Matteo Barigozzi : Citation Profile

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

16

H index

25

i10 index

1121

Citations

RESEARCH PRODUCTION:

32

Articles

82

Papers

RESEARCH ACTIVITY:

   18 years (2007 - 2025). See details.
   Cites by year: 62
   Journals where Matteo Barigozzi has often published
   Relations with other researchers
   Recent citing documents: 142.    Total self citations: 60 (5.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba354
   Updated: 2025-12-20    RAS profile: 2025-10-09    
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Relations with other researchers

Works with:

Luciani, Matteo (10)

Hallin, Marc (9)

Trapani, Lorenzo (5)

Trapani, Lorenzo (4)

Cavaliere, Giuseppe (4)

Grazzi, Marco (2)

Lippi, Marco (2)

Soccorsi, Stefano (2)

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

Is cited by:

Hallin, Marc (58)

Trucíos, Carlos (31)

Valls Pereira, Pedro (27)

Hotta, Luiz (27)

Lippi, Marco (23)

Ruiz, Esther (22)

Forni, Mario (20)

Poncela, Pilar (16)

GUPTA, RANGAN (16)

Napoletano, Mauro (15)

Fan, Jianqing (14)

Cites to:

Reichlin, Lucrezia (245)

Lippi, Marco (236)

Forni, Mario (216)

Hallin, Marc (211)

Giannone, Domenico (157)

Bai, Jushan (119)

Ng, Serena (90)

Watson, Mark (72)

Engle, Robert (65)

Zaffaroni, Paolo (54)

Luciani, Matteo (41)

Main data

Where Matteo Barigozzi has published?

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

Working Papers Series with more than one paper published# docs
Papers / arXiv.org21
Working Papers ECARES / ULB -- Universite Libre de Bruxelles13
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy12
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)5
Working Paper Series / European Central Bank4
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"2
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Matteo Barigozzi (2025 and 2024)

YearTitle of citing document
2025Worldwide Nickel Ore Trade, Its Stability and the Characteristics: A Fresh Policy Analysis. (2025). Uddin, Mohammed Ahmar ; Laurinavicius, Antanas ; Salman, Asma ; Abdelsalam, Mohamed Elsayed. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:29:y:2025:i:3:p:85-118.

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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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2024High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks. (2024). Pfarrhofer, Michael ; Stelzer, Anna. In: Papers. RePEc:arx:papers:1912.03158.

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2025Inference in Unbalanced Panel Data Models with Interactive Fixed Effects. (2020). Czarnowske, Daniel ; Stammann, Amrei. In: Papers. RePEc:arx:papers:2004.03414.

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2024Matrix Quantile Factor Model. (2024). Liu, Yong-Xin ; Kong, Xin-Bing ; Zhao, Peng ; Yu, Long. In: Papers. RePEc:arx:papers:2208.08693.

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2025Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2025). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2024Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2024). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653.

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2025Inference on common trends in functional time series. (2024). Seong, Dakyung ; Nielsen, Morten. In: Papers. RePEc:arx:papers:2312.00590.

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

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

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2024Dynamic Matrix Factor Models for High Dimensional Time Series. (2024). Han, Yuefeng ; Yu, Ruofan ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2407.05624.

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2024Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors. (2024). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Papers. RePEc:arx:papers:2407.06883.

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2025Enhancing Startup Success Predictions in Venture Capital: A GraphRAG Augmented Multivariate Time Series Method. (2025). Gao, Zitian ; Xiao, Yihao. In: Papers. RePEc:arx:papers:2408.09420.

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2024Actually, There is No Rotational Indeterminacy in the Approximate Factor Model. (2024). Gersing, Philipp. In: Papers. RePEc:arx:papers:2408.11676.

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2025New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings. (2024). Margaritella, Luca ; Stauskas, Ovidijus. In: Papers. RePEc:arx:papers:2409.20415.

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2024The Transmission of Monetary Policy via Common Cycles in the Euro Area. (2024). Pruser, Jan ; Berend, Lukas. In: Papers. RePEc:arx:papers:2410.05741.

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2024A Dynamic Spatiotemporal and Network ARCH Model with Common Factors. (2024). Otto, Philipp ; Mattera, Raffaele ; Dougan, Osman ; Tacspinar, Suleyman. In: Papers. RePEc:arx:papers:2410.16526.

