Details about Matteo Barigozzi

Access statistics for papers by Matteo Barigozzi.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pba354

Working Papers

2025

1. Factor Network Autoregressions
   Papers, arXiv.org View citations (5)
2. Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm
   Papers, arXiv.org
3. The Canonical Decomposition of Factor Models: Weak Factors are Everywhere
   Papers, arXiv.org
4. The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series
   Papers, arXiv.org View citations (1)
   Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2024) View citations (1)
5. The Euro Area has a growth problem
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)

2024

6. Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models
   Papers, arXiv.org
7. Dynamic Factor Models: a Genealogy
   Papers, arXiv.org
   Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2023)
8. Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices
   Papers, arXiv.org
9. Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy
   Papers, arXiv.org
10. Measuring the Euro Area Output Gap
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
11. Modelling Large Dimensional Datasets with Markov Switching Factor Models
    Papers, arXiv.org View citations (1)
    See also Journal Article Modelling large dimensional datasets with Markov switching factor models, Journal of Econometrics, Elsevier (2025) (2025)
12. Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
    Papers, arXiv.org View citations (11)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2024) View citations (1)
13. Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review
    Papers, arXiv.org

2023

14. Multidimensional dynamic factor models
    Papers, arXiv.org View citations (1)
15. On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis
    Papers, arXiv.org

2021

16. Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy
    See also Journal Article Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2025) (2025)
17. Inference in heavy-tailed non-stationary multivariate time series
    Papers, arXiv.org
    See also Journal Article Inference in Heavy-Tailed Nonstationary Multivariate Time Series, Journal of the American Statistical Association, Taylor & Francis Journals (2024) View citations (2) (2024)
18. Inferential Theory for Generalized Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
    See also Journal Article Inferential theory for generalized dynamic factor models, Journal of Econometrics, Elsevier (2024) View citations (5) (2024)

2020

19. Determining the rank of cointegration with infinite variance
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
20. Sequential testing for structural stability in approximate factor models
    Papers, arXiv.org View citations (4)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2018)
    See also Journal Article Sequential testing for structural stability in approximate factor models, Stochastic Processes and their Applications, Elsevier (2020) View citations (2) (2020)
21. Time-varying general dynamic factor models and the measurement of financial connectedness
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (8)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2019) View citations (1)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2019)
    See also Journal Article Time-varying general dynamic factor models and the measurement of financial connectedness, Journal of Econometrics, Elsevier (2021) View citations (18) (2021)

2019

22. Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals
    Papers, arXiv.org View citations (5)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2018) View citations (4)
    See also Journal Article Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals, Journal of Econometrics, Elsevier (2020) View citations (14) (2020)
23. 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 (14)
    See also Journal Article Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models, Journal of Financial Econometrics, Oxford University Press (2019) View citations (6) (2019)
24. Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models
    Papers, arXiv.org View citations (15)

2018

25. Determining the dimension of factor structures in non-stationary large datasets
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (2)
    Also in Papers, arXiv.org (2018) View citations (2)
26. Do National Account Statistics Underestimate US Real Output Growth?
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
27. Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
    See also Journal Article Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions, The Journal of International Trade & Economic Development, Taylor & Francis Journals (2019) View citations (5) (2019)
28. Nets: network estimation for time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
    Also in Working Papers, Barcelona School of Economics (2015) View citations (31)
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) View citations (31)
    See also Journal Article NETS: Network estimation for time series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (65) (2019)
29. On the stability of euro area money demand and its implications for monetary policy
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (8)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2013) View citations (3)
    See also Journal Article On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2018) View citations (8) (2018)
30. 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 (37)
    See also Journal Article Simultaneous multiple change-point and factor analysis for high-dimensional time series, Journal of Econometrics, Elsevier (2018) View citations (38) (2018)

2017

31. 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 (33)
    See also Journal Article A network analysis of the volatility of high dimensional financial series, Journal of the Royal Statistical Society Series C, Royal Statistical Society (2017) View citations (47) (2017)
32. Common Factors, Trends, and Cycles in Large Datasets
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
33. 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 (31)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (8)
    See also Journal Article Generalized dynamic factor models and volatilities: estimation and forecasting, Journal of Econometrics, Elsevier (2017) View citations (36) (2017)
34. Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
35. 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 (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) View citations (2)

2016

36. 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
37. Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (5)
38. Identifying the independent sources of consumption variation
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (5)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2012)
    See also Journal Article Identifying the Independent Sources of Consumption Variation, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (2) (2016)
39. Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
    Papers, arXiv.org View citations (2)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (1)
40. Non-Stationary Dynamic Factor Models for Large Datasets
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (19)

