Details about Matteo Barigozzi

Access statistics for papers by Matteo Barigozzi.

Last updated 2022-06-08. Update your information in the RePEc Author Service.

Short-id: pba354

Working Papers

2022

1. Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
   Papers, arXiv.org View citations (6)

2021

2. 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
3. Inference in heavy-tailed non-stationary multivariate time series
   Papers, arXiv.org
4. Inferential Theory for Generalized Dynamic Factor Models
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2020

5. Determining the rank of cointegration with infinite variance
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
6. Sequential testing for structural stability in approximate factor models
   Papers, arXiv.org View citations (1)
   Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2018)
   See also Journal Article in Stochastic Processes and their Applications (2020)
7. 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 (4)
   Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2019)
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2019) View citations (1)
   See also Journal Article in Journal of Econometrics (2021)

2019

8. Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals
   Papers, arXiv.org View citations (2)
   Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2018) View citations (4)
   See also Journal Article in Journal of Econometrics (2020)
9. 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 in The Journal of Financial Econometrics (2019)
10. Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models
    Papers, arXiv.org View citations (8)

2018

11. 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)
12. Do National Account Statistics Underestimate US Real Output Growth?
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
13. 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 in The Journal of International Trade & Economic Development (2019)
14. 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 Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) View citations (31)
    Working Papers, Barcelona Graduate School of Economics (2013) View citations (31)
    See also Journal Article in Journal of Applied Econometrics (2019)
15. 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 (6)
    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 in Oxford Bulletin of Economics and Statistics (2018)
16. 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 (19)
    See also Journal Article in Journal of Econometrics (2018)

2017

17. 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 (23)
    See also Journal Article in Journal of the Royal Statistical Society Series C (2017)
18. 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)
19. 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 (24)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (7)
    See also Journal Article in Journal of Econometrics (2017)
20. Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
21. 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 (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) View citations (2)

2016

22. 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
23. Identifying the independent sources of consumption variation
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (4)
    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)
24. 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)
25. 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 (14)

2015

26. 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 in Econometrics Journal (2016)

2014

27. 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 (24)
    See also Journal Article in Journal of Econometrics (2014)

2013

28. 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 in Oxford Bulletin of Economics and Statistics (2014)

2011

29. 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)
30. 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

31. 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)
32. 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 in Physica A: Statistical Mechanics and its Applications (2011)
33. Multinetwork of international trade: A commodity-specific analysis
    Papers, arXiv.org View citations (74)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2009) View citations (6)
34. 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

35. A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (12)
36. Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
    Working Paper Series, European Central Bank View citations (17)
37. 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)
38. The distribution of households consumption-expenditure budget shares
    Working Paper Series, European Central Bank View citations (4)
    See also Journal Article in Structural Change and Economic Dynamics (2012)

2008

39. A review of nonfundamentalness and identification in structural VAR models
    Working Paper Series, European Central Bank View citations (6)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) View citations (10)
40. 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)
41. The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy
    Also in Papers on Economics and Evolution, Philipps University Marburg, Department of Geography (2008)

2007

42. 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)
43. 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

2021

1. 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 (4)
2. Time-varying general dynamic factor models and the measurement of financial connectedness
   Journal of Econometrics, 2021, 222, (1), 324-343 View citations (2)
   See also Working Paper (2020)

2020

3. Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
   Econometrics, 2020, 8, (1), 1-23 View citations (7)
4. Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
   Journal of Econometrics, 2020, 216, (1), 4-34 View citations (3)
   See also Working Paper (2019)
5. Sequential testing for structural stability in approximate factor models
   Stochastic Processes and their Applications, 2020, 130, (8), 5149-5187
   See also Working Paper (2020)

2019

6. Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models
   The Journal of Financial Econometrics, 2019, 17, (3), 462-494 View citations (6)
   See also Working Paper (2019)
7. 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 (2)
   See also Working Paper (2018)
8. NETS: Network estimation for time series
   Journal of Applied Econometrics, 2019, 34, (3), 347-364 View citations (30)
   See also Working Paper (2018)

2018

9. 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 (6)
   See also Working Paper (2018)
10. Simultaneous multiple change-point and factor analysis for high-dimensional time series
    Journal of Econometrics, 2018, 206, (1), 187-225 View citations (20)
    See also Working Paper (2018)

2017

11. 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 (27)
    See also Working Paper (2017)
12. Generalized dynamic factor models and volatilities: estimation and forecasting
    Journal of Econometrics, 2017, 201, (2), 307-321 View citations (23)
    See also Working Paper (2017)

2016

13. Generalized dynamic factor models and volatilities: recovering the market volatility shocks
    Econometrics Journal, 2016, 19, (1), C33-C60 View citations (32)
    See also Working Paper (2015)
14. Identifying the Independent Sources of Consumption Variation
    Journal of Applied Econometrics, 2016, 31, (2), 420-449 View citations (1)
    See also Working Paper (2016)

2014

15. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
    Journal of Econometrics, 2014, 182, (2), 364-384 View citations (27)
    See also Working Paper (2014)
16. Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?
    Oxford Bulletin of Economics and Statistics, 2014, 76, (5), 693-714 View citations (77)
    See also Working Paper (2013)

2013

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

2012

18. The distribution of household consumption-expenditure budget shares
    Structural Change and Economic Dynamics, 2012, 23, (1), 69-91 View citations (2)
    See also Working Paper (2009)

2011

19. Identifying the community structure of the international-trade multi-network
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (11), 2051-2066 View citations (48)
    See also Working Paper (2010)
20. 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 (2009)
21. Non‐Fundamentalness in Structural Econometric Models: A Review
    International Statistical Review, 2011, 79, (1), 16-47 View citations (37)

2010

22. Improved penalization for determining the number of factors in approximate factor models
    Statistics & Probability Letters, 2010, 80, (23-24), 1806-1813 View citations (195)
23. 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 (2007)

2009

24. 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 (2)
    See also Working Paper (2007)