15
H index
22
i10 index
959
Citations
Alma Mater Studiorum - Università di Bologna | 15 H index 22 i10 index 959 Citations RESEARCH PRODUCTION: 29 Articles 73 Papers RESEARCH ACTIVITY: 17 years (2007 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pba354 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Matteo Barigozzi. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 7 |
Oxford Bulletin of Economics and Statistics | 2 |
Journal of Applied Econometrics | 2 |
Journal of the American Statistical Association | 2 |
Structural Change and Economic Dynamics | 2 |
Year | Title of citing document | |
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2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984. 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 | Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000. Full description at Econpapers || Download paper | |
2023 | Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052. Full description at Econpapers || Download paper | |
2023 | Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693. Full description at Econpapers || Download paper | |
2023 | On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2211.04184. Full description at Econpapers || Download paper | |
2023 | Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610. Full description at Econpapers || Download paper | |
2023 | Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937. Full description at Econpapers || Download paper | |
2023 | Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808. 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 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper | |
2023 | Prospects of BRICS currency dominance in international trade. (2023). Shepelyansky, Dima L ; Jos'e Lages, ; Coquid, C'Elestin. In: Papers. RePEc:arx:papers:2305.00585. Full description at Econpapers || Download paper | |
2023 | Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282. Full description at Econpapers || Download paper | |
2024 | 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 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper | |
2023 | Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471. Full description at Econpapers || Download paper | |
2024 | Inference on common trends in functional time series. (2023). Seo, Won-Ki ; Nielsen, Morten Orregaard ; Seong, Dakyung. In: Papers. RePEc:arx:papers:2312.00590. Full description at Econpapers || Download paper | |
2024 | Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335. Full description at Econpapers || Download paper | |
2024 | Monetary 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. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57. Full description at Econpapers || Download paper | |
2023 | Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246. 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 | |
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 | 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 | |
2023 | Reconciling econometrics with continuous maximum-entropy network models. (2023). Squartini, Tiziano ; Garlaschelli, Diego ; di Vece, Marzio. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:166:y:2023:i:c:s0960077922011377. Full description at Econpapers || Download paper | |
2023 | Change-point testing for parallel data sets with FDR control. (2023). Wang, Zhaojun ; Zou, Changliang ; Cui, Junfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000166. Full description at Econpapers || Download paper | |
2024 | Dynamic 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 | |
2023 | Systemic political risk. (2023). Uribe, Jorge ; Chuliá, Helena ; Estevez, Marc ; Chulia, Helena. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001876. Full description at Econpapers || Download paper | |
2023 | The cross-industry effects of monetary policy: New evidence from Bangladesh. (2023). Roy, Ripon ; Bhattacharya, Prasad Sankar. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002912. Full description at Econpapers || Download paper | |
2023 | Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models. (2023). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002719. Full description at Econpapers || Download paper | |
2023 | Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion. (2023). Wu, Jianhong ; Zhou, Ruichao. In: Economics Letters. RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003750. Full description at Econpapers || Download paper | |
2023 | â„“1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors. (2016). Medeiros, Marcelo ; Mendes, Eduardo F. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:255-271. 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 | Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2023). Bai, Jushan ; Han, XU ; Duan, Jiangtao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:209-236. Full description at Econpapers || Download paper | |
2023 | Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44. 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 | |
2023 | Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499. Full description at Econpapers || Download paper | |
2023 | Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892. Full description at Econpapers || Download paper | |
2023 | Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665. Full description at Econpapers || Download paper | |
2023 | News-implied linkages and local dependency in the equity market. (2023). Linton, Oliver ; Ge, Shuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:779-815. Full description at Econpapers || Download paper | |
2023 | Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902. Full description at Econpapers || Download paper | |
2024 | The 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. Full description at Econpapers || Download paper | |
2023 | High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research. (2023). Anderson, Brian ; Deistler, Manfred ; Lippi, Marco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:3-16. Full description at Econpapers || Download paper | |