2015

41. 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 (8)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (3)
    See also Journal Article Generalized dynamic factor models and volatilities: recovering the market volatility shocks, Econometrics Journal, Royal Economic Society (2016) View citations (52) (2016)

2014

42. 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 (30)
    See also Journal Article Disentangling systematic and idiosyncratic dynamics in panels of volatility measures, Journal of Econometrics, Elsevier (2014) View citations (31) (2014)

2013

43. Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2012)
    See also Journal Article Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (90) (2014)

2011

44. Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure
    Post-Print, HAL
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2009)
    See also Journal Article Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure, Applied Economics Letters, Taylor & Francis Journals (2011) View citations (3) (2011)
45. 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 (9)
46. The Rank of a System of Engel Curves. How Many Common Factors?
    Papers on Economics and Evolution, Philipps University Marburg, Department of Geography View citations (1)

2010

47. 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)
48. 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 (6)
    See also Journal Article Identifying the community structure of the international-trade multi-network, Physica A: Statistical Mechanics and its Applications, Elsevier (2011) View citations (58) (2011)
49. Multinetwork of international trade: A commodity-specific analysis
    Papers, arXiv.org View citations (86)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2009) View citations (6)
50. 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

51. A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (13)
52. Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
    Working Paper Series, European Central Bank View citations (19)
53. The distribution of households consumption-expenditure budget shares
    Working Paper Series, European Central Bank View citations (4)
    See also Journal Article The distribution of household consumption-expenditure budget shares, Structural Change and Economic Dynamics, Elsevier (2012) View citations (5) (2012)

2008

54. A review of nonfundamentalness and identification in structural VAR models
    Working Paper Series, European Central Bank View citations (8)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) View citations (10)
55. A robust criterion for determining the number of static factors in approximate factor models
    Working Paper Series, European Central Bank View citations (20)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) View citations (4)
56. 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

57. 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 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), World Scientific Publishing Co. Pte. Ltd. (2009) View citations (6) (2009)
58. 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 On the distributional properties of household consumption expenditures: the case of Italy, Empirical Economics, Springer (2010) View citations (12) (2010)

Journal Articles

2025

1. Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility
   Oxford Bulletin of Economics and Statistics, 2025, 87, (1), 155-184
   See also Working Paper Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility, LEM Papers Series (2021) (2021)
2. Modelling large dimensional datasets with Markov switching factor models
   Journal of Econometrics, 2025, 247, (C)
   See also Working Paper Modelling Large Dimensional Datasets with Markov Switching Factor Models, Papers (2024) View citations (1) (2024)

2024

3. An Algebraic Estimator for Large Spectral Density Matrices
   Journal of the American Statistical Association, 2024, 119, (545), 498-510 View citations (2)
4. FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
   Journal of Business & Economic Statistics, 2024, 42, (3), 890-902 View citations (6)
5. Inference in Heavy-Tailed Nonstationary Multivariate Time Series
   Journal of the American Statistical Association, 2024, 119, (545), 565-581 View citations (2)
   See also Working Paper Inference in heavy-tailed non-stationary multivariate time series, Papers (2021) (2021)
6. Inferential theory for generalized dynamic factor models
   Journal of Econometrics, 2024, 239, (2) View citations (5)
   See also Working Paper Inferential Theory for Generalized Dynamic Factor Models, Working Papers ECARES (2021) (2021)

2023

7. Measuring the Output Gap using Large Datasets
   The Review of Economics and Statistics, 2023, 105, (6), 1500-1514 View citations (3)

2022

8. Testing for Common Trends in Nonstationary Large Datasets
   Journal of Business & Economic Statistics, 2022, 40, (3), 1107-1122 View citations (3)

2021

9. Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors
   Journal of Econometrics, 2021, 221, (2), 455-482 View citations (21)
10. Time-varying general dynamic factor models and the measurement of financial connectedness
    Journal of Econometrics, 2021, 222, (1), 324-343 View citations (18)
    See also Working Paper Time-varying general dynamic factor models and the measurement of financial connectedness, LIDAM Reprints ISBA (2020) View citations (8) (2020)