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2025On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model. (2025). Gersing, Philipp. In: Papers. RePEc:arx:papers:2410.18159.

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2024International vulnerability of inflation. (2024). Ruiz, Esther ; Garr, Ignacio ; Rodr, Vladimir C. In: Papers. RePEc:arx:papers:2410.20628.

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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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2025Canonical correlation analysis of stochastic trends via functional approximation. (2024). Paruolo, Paolo ; Franchi, Massimo ; Georgiev, Iliyan. In: Papers. RePEc:arx:papers:2411.19572.

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2025VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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

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2025Singularity-Based Consistent QML Estimation of Multiple Breakpoints in High-Dimensional Factor Models. (2025). Bai, Jushan ; Duan, Jiangtao ; Han, XU. In: Papers. RePEc:arx:papers:2503.06645.

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2025Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study. (2025). Katz, Harrison ; Weiss, Robert E. In: Papers. RePEc:arx:papers:2504.05489.

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2025Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset. (2025). Stauskas, Ovidijus ; Morico, Alessandro. In: Papers. RePEc:arx:papers:2504.08455.

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2025On Selection of Cross-Section Averages in Non-stationary Environments. (2025). Ditzen, Jan ; Stauskas, Ovidijus. In: Papers. RePEc:arx:papers:2505.08615.

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2025Words That Unite The World: A Unified Framework for Deciphering Central Bank Communications Globally. (2025). Zhang, Joshua ; Pardawala, Huzaifa ; Mittal, Harsit ; Aluru, Pranav ; Sukhani, Siddhant ; Kelly, Dylan Patrick ; Kim, Eric ; Shah, Agam ; Chava, Sahasra ; Ravichandran, Akshar ; Hiray, Arnav ; Yuh, Rachel ; Lee, Soungmin ; Routu, Rutwik ; Galarnyk, Michael ; Gosden, Spencer ; Somani, Siddhartha ; Ye, Liqin ; Gopal, Rudra ; Chiang, Aiden ; Tarte, Meghaj ; Bhadani, Riya ; Guda, Veer ; Jaskowski, Sebastian ; Budideti, Saketh. In: Papers. RePEc:arx:papers:2505.17048.

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2025The Spurious Factor Dilemma: Robust Inference in Heavy-Tailed Elliptical Factor Models. (2025). Zhou, Wang ; Zhang, Yangchun ; Hu, Jiang ; Xie, Jiahui. In: Papers. RePEc:arx:papers:2506.05116.

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2025A general randomized test for Alpha. (2025). Vallarino, Pierluigi ; Sarno, Lucio ; Trapani, Lorenzo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2507.17599.

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2025Approximate Factor Model with S-vine Copula Structure. (2025). Li, Yu-Ning ; Han, Jialing. In: Papers. RePEc:arx:papers:2508.11619.

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2025Across Time and (Product) Space: A Capability-Centric Model of Relatedness and Economic Complexity. (2025). Huang, Ziang ; Chen, Huashan. In: Papers. RePEc:arx:papers:2508.21616.

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2025Signed network models for portfolio optimization. (2025). Adhikari, Bibhas. In: Papers. RePEc:arx:papers:2510.05377.

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2025Estimation of High-dimensional Nonlinear Vector Autoregressive Models. (2025). Han, Yuefeng ; Chen, Likai ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2511.18641.

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2025Threshold Tensor Factor Model in CP Form. (2025). Chen, Rong ; Bolivar, Stevenson ; Han, Yuefeng. In: Papers. RePEc:arx:papers:2511.19796.

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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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2025A tail of labor supply and a tale of monetary policy. (2025). ferroni, filippo ; Mumtaz, Haroon ; Cantore, Cristiano ; Theophilopoulou, Angeliki. In: Working Papers. RePEc:bol:bodewp:wp1210.

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2025The Innovation Long-Run Risk Component. (2025). Franceschini, Fabio. In: Working Papers. RePEc:bol:bodewp:wp1215.

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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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2024International vulnerability of inflation. (2024). Ortega, Esther Ruiz ; Rodrguez, Carlos Vladimir ; Vedia, Ignacio Garrn. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:44814.

