23
H index
29
i10 index
4881
Citations
Istituto Einaudi per l'Economia e la Finanza (EIEF) | 23 H index 29 i10 index 4881 Citations RESEARCH PRODUCTION: 33 Articles 66 Papers 1 Books 4 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Marco Lippi. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 6 |
Econometric Theory | 3 |
Econometrics | 2 |
The Review of Economics and Statistics | 2 |
Ricerche Economiche | 2 |
Journal of Monetary Economics | 2 |
Year | Title of citing document | |
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2022 | Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2022-10. Full description at Econpapers || Download paper | |
2022 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821. Full description at Econpapers || Download paper | |
2022 | Tensor Factor Model Estimation by Iterative Projection. (2022). Zhang, Cun-Hui ; Yang, Dan ; Chen, Rong. In: Papers. RePEc:arx:papers:2006.02611. Full description at Econpapers || Download paper | |
2023 | Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887. Full description at Econpapers || Download paper | |
2023 | The Spectral Approach to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2007.13804. Full description at Econpapers || Download paper | |
2022 | Rank Determination in Tensor Factor Model. (2022). Zhang, Cun-Hui ; Chen, Rong. In: Papers. RePEc:arx:papers:2011.07131. Full description at Econpapers || Download paper | |
2022 | Min(d)ing the President: A text analytic approach to measuring tax news. (2021). Smeekes, Stephan ; Bacsturk, Nalan ; Almeida, Rui Jorge ; Lieb, Lenard ; Jassem, Adam. In: Papers. RePEc:arx:papers:2104.03261. Full description at Econpapers || Download paper | |
2023 | Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127. Full description at Econpapers || Download paper | |
2023 | Trade 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. Full description at Econpapers || Download paper | |
2023 | Approximate Factor Models with Weaker Loadings. (2021). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2109.03773. Full description at Econpapers || Download paper | |
2022 | Linear Panel Regressions with Two-Way Unobserved Heterogeneity. (2021). Weidner, Martin ; Freeman, Hugo. In: Papers. RePEc:arx:papers:2109.11911. Full description at Econpapers || Download paper | |
2023 | Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000. Full description at Econpapers || Download paper | |
2022 | Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149. Full description at Econpapers || Download paper | |
2022 | Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310. Full description at Econpapers || Download paper | |
2022 | Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis. (2022). Yu, Xuewen ; Eisenstat, Eric ; Chan, Joshua. In: Papers. RePEc:arx:papers:2207.03988. Full description at Econpapers || Download paper | |
2022 | LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling. (2022). Maciejowska, Katarzyna ; Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2207.04794. Full description at Econpapers || Download paper | |
2023 | Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925. Full description at Econpapers || Download paper | |
2023 | Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218. Full description at Econpapers || Download paper | |
2023 | Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828. Full description at Econpapers || Download paper | |
2022 | Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042. Full description at Econpapers || Download paper | |
2023 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper | |
2023 | On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921. Full description at Econpapers || Download paper | |
2022 | Spectral and post-spectral estimators for grouped panel data models. (2022). Manresa, Elena ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:2212.13324. Full description at Econpapers || Download paper | |
2023 | When it counts -- Econometric identification of the basic factor model based on GLT structures. (2023). Lopes, Hedibert Freitas ; Hosszejni, Darjus ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:2301.06354. Full description at Econpapers || Download paper | |
2023 | Multidimensional dynamic factor models. (2023). Pellegrino, Filippo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2301.12499. Full description at Econpapers || Download paper | |
2023 | Agreed and Disagreed Uncertainty. (2023). Zanetti, Francesco ; Tsoukalas, John ; Gambetti, Luca. In: Papers. RePEc:arx:papers:2302.01621. Full description at Econpapers || Download paper | |
2023 | Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863. Full description at Econpapers || Download paper | |
2023 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper | |
2023 | Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2023). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653. Full description at Econpapers || Download paper | |
2023 | Robust Impulse Responses using External Instruments: the Role of Information. (2023). Mazzali, Marco ; Franconi, Alessandro ; Brignone, Davide. In: Papers. RePEc:arx:papers:2307.06145. Full description at Econpapers || Download paper | |
2023 | Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864. Full description at Econpapers || Download paper | |
2023 | Reconciling the Theory of Factor Sequences. (2023). Deistler, Manfred ; Rust, Christoph ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2307.10067. Full description at Econpapers || Download paper | |
