Details about Matteo Barigozzi
Access statistics for papers by Matteo Barigozzi.
Last updated 2019-10-14. Update your information in the RePEc Author Service.
Short-id: pba354
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Working Papers
2019
- Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals
Papers, arXiv.org  View citations (1)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2018) View citations (2)
- Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
Also in Working Papers, Lancaster University Management School, Economics Department (2019)
2018
- Determining the dimension of factor structures in non-stationary large datasets
Papers, arXiv.org
Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2018)
- Do National Account Statistics Underestimate US Real Output Growth?
FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
- Identification of global and local shocks in international financial markets via general dynamic factor models
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (5)
See also Journal Article in Journal of Financial Econometrics (2019)
- Nets: network estimation for time series
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) View citations (14)
Working Papers, Barcelona Graduate School of Economics (2013) View citations (19)
See also Journal Article in Journal of Applied Econometrics (2019)
- Sequential testing for structural stability in approximate factor models
Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
Also in Papers, arXiv.org (2018)
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
See also Journal Article in Journal of Econometrics (2018)
2017
- A network analysis of the volatility of high-dimensionalfinancial series
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)
See also Journal Article in Journal of the Royal Statistical Society Series C (2017)
- Common Factors, Trends, and Cycles in Large Datasets
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US)
- Generalized dynamic factor models and volatilities estimation and forecasting
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (6)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (7)
See also Journal Article in Journal of Econometrics (2017)
- Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Non-Stationary Dynamic Factor Models for Large Datasets
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US)
- Spatio-Temporal Patterns of the International Merger and Acquisition Network
LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy View citations (1)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) View citations (1)
2016
- Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ?
LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy
- Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) View citations (4)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (1)
- Identifying the independent sources of consumption variation
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2012)
See also Journal Article in Journal of Applied Econometrics (2016)
- Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
Papers, arXiv.org
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (1)
2015
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (6)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (2)
See also Journal Article in Econometrics Journal (2016)
2014
- Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (16)
See also Journal Article in Journal of Econometrics (2014)
2013
- Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2012)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
- On the Stability of Euro Area Money Demand and its Implications for Monetary Policy
LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy View citations (3)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2018)
2011
- Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model
European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission View citations (6)
- The Rank of a System of Engel Curves. How Many Common Factors?
Papers on Economics and Evolution, Philipps University Marburg, Department of Geography
2010
- Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (7)
- Identifying the Community Structure of the International-Trade Multi Network
LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy View citations (4)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2011)
- Multinetwork of international trade: A commodity-specific analysis
Papers, arXiv.org View citations (53)
Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2009) View citations (5)
- On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (4)
2009
- A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (11)
- Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
Working Paper Series, European Central Bank View citations (10)
- Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
See also Journal Article in Applied Economics Letters (2011)
- The distribution of households consumption-expenditure budget shares
Working Paper Series, European Central Bank View citations (2)
See also Journal Article in Structural Change and Economic Dynamics (2012)
2008
- A review of nonfundamentalness and identification in structural VAR models
Working Paper Series, European Central Bank View citations (1)
Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) View citations (10)
- A robust criterion for determining the number of static factors in approximate factor models
Working Paper Series, European Central Bank View citations (13)
Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) View citations (3)
- The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households
Papers on Economics and Evolution, Philipps University Marburg, Department of Geography
Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2008)
2007
- On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters
LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy
See also Journal Article in Advances in Complex Systems (ACS) (2009)
- On the distributional properties of household consumption expenditures. The case of Italy
LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy View citations (4)
See also Journal Article in Empirical Economics (2010)
Journal Articles
2019
- Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models
Journal of Financial Econometrics, 2019, 17, (3), 462-494
See also Working Paper (2018)
- Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions
The Journal of International Trade & Economic Development, 2019, 28, (2), 230-256
- NETS: Network estimation for time series
Journal of Applied Econometrics, 2019, 34, (3), 347-364
See also Working Paper (2018)
2018
- On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy
Oxford Bulletin of Economics and Statistics, 2018, 80, (4), 755-787
See also Working Paper (2013)
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
Journal of Econometrics, 2018, 206, (1), 187-225 View citations (2)
See also Working Paper (2018)
2017
- A network analysis of the volatility of high dimensional financial series
Journal of the Royal Statistical Society Series C, 2017, 66, (3), 581-605 View citations (9)
See also Working Paper (2017)
- Generalized dynamic factor models and volatilities: estimation and forecasting
Journal of Econometrics, 2017, 201, (2), 307-321 View citations (7)
See also Working Paper (2017)
2016
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
Econometrics Journal, 2016, 19, (1), C33-C60 View citations (14)
See also Working Paper (2015)
- Identifying the Independent Sources of Consumption Variation
Journal of Applied Econometrics, 2016, 31, (2), 420-449
See also Working Paper (2016)
2014
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Journal of Econometrics, 2014, 182, (2), 364-384 View citations (16)
See also Working Paper (2014)
- Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?
Oxford Bulletin of Economics and Statistics, 2014, 76, (5), 693-714 View citations (36)
See also Working Paper (2013)
2013
- The common component of firm growth
Structural Change and Economic Dynamics, 2013, 26, (C), 73-82 View citations (3)
2012
- The distribution of household consumption-expenditure budget shares
Structural Change and Economic Dynamics, 2012, 23, (1), 69-91
See also Working Paper (2009)
2011
- Identifying the community structure of the international-trade multi-network
Physica A: Statistical Mechanics and its Applications, 2011, 390, (11), 2051-2066 View citations (25)
See also Working Paper (2010)
- Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure
Applied Economics Letters, 2011, 18, (14), 1341-1347 View citations (1)
See also Working Paper (2009)
- Non‐Fundamentalness in Structural Econometric Models: A Review
International Statistical Review, 2011, 79, (1), 16-47 View citations (30)
2010
- Improved penalization for determining the number of factors in approximate factor models
Statistics & Probability Letters, 2010, 80, (23-24), 1806-1813 View citations (114)
- On the distributional properties of household consumption expenditures: the case of Italy
Empirical Economics, 2010, 38, (3), 717-741 View citations (9)
See also Working Paper (2007)
2009
- ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS
Advances in Complex Systems (ACS), 2009, 12, (02), 157-167 View citations (1)
See also Working Paper (2007)
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