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2025Monetary policy transmission: a reference guide through ESCB models and empirical benchmarks. (2025). Priftis, Romanos ; Notarpietro, Alessandro ; Mandler, Martin ; Lozej, Matija ; Imbierowicz, Bjorn ; Casalis, André ; Buss, Ginters ; Berg, Tim ; Vestin, David ; McClung, Nigel ; Dobrew, Michael ; Repele, Amalia ; Zhutova, Anastasia ; Valderrama, Mara T ; Kortelainen, Mika ; Byrne, David ; Yakut, Dilan Aydin ; Mogliani, Matteo ; Theofilakou, Anastasia ; Kornprobst, Antoine ; Brzdik, Frantiek ; Nilavongse, Rachatar ; Hernndez, Catalina Martnez ; Kalantzis, Yannick ; Bottero, Margherita ; le Gall, Claire ; di Casola, Paola ; Jacquinot, Pascal ; Bonfim, Diana ; Izquierdo, Matas Covarrubias ; Conti, Antonio M ; Haavio, Markus ; Auer, Simone ; Gonalves, Nuno Vilarinho ; Bobasu, Alina ; Grimaud, Alex ; Ambrocio, Gene ; Delis, Panagiotis ; Ciccarelli, Matteo ; Goodhead, Robert ; Reichenbachas, Tomas ; Zlobins, Andrejs ; Rannenberg, Ansgar ; Gomes, Sandra ; Wacks, Johannes ; Odendahl, Florens ; Giammaria, Alessandro ; Vetlov, Igor ; Mller, Georg ; Dupraz, Stphane ; Zimic, Sreko. In: Occasional Paper Series. RePEc:ecb:ecbops:2025377.

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2024Monetary policy and growth-at-risk: the role of institutional quality. (2024). Emter, Lorenz ; Moura, Afonso S ; Zorell, Nico ; Setzer, Ralph. In: Working Paper Series. RePEc:ecb:ecbwps:20242989.

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

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2025How trade drives fluctuations in macroeconomics in China – A multi-level dynamic factor approach. (2025). Zhang, JI ; Wang, Fang ; Hou, Jianghuai. In: China Economic Review. RePEc:eee:chieco:v:91:y:2025:i:c:s1043951x25000513.

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

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2025The evolutionary fairness dynamics on multiplex networks with information reliability and time delays. (2025). Zhang, Wei ; Yao, Jing ; Li, Xinlong ; Wang, Yang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:198:y:2025:i:c:s0960077925005296.

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

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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2024Unconventional monetary policy and policy foresight. (2024). Laumer, Sebastian ; Violaris, Andreas-Entony. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:164:y:2024:i:c:s0165188924000745.

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2025Trend-cycle decomposition in the presence of large shocks. (2025). Wong, Benjamin ; Morley, James ; Kamber, Gne. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:173:y:2025:i:c:s0165188925000326.

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2025Microdata-based output gap estimation using business tendency surveys. (2025). Ulrichs, Magdalena ; Grajski, Mariusz ; Baej, Mirosaw. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:174:y:2025:i:c:s016518892500034x.

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2025Adaptive local VAR for dynamic economic policy uncertainty spillover. (2025). Gillmann, Niels ; Okhrin, Ostap. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000744.

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

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2024The distributional effects of oil supply news shocks. (2024). Theophilopoulou, Angeliki ; Drossidis, Theo ; Mumtaz, Haroon. In: Economics Letters. RePEc:eee:ecolet:v:240:y:2024:i:c:s0165176524002532.

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

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2025Bank lending standards and monetary transmission in the euro area. (2025). Scharler, Johann ; Grndler, Daniel. In: Economics Letters. RePEc:eee:ecolet:v:254:y:2025:i:c:s0165176525002502.

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

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

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

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

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2024Local projections vs. VARs: Lessons from thousands of DGPs. (2024). Plagborg-Moller, Mikkel ; Wolf, Christian K ; Plagborg-Mller, Mikkel ; Li, Dake. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s030440762400068x.

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2024Reprint of: 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:244:y:2024:i:2:s0304407624000915.

