Veloso, Carmen L ; Delgado, Carlos L. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004022.

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2024Does high volatility increase connectedness? A study of Asian equity markets. (2024). Wiesen, Thomas ; Afatsao, Richard ; Oliyide, Johnson ; Adekoya, Oluwasegun Babatunde. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006677.

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2024Avoiding jumps in the rotation matrix of time-varying factor models. (2024). Cheung, Ying Lun. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008997.

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2024The nexus of conventional, religious and ethical indexes during crisis. (2024). Ahelegbey, Daniel Felix ; Essanaani, Yassine ; Abdelsalam, Omneya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:95:y:2024:i:c:s1042443124000933.

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2024Factor-augmented forecasting in big data. (2024). Bae, Juhee. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1660-1688.

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2024Estimating shadow policy rates in a small open economy and the role of foreign factors. (2024). Kirchner, Markus ; Fornero, Jorge ; Molina, Carlos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001730.

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2024Energy price surges and inflation: Fiscal policy to the rescue?. (2024). Wegmueller, Philipp ; Glocker, Christian ; Wegmller, Philipp. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:149:y:2024:i:c:s0261560624001888.

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2024Supply shock propagation in the multi-layer network of global steel product chain: Additive effect of trade and production. (2024). Sun, Xiaoqi ; Jiang, Meihui ; Hao, Xiaoqing. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000229.

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2024Structure characteristics and formation mechanism of the RCEP manufacturing trade network: An ERGM analysis. (2024). Yang, Shuwen ; Wang, Yuqing ; Zhu, Nina ; Huang, Siyi ; Gong, Kunyao ; Lyu, Lixing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:635:y:2024:i:c:s0378437123010439.

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2024Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions. (2024). Wang, Gang-Jin ; Zhou, Xuewei ; Ouyang, Zisheng ; Lu, Min ; Liu, Shuwen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:909-928.

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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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2024Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Cipollini, F ; Candila, V. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768.

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2024Necessary and sufficient conditions for continuity of hypercontractive processes and fields. (2024). Viitasaari, Lauri ; Nummi, Patrik. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s016771522400018x.

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2024Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components. (2024). Jahan-Parvar, Mohammad ; Szerszen, Pawel J ; Knipp, Charles. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-100.

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2024Measuring the Euro Area Output Gap. (2024). Luciani, Matteo ; Lissona, Claudio ; Barigozzi, Matteo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-99.

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2024.

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2024A Dynamic Evolutionary Analysis of the Vulnerability of Global Food Trade Networks. (2024). Li, Dongmei ; Niu, Niu ; Xu, Hao ; Wang, Chengjie. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:10:p:3998-:d:1391915.

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2024Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model. (2024). Mingoli, Gabriele. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240072.

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2024Influential assets in Large-Scale Vector AutoRegressive Models. (2024). Trimborn, Simon ; Zhang, Kexin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240080.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2024Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure. (2024). Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202418.

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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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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness.(2019) In: Working Papers ECARES.
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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: 24		article
2010Multinetwork of international trade: A commodity-specific analysis In: Papers.
[Full Text][Citation analysis]		paper85
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: 85		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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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm In: Papers.
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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm.(2024) In: Finance and Economics Discussion Series.
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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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2024Inference in Heavy-Tailed Nonstationary Multivariate Time Series.(2024) In: Journal of the American Statistical Association.
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2024Factor Network Autoregressions In: Papers.
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2024Modelling 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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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review In: Papers.
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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices In: Papers.
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2024Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models In: Papers.
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2024Weak Factors are Everywhere In: Papers.
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2024Dynamic Factor Models: a Genealogy In: Papers.
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2023Dynamic Factor Models: a Genealogy.(2023) In: Working Papers ECARES.
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2025The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series In: Papers.
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2024The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series.(2024) In: Working Papers ECARES.
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2024Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy In: Papers.
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2025Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm In: Papers.
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2015Nets: 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.
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2017A network analysis of the volatility of high dimensional financial series In: Journal of the Royal Statistical Society Series C.
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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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2025Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility In: Oxford Bulletin of Economics and Statistics.
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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: Post-Print.
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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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2009A Robust Criterion for Determining the Number of Factors in Approximate Factor Models In: Working Papers ECARES.
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2014Dynamic Factor Models, Cointegration and Error Correction Mechanisms In: Working Papers ECARES.
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2016Dynamic Factor Models, Cointegration, and Error Correction Mechanisms.(2016) In: Finance and Economics Discussion Series.
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2014Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks In: Working Papers ECARES.
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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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2015Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting In: Working Papers ECARES.
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2017Generalized dynamic factor models and volatilities: estimation and forecasting.(2017) In: Journal of Econometrics.
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2017Generalized dynamic factor models and volatilities estimation and forecasting.(2017) In: LSE Research Online Documents on Economics.
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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES.
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2021Inferential Theory for Generalized Dynamic Factor Models In: Working Papers ECARES.
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2024Inferential theory for generalized dynamic factor models.(2024) 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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