2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper | |
2024 | Estimation 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. Full description at Econpapers || Download paper | |
2024 | Persistence 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 | |
2023 | Energy firms in emerging markets: Systemic risk and diversification opportunities. (2023). Uribe, Jorge ; Chuliá, Helena ; Muoz-Mendoza, Jorge A ; Chulia, Helena. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000584. Full description at Econpapers || Download paper | |
2023 | Investor sentiment and global economic conditions. (2023). Lutkebohmert, Eva ; Herculano, Miguel C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:134-152. Full description at Econpapers || Download paper | |
2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Bastianin, Andrea ; Casoli, Chiara. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006813. Full description at Econpapers || Download paper | |
2024 | Contagion 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. 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 | |
2023 | Optimization of large portfolio allocation for new-energy stocks: Evidence from China. (2023). Jiang, Hui ; Huang, Lei ; Wu, Yunlin. In: Energy. RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028505. Full description at Econpapers || Download paper | |
2023 | Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198. Full description at Econpapers || Download paper | |
2023 | A new way of measuring effects of financial crisis on contagion in currency markets. (2023). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923002806. Full description at Econpapers || Download paper | |
2023 | Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295. Full description at Econpapers || Download paper | |
2023 | Liquidity spillovers in the global stock markets: Lessons for risk management. (2023). Marquez, Vicente A ; Ferreira, Guillermo ; Muoz, Jorge A. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000911. Full description at Econpapers || Download paper | |
2023 | IP protection and ownership in cross-border acquisitions. (2023). Alon, Ilan ; Tarba, Shlomo Y ; Ahammad, Mohammad Faisal ; Lee, Sang Mook ; Bazel-Shoham, Ofra. In: International Business Review. RePEc:eee:iburev:v:32:y:2023:i:3:s096959312300001x. 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 | |
2023 | Brexit and Canadadvent: An application of graphs and hypergraphs to recent international trade agreements. (2023). Torre, Dominique ; Persenda, Arnaud ; Chessa, Michela. In: International Economics. RePEc:eee:inteco:v:175:y:2023:i:c:p:1-12. Full description at Econpapers || Download paper | |
2023 | European stock market volatility connectedness: The role of country and sector membership. (2023). Uribe, Jorge ; Guillen, Montserrat ; Vidal-Llana, Xenxo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001688. Full description at Econpapers || Download paper | |
2023 | The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051. 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 | One-stop source: A global database of inflation. (2023). Ohnsorge, Franziska ; Kose, Ayhan ; Ha, Jongrim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000979. Full description at Econpapers || Download paper | |
2024 | Estimating 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. Full description at Econpapers || Download paper | |
2023 | Who is the core? Reveal the heterogeneity of global rare earth trade structure from the perspective of industrial chain. (2023). Du, Debin ; Xia, Qifan ; Li, Xiya ; Cao, Wanpeng. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s030142072300243x. Full description at Econpapers || Download paper | |
2024 | Supply 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. Full description at Econpapers || Download paper | |
2023 | Clustering coefficients as measures of the complex interactions in a directed weighted multilayer network. (2023). Grassi, Rosanna ; Clemente, Gian Paolo ; Bartesaghi, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:610:y:2023:i:c:s0378437122009712. Full description at Econpapers || Download paper | |
2023 | Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices. (2023). Pagnottoni, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:615:y:2023:i:c:s037843712300136x. Full description at Econpapers || Download paper | |
2024 | Structure 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. Full description at Econpapers || Download paper | |
2023 | The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223. Full description at Econpapers || Download paper | |
2023 | Should I have closed? A multiplex network approach for the short-term economic effect of Covid-19 containment measures in the EU. (2023). Grassetti, Francesca ; della Torre, M ; Ceriotti, C ; Marazzina, D. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:90:y:2023:i:c:s003801212300246x. Full description at Econpapers || Download paper | |
2024 | Doubly 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. Full description at Econpapers || Download paper | |
2023 | Regionalisation and cross-region integration. Twin dynamics in the automotive international trade networks. (2023). simonazzi, annamaria ; Righi, Simone ; Russo, Margherita ; Mangioni, Giuseppe ; de Domenico, Manlio ; Sangines, Jorge Carreto ; Alboni, Fabrizio. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:67:y:2023:i:c:p:98-114. Full description at Econpapers || Download paper | |
2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: Working Papers. RePEc:fem:femwpa:2023.11. Full description at Econpapers || Download paper | |
2023 | Monetary Policy Implications on Macroeconomic Performance in the Common Monetary Area: A Panel-SVAR Framework. (2023). Mukorera, Sophia ; Shumba, Theron. In: Economies. RePEc:gam:jecomi:v:11:y:2023:i:5:p:144-:d:1144118. Full description at Econpapers || Download paper | |