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2025Spanning latent and observable factors. (2025). Gagliardini, P ; Ghysels, E ; Rubin, M ; Andreou, E. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000897.

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2025Multiplicative factor model for volatility. (2025). Engle, Robert ; Ding, Yi ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000132.

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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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2025When structural break meets threshold effect: Factor analysis under structural instabilities. (2025). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000260.

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2025Huber Principal Component Analysis for large-dimensional factor models. (2025). He, Yong ; Zhou, Wen-Xin ; Liu, Dong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000478.

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

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

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

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2025Inference in mixed causal and noncausal models with generalized Student’s t-distributions. (2025). Hecq, Alain ; Giancaterini, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:1-12.

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2025Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229.

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2025Does one size fit all? The country-specific effects of ECB monetary policy. (2025). Tavlas, George ; Wang, Yongli ; Hall, Stephen G ; Gefang, Deborah. In: European Economic Review. RePEc:eee:eecrev:v:175:y:2025:i:c:s0014292125000753.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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

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

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

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2025Risk factors in the formulation of day-ahead electricity prices: Evidence from the Spanish case. (2025). Thomaidis, Nikolaos S ; Paschalidou, Eleftheria G. In: Energy Economics. RePEc:eee:eneeco:v:142:y:2025:i:c:s0140988324008119.

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

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

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2025Systemic risk from overlapping portfolios: A multi-objective optimization framework. (2025). Maringer, Dietmar ; Sulas, Alessandro ; Paterlini, Sandra. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007269.

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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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2025Knowledge-based multiplex network reconstruction and influential substructure identification of stock time series: An application to the Chinese A-share market. (2025). Yao, Jiayi ; Zheng, Yanqiao ; Zhang, Zexuan ; Du, Peilin. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325000868.

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2025Idiosyncratic contagion between ETFs and stocks: A high dimensional network perspective. (2025). Wang, YU ; Sun, Yiguo. In: Journal of Financial Stability. RePEc:eee:finsta:v:78:y:2025:i:c:s1572308925000440.

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2024Stock, foreign exchange and commodity markets linkages: Implications for risk diversification and portfolio management. (2024). Veloso, Carmen L ; Cornejo, Edinson E ; Seplveda, Sandra M ; Muoz, Jorge A ; Delgado, Carlos L. In: Global Finance Journal. RePEc:eee:glofin:v:63:y:2024:i:c:s104402832400125x.

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

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

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2025Attenuation and reinforcement mechanisms over the life course. (2025). Richiardi, Matteo ; van De, Justin ; Bronka, Patryk. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:231:y:2025:i:c:s0167268125000319.

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

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

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2024Balance sheet expansionary policies in the euro area: Macroeconomic impacts and a vulnerable versus non-vulnerable comparison. (2024). Pereira, Francisco ; Gomes-Pereira, Francisco. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:30:y:2024:i:c:s170349492400015x.

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

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2024Multilayer network analysis of idiosyncratic volatility connectedness: Evidence from China. (2024). Ouyang, Zisheng ; Zhou, Xuewei ; Lu, Min. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002853.

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

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

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2024Do market conditions affect interconnectedness pattern of socially responsible equities?. (2024). Anwer, Zaheer ; Naeem, Muhammad Abubakr ; Khan, Ashraf ; Paltrinieri, Andrea. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:611-630.

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2024Monetary policy shocks and the high-frequency network connectedness of stock markets. (2024). Caraiani, Petre ; Anghel, Dan Gabriel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024005501.

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

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More than 100 citations found, this list is not complete...

Works by Matteo Barigozzi:

