Stefano Soccorsi : Citation Profile

Lancaster University

5

H index

4

i10 index

118

Citations

RESEARCH PRODUCTION:

6

Articles

11

Papers

RESEARCH ACTIVITY:

   9 years (2016 - 2025). See details.
   Cites by year: 13
   Journals where Stefano Soccorsi has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 7 (5.6 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pso568
   Updated: 2025-12-20    RAS profile: 2025-06-09    
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Relations with other researchers

Works with:

Barigozzi, Matteo (2)

Hallin, Marc (2)

Massacci, Daniele (2)

Giovannelli, Alessandro (2)

Forni, Mario (2)

Gambetti, Luca (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)

Luciani, Matteo (5)

Zaffaroni, Paolo (5)

Rossi, Barbara (5)

Iskrev, Nikolay (5)

Cites to:

Lippi, Marco (52)

Hallin, Marc (47)

Forni, Mario (47)

Reichlin, Lucrezia (17)

Zaffaroni, Paolo (16)

Barigozzi, Matteo (16)

Watson, Mark (15)

Ng, Serena (13)

Diebold, Francis (11)

Engle, Robert (8)

Giovannelli, Alessandro (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
Working Papers / Lancaster University Management School, Economics Department2

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.

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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.

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

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

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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.

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

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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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2025Which Global Cycle? A Stochastic Factor Selection Approach for Global Macro-Financial Cycles. (2025). Sebastian, Hienzsch ; Tino, Berger. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:541-559:n:1003.

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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.

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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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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.

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2025A large confirmatory dynamic factor model for stock market returns in different time zones. (2025). Wu, Jianbin ; Tang, Haihan ; Linton, Oliver B. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000259.

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2025Estimating time-varying networks for high-dimensional time series. (2025). Chen, Jia ; Li, Degui ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002926.

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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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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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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.

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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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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.

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2025Extreme Risk Connectedness in China’s Stock Market: Fresh Insights from Time-Varying General Dynamic Factor Models. (2025). Jin, Xiaoye. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10779-y.

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2024Time-Varying Structural Approximate Dynamic Factor Model. (2024). Liu, Qingfeng ; Zhao, Ziyan. In: Economic Growth Centre Working Paper Series. RePEc:nan:wpaper:2401.

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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.

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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.

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2025Stock return forecasting based on the proxy variables of category factors. (2025). Zhao, Yuan ; Gong, Xue ; Zhang, Weiguo ; Xu, Weijun. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00779-8.

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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.

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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.

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Works by Stefano Soccorsi:

YearTitleTypeCited
2025An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article0
2024An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain.(2024) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper30
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: 30		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: 30		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: 30		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.
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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]		article9
2020Forecasting Stock Returns with Large Dimensional Factor Models.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 9		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]		paper14
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: 14		article

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