2024 | A 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. Full description at Econpapers || Download paper | |
2023 | Hospital cost efficiency: an examination of US acute care inpatient hospitals. (2023). Linde, Sebastian. In: International Journal of Health Economics and Management. RePEc:kap:ijhcfe:v:23:y:2023:i:3:d:10.1007_s10754-023-09356-x. Full description at Econpapers || Download paper | |
2023 | THE EXPANSIONARY EFFECTS OF HOUSING CREDIT SUPPLY SHOCKS. (2023). Motta, Giorgio ; Miescu, Mirela Sorina ; Rossi, Raffaele ; Pontiggia, Dario. In: Working Papers. RePEc:lan:wpaper:399832231. Full description at Econpapers || Download paper | |
2023 | Credit risk linkages in the international banking network, 2000–2019. (2023). Parfenov, Daniil ; Stolbov, Mikhail. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:3:d:10.1057_s41283-023-00126-0. Full description at Econpapers || Download paper | |
2023 | Fiscal Policy and Asset Prices in a Dynamic Factor Model with Cointegrated Factors. (2023). Takumah, Wisdom. In: MPRA Paper. RePEc:pra:mprapa:117897. Full description at Econpapers || Download paper | |
2023 | Impact of COVID-19 on household consumption in Russia. (2023). Demidova, Olga ; Voytenkov, Valentin. In: Applied Econometrics. RePEc:ris:apltrx:0486. Full description at Econpapers || Download paper | |
2023 | The Vector Error Correction Index Model: Representation, Estimation and Identification. (2023). Cubadda, Gianluca ; Mazzali, Marco. In: CEIS Research Paper. RePEc:rtv:ceisrp:556. Full description at Econpapers || Download paper | |
2023 | Applied Regional Economic Research Can Improve Development Strategies and Drive Better Outcomes. (2023). Williams, Nichelle ; Forbes, Allison ; Poole, Kenneth E. In: Economic Development Quarterly. RePEc:sae:ecdequ:v:37:y:2023:i:1:p:85-95. Full description at Econpapers || Download paper | |
2023 | Measuring tourism demand nowcasting performance using a monotonicity test. (2023). Liu, Ying ; Song, Haiyan ; Wang, Yongjing. In: Tourism Economics. RePEc:sae:toueco:v:29:y:2023:i:5:p:1302-1327. Full description at Econpapers || Download paper | |
2023 | Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. (2023). Zhou, Wei-Xing ; Jawadi, Fredj ; Xu, Hai-Chuan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02338-x. Full description at Econpapers || Download paper | |
2023 | The impact of pandemic on dynamic volatility spillover network of international stock markets. (2023). Shao, Liuguo ; Lan, Tingting ; Yuan, Caijun ; Zhang, Hua. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:5:d:10.1007_s00181-023-02422-w. Full description at Econpapers || Download paper | |
2023 | Imperfect Information and Hidden Dynamics. (2023). Levine, Paul ; Yang, BO ; Wright, Stephen ; Pearlman, Joseph. In: School of Economics Discussion Papers. RePEc:sur:surrec:1223. Full description at Econpapers || Download paper | |
2023 | Connectedness between G10 currencies: Searching for the causal structure. (2023). Heinlein, Reinhold ; Bettendorf, Timo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3938-3959. Full description at Econpapers || Download paper | |
2023 | Structural VAR and financial networks: A minimum distance approach to spatial modeling. (2023). Scida, Daniela. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:1:p:49-68. Full description at Econpapers || Download paper | |
2023 | Nowcasting the state of the Italian economy: The role of financial markets. (2023). Silvestrini, Andrea ; Ceci, Donato. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1569-1593. Full description at Econpapers || Download paper | |
2023 | Aid for Trade flows, Patent Rights Protection and Total Factor Productivity. (2023). Gnangnon, Sena Kimm. In: EconStor Preprints. RePEc:zbw:esprep:274650. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2020 | Time-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: 17 | paper | |
2019 | Time-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: 17 | paper | |
2021 | Time-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: 17 | article | |
2010 | Multinetwork of international trade: A commodity-specific analysis In: Papers. [Full Text][Citation analysis] | paper | 83 |
2009 | The Multi-Network of International Trade: A Commodity-Specific Analysis.(2009) In: LEM Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
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2024 | Inference in Heavy-Tailed Nonstationary Multivariate Time Series.(2024) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
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2012 | Do Euro area countries respond asymmetrically to the common monetary policy?.(2012) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 85 | paper | |
2013 | Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?.(2013) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 85 | paper | |
2018 | On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 10 |
2018 | On the stability of euro area money demand and its implications for monetary policy.(2018) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2013 | On the Stability of Euro Area Money Demand and its Implications for Monetary Policy.(2013) In: LEM Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
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2011 | Immigrants legal status, permanence in the destination country and the distribution of consumption expenditure.(2011) In: Applied Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2009 | A Robust Criterion for Determining the Number of Factors in Approximate Factor Models In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 12 |
2014 | Dynamic Factor Models, Cointegration and Error Correction Mechanisms In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 7 |
2016 | Dynamic Factor Models, Cointegration, and Error Correction Mechanisms.(2016) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2014 | Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 39 |
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2016 | Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2016) In: Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | article | |