YearTitleTypeCited
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: LIDAM Discussion Papers ISBA.
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2020Time-varying general dynamic factor models and the measurement of financial connectedness.(2020) In: LIDAM Reprints ISBA.
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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness.(2019) In: Working Papers ECARES.
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2021Time-varying general dynamic factor models and the measurement of financial connectedness.(2021) In: Journal of Econometrics.
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2010Multinetwork of international trade: A commodity-specific analysis In: Papers.
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2009The Multi-Network of International Trade: A Commodity-Specific Analysis.(2009) In: LEM Papers Series.
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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series In: Papers.
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2015Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series.(2015) In: Working Papers ECARES.
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2020Sequential testing for structural stability in approximate factor models In: Papers.
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2020Sequential testing for structural stability in approximate factor models.(2020) In: Stochastic Processes and their Applications.
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2018Sequential testing for structural stability in approximate factor models.(2018) In: Discussion Papers.
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2018Determining the dimension of factor structures in non-stationary large datasets In: Papers.
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2018Determining the dimension of factor structures in non-stationary large datasets.(2018) In: Discussion Papers.
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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals In: Papers.
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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals.(2018) In: Working Papers ECARES.
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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals.(2020) In: Journal of Econometrics.
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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm In: Papers.
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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm.(2024) In: Finance and Economics Discussion Series.
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2019Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models In: Papers.
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2021Inference in heavy-tailed non-stationary multivariate time series In: Papers.
[Full Text][Citation analysis]		paper3
2024Inference in Heavy-Tailed Nonstationary Multivariate Time Series.(2024) In: Journal of the American Statistical Association.
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2025Factor Network Autoregressions In: Papers.
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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models In: Papers.
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2025Modelling large dimensional datasets with Markov switching factor models.(2025) In: Journal of Econometrics.
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2025Asymptotic Theory of Principal Component Analysis for High-Dimensional Time Series Data under a Factor Structure In: Papers.
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2023Multidimensional dynamic factor models In: Papers.
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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review In: Papers.
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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices In: Papers.
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2024Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models In: Papers.
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2025The Canonical Decomposition of Factor Models: Weak Factors are Everywhere In: Papers.
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2024Dynamic Factor Models: a Genealogy In: Papers.
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2023Dynamic Factor Models: a Genealogy.(2023) In: Working Papers ECARES.
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2025The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series In: Papers.
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2024The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series.(2024) In: Working Papers ECARES.
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2025Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy In: Papers.
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2025Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering In: Papers.
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2025Measuring the Euro Area Output Gap In: Papers.
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2024Measuring the Euro Area Output Gap.(2024) In: Finance and Economics Discussion Series.
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2015Nets: Network Estimation for Time Series In: Working Papers.
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2018Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics.
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2013Nets: Network estimation for time series.(2013) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 107		paper
2019NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics.
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2011Non‐Fundamentalness in Structural Econometric Models: A Review In: International Statistical Review.
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2017A network analysis of the volatility of high dimensional financial series In: Journal of the Royal Statistical Society Series C.
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2017A network analysis of the volatility of high-dimensionalfinancial series.(2017) In: LSE Research Online Documents on Economics.
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2014Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? In: Oxford Bulletin of Economics and Statistics.
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2012Do Euro area countries respond asymmetrically to the common monetary policy?.(2012) In: LSE Research Online Documents on Economics.
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2013Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?.(2013) In: ULB Institutional Repository.
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2018On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article13
2018On the stability of euro area money demand and its implications for monetary policy.(2018) In: LSE Research Online Documents on Economics.
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2013On the Stability of Euro Area Money Demand and its Implications for Monetary Policy.(2013) In: LEM Papers Series.
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2025Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article0
2021Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility.(2021) In: LEM Papers Series.
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2009Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure In: Working Papers ECARES.
[Full Text][Citation analysis]		paper3
2011Immigrants legal status, permanence in the destination country and the distribution of consumption expenditure.(2011) In: Post-Print.
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2011Immigrants legal status, permanence in the destination country and the distribution of consumption expenditure.(2011) In: Applied Economics Letters.
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2009A Robust Criterion for Determining the Number of Factors in Approximate Factor Models In: Working Papers ECARES.
[Full Text][Citation analysis]		paper13
2014Dynamic Factor Models, Cointegration and Error Correction Mechanisms In: Working Papers ECARES.
[Full Text][Citation analysis]		paper7
2016Dynamic Factor Models, Cointegration, and Error Correction Mechanisms.(2016) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 7		paper