2023 | Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2023). Pipiras, Vladas ; Fisher, Zachary F ; Kim, Younghoon. In: Papers. RePEc:arx:papers:2307.10454. Full description at Econpapers || Download paper | |
2023 | Forecasting inflation using disaggregates and machine learning. (2023). Medeiros, Marcelo C ; Boaretto, Gilberto. In: Papers. RePEc:arx:papers:2308.11173. Full description at Econpapers || Download paper | |
2023 | Agreed and Disagreed Uncertainty. (2023). Zanetti, Francesco ; Korobilis, Dimitris ; Gambetti, Luca ; Tsoukalas, John D. In: BCAM Working Papers. RePEc:bbk:bbkcam:2206. Full description at Econpapers || Download paper | |
2022 | Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models. (2022). Gaglianone, Wagner ; Araujo, Gustavo Silva. In: Working Papers Series. RePEc:bcb:wpaper:561. Full description at Econpapers || Download paper | |
2022 | Nowcasting Brazilian GDP with Electronic Payments Data. (2022). Cesar, Raquel Nadal. In: Working Papers Series. RePEc:bcb:wpaper:564. Full description at Econpapers || Download paper | |
2023 | Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models. (2023). Gaglianone, Wagner ; Moreira, Marta Baltar. In: Working Papers Series. RePEc:bcb:wpaper:574. Full description at Econpapers || Download paper | |
2023 | Energy price shocks and inflation in the euro area. (2023). Tagliabracci, Alex ; delle Monache, Davide ; Corsello, Francesco ; Conflitti, Cristina ; Busetti, Fabio ; Neri, Stefano. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_792_23. Full description at Econpapers || Download paper | |
2022 | Exchange rate pass-through in small, open, commodity-exporting economies: lessons from Canada. (2022). Flaccadoro, Marco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1368_22. Full description at Econpapers || Download paper | |
2022 | Estimation of the Impact of Global Shocks on the Russian Economy and GDP Nowcasting Using a Factor Model. (2022). Lomonosov, Daniil ; Zubarev, Andrey ; Rybak, Konstantin. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:2:p:49-78. Full description at Econpapers || Download paper | |
2022 | Assessment of Monthly GDP Growth Using Temporal Disaggregation Methods. (2022). Zhemkov, Michael. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:2:p:79-104. Full description at Econpapers || Download paper | |
2023 | Forecasting models for the Chinese macroeconomy in a data?rich environment: Evidence from large dimensional approximate factor models with mixed?frequency data. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:719-767. Full description at Econpapers || Download paper | |
2023 | Forecasting inflation with a zero lower bound or negative interest rates: Evidence from point and density forecasts. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: Manchester School. RePEc:bla:manchs:v:91:y:2023:i:3:p:171-232. Full description at Econpapers || Download paper | |
2022 | A Guide to Autoregressive Distributed Lag Models for Impulse Response Estimations. (2022). Lee, Byoungchan ; Baek, Chaewon. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:5:p:1101-1122. Full description at Econpapers || Download paper | |
2023 | ECB 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. Full description at Econpapers || Download paper | |
2022 | Economic performance in Africa: The role of fragile financial system. (2022). Inekwe, John Nkwoma. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:6:p:1910-1936. Full description at Econpapers || Download paper | |
2022 | Bad News, Good News: Coverage and Response Asymmetries. (2022). Zoi, Sarah ; Maffei-Faccioli, Nicolo ; Gambetti, Luca. In: Working Paper. RePEc:bno:worpap:2022_8. Full description at Econpapers || Download paper | |
2022 | A tail of labour supply and a tale of monetary policy. (2022). Theophilopoulou, Angeliki ; ferroni, filippo ; Cantore, Cristiano ; Mumtaz, Hroon. In: Bank of England working papers. RePEc:boe:boeewp:0989. Full description at Econpapers || Download paper | |
2022 | A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2237. Full description at Econpapers || Download paper | |
2022 | A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Tang, H ; Linton, O B ; Wu, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:camjip:2214. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2023 | Agreed and Disagreed Uncertainty. (2023). Korobilis, Dimitris ; Zanetti, Francesco ; Tsoukalas, John D ; Gambetti, Luca. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10463. Full description at Econpapers || Download paper | |
2022 | Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9687. Full description at Econpapers || Download paper | |
2023 | Agreed and Disagreed Uncertainty. (2023). Korobilis, Dimitris ; Gambetti, Luca ; Zanetti, Francesco ; Tsoukalas, John D. In: Discussion Papers. RePEc:cfm:wpaper:2304. Full description at Econpapers || Download paper | |
2023 | Global house prices since 1950. (2023). Sustek, Roman ; Mumtaz, Haroon. In: Discussion Papers. RePEc:cfm:wpaper:2307. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Highly Irregular Serial Correlation Tests. (2023). Sentana, Enrique ; Bei, Xinyue ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2023_2302. Full description at Econpapers || Download paper | |
2023 | El monitoreo del sector de la construcción en el Valle del Cauca. (2023). Ceron-Ordoez, Julieth ; Vidal-Alejandro, Pavel ; Rodriguez, Seydyss Garay. In: Apuntes del Cenes. RePEc:col:000152:020301. Full description at Econpapers || Download paper | |