2015 | Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 34 |
2017 | Generalized dynamic factor models and volatilities: estimation and forecasting.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
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2017 | Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
2021 | Inferential Theory for Generalized Dynamic Factor Models In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
2024 | Inferential theory for generalized dynamic factor models.(2024) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2010 | On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 4 |
2008 | A robust criterion for determining the number of static factors in approximate factor models. In: Working Paper Series. [Full Text][Citation analysis] | paper | 24 |
2007 | A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models.(2007) In: LEM Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2008 | A review of nonfundamentalness and identification in structural VAR models In: Working Paper Series. [Full Text][Citation analysis] | paper | 15 |
2007 | A Review of Nonfundamentalness and Identification in Structural VAR Models.(2007) In: LEM Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2009 | The distribution of households consumption-expenditure budget shares In: Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
2012 | The distribution of household consumption-expenditure budget shares.(2012) In: Structural Change and Economic Dynamics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2009 | Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors In: Working Paper Series. [Full Text][Citation analysis] | paper | 15 |
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2018 | Simultaneous multiple change-point and factor analysis for high-dimensional time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 25 |
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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 | 15 |
2011 | Identifying the community structure of the international-trade multi-network In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 58 |
2010 | Identifying the Community Structure of the International-Trade Multi Network.(2010) In: LEM Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 58 | paper | |
2010 | Improved penalization for determining the number of factors in approximate factor models In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 185 |
2013 | The common component of firm growth In: Structural Change and Economic Dynamics. [Full Text][Citation analysis] | article | 3 |
2016 | Identifying the independent sources of consumption variation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 4 |
2012 | Identifying the Independent Sources of Consumption Variation.(2012) In: LEM Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2016 | Identifying the Independent Sources of Consumption Variation.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2017 | Spatio-temporal patterns of the international merger and acquisition network In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
2017 | Spatio-Temporal Patterns of the International Merger and Acquisition Network.(2017) In: LEM Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2019 | Identification 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] | paper | 10 |
2019 | Identification 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: 10 | article | |
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2019 | Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions.(2019) In: The Journal of International Trade & Economic Development. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2008 | The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households In: Papers on Economics and Evolution. [Citation analysis] | paper | 0 |
2008 | The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households.(2008) In: LEM Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2011 | The Rank of a System of Engel Curves. How Many Common Factors? In: Papers on Economics and Evolution. [Full Text][Citation analysis] | paper | 1 |
2011 | Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model In: European Economy - Economic Papers 2008 - 2015. [Full Text][Citation analysis] | paper | 9 |
2016 | Non-Stationary Dynamic Factor Models for Large Datasets In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 17 |
2017 | Common Factors, Trends, and Cycles in Large Datasets In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 2 |
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2010 | Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 7 |
2020 | Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors In: Econometrics. [Full Text][Citation analysis] | article | 9 |
2020 | Determining the rank of cointegration with infinite variance In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | On the distributional properties of household consumption expenditures: the case of Italy In: Empirical Economics. [Full Text][Citation analysis] | article | 9 |
2007 | On the distributional properties of household consumption expenditures. The case of Italy..(2007) In: LEM Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2007 | On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters In: LEM Papers Series. [Full Text][Citation analysis] | paper | 5 |
2009 | ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS.(2009) In: Advances in Complex Systems (ACS). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2016 | Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ? In: LEM Papers Series. [Full Text][Citation analysis] | paper | 0 |
2021 | Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility In: LEM Papers Series. [Full Text][Citation analysis] | paper | 0 |
2024 | An Algebraic Estimator for Large Spectral Density Matrices In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 0 |
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