Stefano Soccorsi : Citation Profile

Lancaster University

5

H index

4

i10 index

112

Citations

RESEARCH PRODUCTION:

5

Articles

10

Papers

RESEARCH ACTIVITY:

   5 years (2016 - 2021). See details.
   Cites by year: 22
   Journals where Stefano Soccorsi has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 7 (5.88 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pso568
   Updated: 2025-06-07    RAS profile: 2023-05-10    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Massacci, Daniele (2)

Hallin, Marc (2)

Barigozzi, Matteo (2)

Giovannelli, Alessandro (2)

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

Is cited by:

Hallin, Marc (34)

Barigozzi, Matteo (16)

Trucíos, Carlos (13)

Hotta, Luiz (13)

Valls Pereira, Pedro (13)

Forni, Mario (9)

Lippi, Marco (6)

Zaffaroni, Paolo (5)

Rossi, Barbara (5)

Iskrev, Nikolay (5)

Zevallos, Mauricio (4)

Cites to:

Lippi, Marco (48)

Hallin, Marc (45)

Forni, Mario (43)

Reichlin, Lucrezia (16)

Zaffaroni, Paolo (16)

Barigozzi, Matteo (16)

Watson, Mark (14)

Ng, Serena (11)

Diebold, Francis (11)

Engle, Robert (8)

Timmermann, Allan (7)

Main data

Where Stefano Soccorsi has published?

Working Papers Series with more than one paper published# docs
Working Papers ECARES / ULB -- Universite Libre de Bruxelles4

Recent works citing Stefano Soccorsi (2025 and 2024)

YearTitle of citing document
2024Financial Contagion of the Commodity Markets from the Stock Market during Pandemic and New Sanctions Shocks. (2024). Yu, Marina. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:2:p:452-475.

Full description at Econpapers || Download paper

2024Trade When Opportunity Comes: Price Movement Forecasting via Locality-Aware Attention and Iterative Refinement Labeling. (2024). Dai, Zhonghao ; Zhang, Ruchen ; Wang, Ling ; Zeng, Liang ; Li, Jian ; Niu, Hui ; Zhu, Dewei. In: Papers. RePEc:arx:papers:2107.11972.

Full description at Econpapers || Download paper

2024Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

Full description at Econpapers || Download paper

2025Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?. (2025). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2402.02482.

Full description at Econpapers || Download paper

2025The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series. (2025). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2407.10653.

Full description at Econpapers || Download paper

2024A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM). (2024). Gersing, Philipp. In: Papers. RePEc:arx:papers:2410.20885.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/377116.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Inferential theory for generalized dynamic factor models. (2024). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000593.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:62-76.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Imported financial risk in global stock markets: Evidence from the interconnected network. (2024). Ouyang, Zisheng ; Zhou, Xuewei ; Lu, Min ; Liu, KE. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

Full description at Econpapers || Download paper

2024Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:202401.

Full description at Econpapers || Download paper

2024Asymmetric interactions among cutting-edge technologies and pioneering conventional and Islamic cryptocurrencies: fresh evidence from intra-day-based good and bad volatilities. (2024). Roubaud, David ; Asl, Mahdi Ghaemi. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00623-5.

Full description at Econpapers || Download paper

2024On the statistical analysis of high-dimensional factor models. (2024). Guo, Jianhua ; Jing, Bing-Yi ; Gao, Zhigen ; Mao, Junfan. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:8:d:10.1007_s00362-024-01557-x.

Full description at Econpapers || Download paper

2024Identification of Time-Varying Factor Models. (2024). Cheung, Ying Lun. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:42:y:2024:i:1:p:76-94.

Full description at Econpapers || Download paper

Works by Stefano Soccorsi:

YearTitleTypeCited
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper27
2020Time-varying general dynamic factor models and the measurement of financial connectedness.(2020) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness.(2019) In: Working Papers ECARES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2021Time-varying general dynamic factor models and the measurement of financial connectedness.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		article
2016Dynamic Factor model with infinite dimensional factor space: forecasting In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper51
2016Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting.(2016) In: Working Papers ECARES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2016Dynamic Factor model with infinite dimensional factor space: forecasting.(2016) In: Center for Economic Research (RECent).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2018Dynamic factor model with infinite‐dimensional factor space: Forecasting.(2018) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		article
2016Measuring Nonfundamentalness for Structural VARs In: Working Papers ECARES.
[Full Text][Citation analysis]		paper14
2016Measuring nonfundamentalness for structural VARs.(2016) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES.
[Full Text][Citation analysis]		paper0
2021Forecasting stock returns with large dimensional factor models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article8
2020Forecasting Stock Returns with Large Dimensional Factor Models.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2019Identification of global and local shocks in international financial markets via general dynamic factor models In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper12
2019Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models.(2019) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team