2023 | External Instrument SVAR Analysis forNoninvertible Shocks. (2022). Ricco, Giovanni ; Gambetti, Luca ; Forni, Mario. In: Working Papers. RePEc:crs:wpaper:2023-03. Full description at Econpapers || Download paper | |
2022 | On the robustness of the general dynamic factor model with inï¬nite-dimensional space: identiï¬cation, estimation, and forecasting. (2019). Hallin, Marc ; Valls, Pedro L ; Hotta, Luis K ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/298201. Full description at Econpapers || Download paper | |
2022 | Manfred 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. Full description at Econpapers || Download paper | |
2022 | On the dynamics of the q-deformed Puu’s model with cubic investment map. (2022). Muoz-Guillermo, Maria. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:157:y:2022:i:c:s0960077922001813. Full description at Econpapers || Download paper | |
2023 | Prediction in functional regression with discretely observed and noisy covariates. (2023). Jammoul, Fatima ; Hormann, Siegfried. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:178:y:2023:i:c:s0167947322001803. Full description at Econpapers || Download paper | |
2022 | Measuring dynamic pandemic-related policy effects: A time-varying parameter multi-level dynamic factor model approach. (2022). Shi, Yong ; Zhou, Ling ; Wang, Zongrun ; Mi, Yunlong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001099. Full description at Econpapers || Download paper | |
2022 | Building back better: How big are green spending multipliers?. (2022). Melina, Giovanni ; Fragetta, Matteo ; di Serio, Mario ; Batini, Nicoletta ; Waldron, Anthony. In: Ecological Economics. RePEc:eee:ecolec:v:193:y:2022:i:c:s0921800921003645. Full description at Econpapers || Download paper | |
2022 | Projected estimation for large-dimensional matrix factor models. (2022). Zhang, Xinsheng ; Kong, Xinbing ; He, Yong ; Yu, Long. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:201-217. Full description at Econpapers || Download paper | |
2022 | Nowcasting with large Bayesian vector autoregressions. (2022). Monti, Francesca ; Lenza, Michele ; Giannone, Domenico ; Cimadomo, Jacopo ; Sokol, Andrej. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:500-519. Full description at Econpapers || Download paper | |
2023 | Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520. Full description at Econpapers || Download paper | |
2023 | Group 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. Full description at Econpapers || Download paper | |
2023 | High-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. Full description at Econpapers || Download paper | |
2023 | Structural 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. Full description at Econpapers || Download paper | |
2022 | Excess shocks can limit the economic interpretation. (2022). Robinson, Tim ; pagan, adrian. In: European Economic Review. RePEc:eee:eecrev:v:145:y:2022:i:c:s0014292122000599. Full description at Econpapers || Download paper | |
2023 | Monetary–fiscal crosswinds in the European Monetary Union. (2023). Ricco, Giovanni ; Tarbe, Matthieu ; Reichlin, Lucrezia. In: European Economic Review. RePEc:eee:eecrev:v:151:y:2023:i:c:s0014292122002082. Full description at Econpapers || Download paper | |
2023 | Long-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. Full description at Econpapers || Download paper | |
2022 | Euro area banking and monetary policy shocks in the QE era. (2022). Kabundi, Alain ; de Simone, Francisco Nadal. In: Journal of Financial Stability. RePEc:eee:finsta:v:63:y:2022:i:c:s1572308922000845. Full description at Econpapers || Download paper | |
2023 | Monetary 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. Full description at Econpapers || Download paper | |
2022 | The kernel trick for nonlinear factor modeling. (2022). Kutateladze, Varlam. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:165-177. Full description at Econpapers || Download paper | |
2022 | Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph | |
2023 | FRED-SD: A real-time database for state-level data with forecasting applications. (2023). Owyang, Michael T ; Kliesen, Kevin L ; Jackson, Laura E ; Bokun, Kathryn O. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:279-297. Full description at Econpapers || Download paper | |
2023 | Nowcasting German GDP: Foreign factors, financial markets, and model averaging. (2023). Senftleben-Konig, Charlotte ; Reichlin, Lucrezia ; Hasenzagl, Thomas ; Andreini, Paolo ; Strohsal, Till. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:298-313. Full description at Econpapers || Download paper | |
2023 | Estimation 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. Full description at Econpapers || Download paper | |
2023 | Nowcasting food inflation with a massive amount of online prices. (2023). Szafranek, Karol ; Stelmasiak, Damian ; Macias, Pawe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:809-826. Full description at Econpapers || Download paper | |
2022 | Dynamic comovement among banks, systemic risk, and the macroeconomy. (2022). Kishor, N ; Ma, Jun ; Kapinos, Pavel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426620301606. Full description at Econpapers || Download paper | |
2022 | What moves treasury yields?. (2022). Soofi-Siavash, Soroosh ; Moench, Emanuel. In: Journal of Financial Economics. RePEc:eee:jfinec:v:146:y:2022:i:3:p:1016-1043. Full description at Econpapers || Download paper | |