2014Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks In: Working Papers ECARES.
[Full Text][Citation analysis]		paper51
2015Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2015) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 51		paper
2016Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2016) In: Econometrics Journal.
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This paper has nother version. Agregated cites: 51		article
2015Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting In: Working Papers ECARES.
[Full Text][Citation analysis]		paper43
2017Generalized dynamic factor models and volatilities: estimation and forecasting.(2017) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 43		article
2017Generalized dynamic factor models and volatilities estimation and forecasting.(2017) In: LSE Research Online Documents on Economics.
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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES.
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2021Inferential Theory for Generalized Dynamic Factor Models In: Working Papers ECARES.
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2024Inferential theory for generalized dynamic factor models.(2024) In: Journal of Econometrics.
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2010On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis In: Working Papers ECARES.
[Full Text][Citation analysis]		paper4
2008A robust criterion for determining the number of static factors in approximate factor models. In: Working Paper Series.
[Full Text][Citation analysis]		paper25
2007A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models.(2007) In: LEM Papers Series.
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2008A review of nonfundamentalness and identification in structural VAR models In: Working Paper Series.
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2007A Review of Nonfundamentalness and Identification in Structural VAR Models.(2007) In: LEM Papers Series.
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2009The distribution of households consumption-expenditure budget shares In: Working Paper Series.
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2012The distribution of household consumption-expenditure budget shares.(2012) In: Structural Change and Economic Dynamics.
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2009Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors In: Working Paper Series.
[Full Text][Citation analysis]		paper16
2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
[Full Text][Citation analysis]		article25
2014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive.
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2018Simultaneous multiple change-point and factor analysis for high-dimensional time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article31
2018Simultaneous multiple change-point and factor analysis for high-dimensional time series.(2018) In: LSE Research Online Documents on Economics.
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2021Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors In: Journal of Econometrics.
[Full Text][Citation analysis]		article22
2011Identifying the community structure of the international-trade multi-network In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article62
2010Identifying the Community Structure of the International-Trade Multi Network.(2010) In: LEM Papers Series.
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This paper has nother version. Agregated cites: 62		paper
2010Improved penalization for determining the number of factors in approximate factor models In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article192
2013The common component of firm growth In: Structural Change and Economic Dynamics.
[Full Text][Citation analysis]		article3
2016Identifying the independent sources of consumption variation In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper4
2012Identifying the Independent Sources of Consumption Variation.(2012) In: LEM Papers Series.
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2016Identifying the Independent Sources of Consumption Variation.(2016) In: Journal of Applied Econometrics.
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2017Spatio-temporal patterns of the international merger and acquisition network In: LSE Research Online Documents on Economics.
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2017Spatio-Temporal Patterns of the International Merger and Acquisition Network.(2017) In: LEM Papers Series.
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2019Identification of global and local shocks in international financial markets via general dynamic factor models In: LSE Research Online Documents on Economics.
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2019Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models.(2019) In: Journal of Financial Econometrics.
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2018Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions In: LSE Research Online Documents on Economics.
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2019Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions.(2019) In: The Journal of International Trade & Economic Development.
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2008The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households In: Papers on Economics and Evolution.
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2008The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households.(2008) In: LEM Papers Series.
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2011The Rank of a System of Engel Curves. How Many Common Factors? In: Papers on Economics and Evolution.
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2011Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model In: European Economy - Economic Papers 2008 - 2015.
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2016Non-Stationary Dynamic Factor Models for Large Datasets In: Finance and Economics Discussion Series.
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2017Common Factors, Trends, and Cycles in Large Datasets In: Finance and Economics Discussion Series.
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2018Do National Account Statistics Underestimate US Real Output Growth? In: FEDS Notes.
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2025The Euro Area has a growth problem In: FEDS Notes.
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2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
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2020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors In: Econometrics.
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2020Determining the rank of cointegration with infinite variance In: Discussion Papers.
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2010On the distributional properties of household consumption expenditures: the case of Italy In: Empirical Economics.
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2007On the distributional properties of household consumption expenditures. The case of Italy..(2007) In: LEM Papers Series.
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2007On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters In: LEM Papers Series.
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2009ON 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).
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2016Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ? In: LEM Papers Series.
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2024An Algebraic Estimator for Large Spectral Density Matrices In: Journal of the American Statistical Association.
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2022Testing for Common Trends in Nonstationary Large Datasets In: Journal of Business & Economic Statistics.
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2024FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series In: Journal of Business & Economic Statistics.
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2023Measuring the Output Gap using Large Datasets In: The Review of Economics and Statistics.
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