2020

11. Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
    Econometrics, 2020, 8, (1), 1-23 View citations (14)
12. Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
    Journal of Econometrics, 2020, 216, (1), 4-34 View citations (14)
    See also Working Paper Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals, Papers (2019) View citations (5) (2019)
13. Sequential testing for structural stability in approximate factor models
    Stochastic Processes and their Applications, 2020, 130, (8), 5149-5187 View citations (2)
    See also Working Paper Sequential testing for structural stability in approximate factor models, Papers (2020) View citations (4) (2020)

2019

14. Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models
    Journal of Financial Econometrics, 2019, 17, (3), 462-494 View citations (6)
    See also Working Paper Identification of global and local shocks in international financial markets via general dynamic factor models, LSE Research Online Documents on Economics (2019) View citations (14) (2019)
15. 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 View citations (5)
    See also Working Paper Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions, LSE Research Online Documents on Economics (2018) (2018)
16. NETS: Network estimation for time series
    Journal of Applied Econometrics, 2019, 34, (3), 347-364 View citations (65)
    See also Working Paper Nets: network estimation for time series, LSE Research Online Documents on Economics (2018) View citations (3) (2018)

2018

17. 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 View citations (8)
    See also Working Paper On the stability of euro area money demand and its implications for monetary policy, LSE Research Online Documents on Economics (2018) View citations (8) (2018)
18. Simultaneous multiple change-point and factor analysis for high-dimensional time series
    Journal of Econometrics, 2018, 206, (1), 187-225 View citations (38)
    See also Working Paper Simultaneous multiple change-point and factor analysis for high-dimensional time series, LSE Research Online Documents on Economics (2018) View citations (37) (2018)

2017

19. 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 (47)
    See also Working Paper A network analysis of the volatility of high-dimensionalfinancial series, LSE Research Online Documents on Economics (2017) View citations (33) (2017)
20. Generalized dynamic factor models and volatilities: estimation and forecasting
    Journal of Econometrics, 2017, 201, (2), 307-321 View citations (36)
    See also Working Paper Generalized dynamic factor models and volatilities estimation and forecasting, LSE Research Online Documents on Economics (2017) View citations (31) (2017)

2016

21. Generalized dynamic factor models and volatilities: recovering the market volatility shocks
    Econometrics Journal, 2016, 19, (1), C33-C60 View citations (52)
    See also Working Paper Generalized dynamic factor models and volatilities: recovering the market volatility shocks, LSE Research Online Documents on Economics (2015) View citations (8) (2015)
22. Identifying the Independent Sources of Consumption Variation
    Journal of Applied Econometrics, 2016, 31, (2), 420-449 View citations (2)
    See also Working Paper Identifying the independent sources of consumption variation, LSE Research Online Documents on Economics (2016) View citations (5) (2016)

2014

23. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
    Journal of Econometrics, 2014, 182, (2), 364-384 View citations (31)
    See also Working Paper Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures, Econometrics Working Papers Archive (2014) View citations (30) (2014)
24. Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?
    Oxford Bulletin of Economics and Statistics, 2014, 76, (5), 693-714 View citations (90)
    See also Working Paper Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?, ULB Institutional Repository (2013) View citations (5) (2013)

2013

25. The common component of firm growth
    Structural Change and Economic Dynamics, 2013, 26, (C), 73-82 View citations (3)

2012

26. The distribution of household consumption-expenditure budget shares
    Structural Change and Economic Dynamics, 2012, 23, (1), 69-91 View citations (5)
    See also Working Paper The distribution of households consumption-expenditure budget shares, Working Paper Series (2009) View citations (4) (2009)

2011

27. Identifying the community structure of the international-trade multi-network
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (11), 2051-2066 View citations (58)
    See also Working Paper Identifying the Community Structure of the International-Trade Multi Network, LEM Papers Series (2010) View citations (6) (2010)
28. Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure
    Applied Economics Letters, 2011, 18, (14), 1341-1347 View citations (3)
    See also Working Paper Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure, Post-Print (2011) (2011)
29. Non‐Fundamentalness in Structural Econometric Models: A Review
    International Statistical Review, 2011, 79, (1), 16-47 View citations (45)

2010

30. Improved penalization for determining the number of factors in approximate factor models
    Statistics & Probability Letters, 2010, 80, (23-24), 1806-1813 View citations (209)
31. On the distributional properties of household consumption expenditures: the case of Italy
    Empirical Economics, 2010, 38, (3), 717-741 View citations (12)
    See also Working Paper On the distributional properties of household consumption expenditures. The case of Italy, LEM Papers Series (2007) View citations (4) (2007)

2009

32. 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 (6)
    See also Working Paper On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters, LEM Papers Series (2007) (2007)