2022 | GARCH-type factor model. (2022). Yau, Chun Yip ; Ng, Chi Tim ; Li, Yuanbo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:190:y:2022:i:c:s0047259x22000343. Full description at Econpapers || Download paper | |
2022 | Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe. (2022). Yang, Lu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000192. Full description at Econpapers || Download paper | |
2022 | Is there news in inventories?. (2022). Lubik, Thomas A ; Gunn, Christopher ; Gortz, Christoph. In: Journal of Monetary Economics. RePEc:eee:moneco:v:126:y:2022:i:c:p:87-104. Full description at Econpapers || Download paper | |
2023 | Identification with External Instruments in Structural VARs. (2023). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Journal of Monetary Economics. RePEc:eee:moneco:v:135:y:2023:i:c:p:1-19. Full description at Econpapers || Download paper | |
2023 | Dynamic information aggregation: Learning from the past. (2023). Pedroni, Marcelo ; Huo, Zhen. In: Journal of Monetary Economics. RePEc:eee:moneco:v:136:y:2023:i:c:p:107-124. Full description at Econpapers || Download paper | |
2023 | A resampling approach for confidence intervals in linear time-series models after model selection. (2023). Tsang, Ka Wai ; Dai, Wei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437122010019. Full description at Econpapers || Download paper | |
2022 | Innovative events: product launches, innovation and firm performance. (2022). Nathan, Max ; Rosso, Anna. In: Research Policy. RePEc:eee:respol:v:51:y:2022:i:1:s0048733321001700. Full description at Econpapers || Download paper | |
2022 | Modeling a countrys political environment using dynamic factor analysis (DFA): A new methodology for IB research. (2022). Osiyevskyy, Oleksiy ; Agarwal, James ; Lukoianove, Tatiana. In: Journal of World Business. RePEc:eee:worbus:v:57:y:2022:i:5:s1090951622000062. Full description at Econpapers || Download paper | |
2023 | Bad News, Good News: Coverage and Response Asymmetries. (2023). Gambetti, Luca. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-01. Full description at Econpapers || Download paper | |
2022 | Forecast Revisions as Instruments for News Shocks. (2022). Cascaldi-Garcia, Danilo. In: International Finance Discussion Papers. RePEc:fip:fedgif:1341. Full description at Econpapers || Download paper | |
2023 | Factorization of a Spectral Density with Smooth Eigenvalues of a Multidimensional Stationary Time Series. (2023). Szabados, Tamas. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:2:p:14-:d:1161065. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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1993 | The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment. In: American Economic Review. [Full Text][Citation analysis] | article | 219 |
1993 | The dynamic effects of aggregate demand and supply disturbances: comment.(1993) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 219 | paper | |
2017 | Noisy News in Business Cycles In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 106 |
2013 | Noisy News in Business cycles.(2013) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 106 | paper | |
2014 | Noisy News in Business Cycles.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 106 | paper | |
2014 | Noisy News in Business Cycles.(2014) In: Center for Economic Research (RECent). [Full Text][Citation analysis] This paper has another version. Agregated cites: 106 | paper | |
2023 | Band-Pass Filtering with High-Dimensional Time Series In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Band-Pass Filtering with High-Dimensional Time Series.(2023) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2022 | Tracking economic growth in real time during the pandemic: a rationale for a revision of €-coin In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 0 |
2001 | A real time coincident indicator of the euro area business cycle In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 138 |
2007 | New Eurocoin: Tracking Economic Growth in Real Time In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 190 |
2006 | New EuroCOIN: Tracking Economic Growth in Real Time.(2006) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 190 | paper | |
2008 | New Eurocoin: Tracking Economic Growth in Real Time.(2008) In: Center for Economic Research (RECent). [Full Text][Citation analysis] This paper has another version. Agregated cites: 190 | paper | |
2010 | New Eurocoin: Tracking Economic Growth in Real Time.(2010) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 190 | article | |
2005 | The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 585 |
2002 | The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting.(2002) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 585 | paper | |
2003 | The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting.(2003) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 585 | paper | |
2005 | The generalised dynamic factor model: one sided estimation and forecasting.(2005) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 585 | paper | |
1998 | Aggregation of Simple Linear Dynamics: Exact Asymptotic Results In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 6 |
1998 | Aggregation of simple linear dynamics: exact asymptotic results.(1998) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2015 | Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 67 |
2015 | Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Working Papers ECARES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 67 | paper | |
2017 | Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 67 | article | |
2016 | Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis.(2016) In: EIEF Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 67 | paper | |
2015 | Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Center for Economic Research (RECent). [Full Text][Citation analysis] This paper has another version. Agregated cites: 67 | paper | |
2016 | Dynamic Factor model with infinite dimensional factor space: forecasting In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 43 |
2016 | Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting.(2016) In: Working Papers ECARES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2016 | Dynamic 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: 43 | paper | |
2018 | Dynamic 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: 43 | article | |
2016 | Eigenvalue Ratio Estimators for the Number of Common Factors In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Common Component Structural VARs In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Common Components Structural VARs.(2020) In: Center for Economic Research (RECent). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
1999 | The Generalized Dynamic Factor Model: Identification and Estimation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1244 |
2000 | The Generalized Dynamic-Factor Model: Identification And Estimation.(2000) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1244 | article | |
2000 | The generalised dynamic factor model: identification and estimation.(2000) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 1244 | paper | |
2000 | Reference Cycles: The NBER Methodology Revisited In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 45 |
2000 | The Generalized Dynamic Factor Model: Representation Theory In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 371 |
2001 | THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY.(2001) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 371 | article | |
2001 | EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 153 |
2003 | EUROCOIN: A REAL TIME COINCIDENT INDICATOR OF THE EURO AREA BUSINESS CYCLE.(2003) In: Computing in Economics and Finance 2003. [Citation analysis] This paper has another version. Agregated cites: 153 | paper | |
2002 | Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 253 |
2003 | Do financial variables help forecasting inflation and real activity in the euro area?.(2003) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 253 | article | |
2003 | Do financial variables help forecasting inflation and real activity in the Euro area ?.(2003) In: ULB Institutional Repository. [Full Text][Citation analysis] This paper has another version. Agregated cites: 253 | paper | |
2003 | Opening the Black Box: Structural Factor Models versus Structural VARs In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 49 |
1993 | Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 61 |
1994 | Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle.(1994) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 61 | article | |
1994 | Diffusion of technical change and the decomposition of output into trend and cycle.(1994) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 61 | paper | |
2013 | Noise Bubbles In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2014 | Noise Bubbles.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2014 | Noise Bubbles.(2014) In: Center for Economic Research (RECent). [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2017 | Noise Bubbles.(2017) In: Economic Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2004 | ISSUES CONCERNING THE APPROXIMATION UNDERLYING THE SPECTRAL REPRESENTATION THEOREM In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
2003 | Issues Concerning the Approximation Underlying the Spectral Representation Theorem.(2003) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2009 | OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 332 |
2008 | Opening the Black Box: Structural Factor Models with Large Cross-Sections.(2008) In: Working Papers ECARES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 332 | paper | |
2007 | Opening the black box: structural factor models with large cross-sections.(2007) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 332 | paper | |
2007 | Opening the Black Box: Structural Factor Models with Large Cross-Sections.(2007) In: Center for Economic Research (RECent). [Full Text][Citation analysis] This paper has another version. Agregated cites: 332 | paper | |
2012 | Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 68 |
2015 | Dynamic factor models with infinite-dimensional factor spaces: One-sided representations.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 68 | article | |
2013 | Factor Models in High-Dimensional Time Series: A Time-Domain Approach In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 31 |
2013 | Factor models in high-dimensional time series—A time-domain approach.(2013) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | article | |
2014 | Dynamic Factor Models, Cointegration and Error Correction Mechanisms In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 8 |
2016 | Dynamic Factor Models, Cointegration, and Error Correction Mechanisms.(2016) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2017 | Optimal Dimension Reduction for High-dimensional and Functional Time Series In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 2 |
2018 | Optimal dimension reduction for high-dimensional and functional time series.(2018) In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2011 | One-Sided Representations of Generalized Dynamic Factor Models In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 1 |
2011 | One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: EIEF Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2011 | One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: DSS Empirical Economics and Econometrics Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1991 | Trend-Cycle Decompositions and Measures of Persistence: Does Time Aggregation Matter? In: Economic Journal. [Full Text][Citation analysis] | article | 6 |
1991 | Trend-cycle decompositions and measures of persistence: does time aggregation matter?.(1991) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
1988 | On the dynamic shape of aggregated error correction models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 15 |
2004 | The generalized dynamic factor model consistency and rates In: Journal of Econometrics. [Full Text][Citation analysis] | article | 178 |
2004 | The generalised dynamic factor model: consistency and rates.(2004) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 178 | paper | |
2011 | The general dynamic factor model: One-sided representation results In: Journal of Econometrics. [Full Text][Citation analysis] | article | 24 |
2021 | Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 11 |
1994 | VAR analysis, nonfundamental representations, blaschke matrices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 162 |
1994 | VAR analysis, non-fundamental representations, Blashke matrices.(1994) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 162 | paper | |
2023 | High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 1 |
1994 | Common and uncommon trends and cycles In: European Economic Review. [Full Text][Citation analysis] | article | 13 |
1994 | Common and uncommon trends and cycles.(1994) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2001 | Innovation and corporate growth in the evolution of the drug industry In: International Journal of Industrial Organization. [Full Text][Citation analysis] | article | 163 |
2001 | Innovation and Corporate Growth in the Evolution of the Drug Industry.(2001) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 163 | paper | |
1999 | Aggregation of linear dynamic microeconomic models In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 21 |
1992 | On persistence of shocks to economic variables : A common misconception In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 11 |
1992 | On persistence of shocks to economic variables: a common misconception.(1992) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
1993 | Editors note In: Ricerche Economiche. [Full Text][Citation analysis] | article | 0 |
1993 | Editors note In: Ricerche Economiche. [Full Text][Citation analysis] | article | 0 |
2016 | Non-Stationary Dynamic Factor Models for Large Datasets In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 16 |
2004 | A dynamic factor analysis of the response of U. S. interest rates to news In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2004 | A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News.(2004) In: LEM Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
1990 | Issues on Aggregation and Microfundations of Macroeconomics. In: Roma la Sapienza - Scienze Economiche. [Citation analysis] | paper | 0 |
2022 | Linear System Challenges of Dynamic Factor Models In: Econometrics. [Full Text][Citation analysis] | article | 1 |
2020 | Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors In: Econometrics. [Full Text][Citation analysis] | article | 7 |
1998 | The Principle of Labor Value In: International Journal of Political Economy. [Full Text][Citation analysis] | article | 0 |
2016 | Eigenvalue Ratio Estimators for the Number of Dynamic Factors In: Center for Economic Research (RECent). [Full Text][Citation analysis] | paper | 1 |
2007 | Il primo esercizio italiano di valutazione della ricerca: una prima valutazione In: Rivista italiana degli economisti. [Full Text][Citation analysis] | article | 5 |
1997 | Aggregation and the Microfoundations of Dynamic Macroeconomics In: OUP Catalogue. [Citation analysis] | book | 110 |
1991 | Permanent and Transitory Components in Macroeconomics In: International Economic Association Series. [Citation analysis] | chapter | 2 |
2008 | Some Observations on Sraffa and Mathematical Proofs With an Appendix on Sraffa’s Convergence Algorithm In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
1992 | Microfoundations of Dynamic Macroequations In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
1988 | Part III - How well does established theory work In: LEM Chapters Series. [Full Text][Citation analysis] | chapter | 1 |
2000 | Processes of corporate growth in the evolution of an innovation-driven industry. The case of pharmaceuticals. In: LEM Papers Series. [Full Text][Citation analysis] | paper | 6 |
2001 | Coincident and leading indicators for the Euro area In: ULB Institutional Repository. [Citation analysis] | paper | 141 |
1991 | Permanent and temporary fluctuations in macroeconomics In: ULB Institutional Repository. [Citation analysis] | paper | 0 |
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