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Details about Matteo Barigozzi

Homepage:http://www.barigozzi.eu/
Workplace:Dipartimento di Scienze Economiche (Department of Economics), Alma Mater Studiorum - Università di Bologna (University of Bologna), (more information at EDIRC)

Access statistics for papers by Matteo Barigozzi.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: pba354


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Working Papers

2024

  1. Dynamic Factor Models: a Genealogy
    Papers, arXiv.org Downloads
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2023) Downloads
  2. Factor Network Autoregressions
    Papers, arXiv.org Downloads View citations (5)

2023

  1. Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models
    Papers, arXiv.org Downloads
  2. Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices
    Papers, arXiv.org Downloads
  3. Modelling Large Dimensional Datasets with Markov Switching Factor Models
    Papers, arXiv.org Downloads View citations (1)
  4. Multidimensional dynamic factor models
    Papers, arXiv.org Downloads View citations (1)
  5. On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis
    Papers, arXiv.org Downloads
  6. Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review
    Papers, arXiv.org Downloads

2022

  1. Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
    Papers, arXiv.org Downloads View citations (8)

2021

  1. 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 Downloads
  2. Inference in heavy-tailed non-stationary multivariate time series
    Papers, arXiv.org Downloads
    See also Journal Article Inference in Heavy-Tailed Nonstationary Multivariate Time Series, Journal of the American Statistical Association, Taylor & Francis Journals (2024) Downloads (2024)
  3. Inferential Theory for Generalized Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    See also Journal Article Inferential theory for generalized dynamic factor models, Journal of Econometrics, Elsevier (2024) Downloads (2024)

2020

  1. Determining the rank of cointegration with infinite variance
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  2. Sequential testing for structural stability in approximate factor models
    Papers, arXiv.org Downloads View citations (4)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2018) Downloads

    See also Journal Article Sequential testing for structural stability in approximate factor models, Stochastic Processes and their Applications, Elsevier (2020) Downloads View citations (2) (2020)
  3. 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 (7)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2019) Downloads View citations (1)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2019) Downloads

    See also Journal Article Time-varying general dynamic factor models and the measurement of financial connectedness, Journal of Econometrics, Elsevier (2021) Downloads View citations (10) (2021)

2019

  1. Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals
    Papers, arXiv.org Downloads View citations (3)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2018) Downloads View citations (4)

    See also Journal Article Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals, Journal of Econometrics, Elsevier (2020) Downloads View citations (9) (2020)
  2. 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 Downloads 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) Downloads View citations (6) (2019)
  3. Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models
    Papers, arXiv.org Downloads View citations (14)

2018

  1. Determining the dimension of factor structures in non-stationary large datasets
    Papers, arXiv.org Downloads View citations (2)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2018) Downloads View citations (2)
  2. Do National Account Statistics Underestimate US Real Output Growth?
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
  3. 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 Downloads
    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) Downloads View citations (5) (2019)
  4. Nets: network estimation for time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (3)
    Also in Working Papers, Barcelona School of Economics (2013) Downloads View citations (31)
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) Downloads View citations (31)

    See also Journal Article NETS: Network estimation for time series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) Downloads View citations (58) (2019)
  5. 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 Downloads View citations (7)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2013) Downloads 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) Downloads View citations (7) (2018)
  6. 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 Downloads View citations (34)
    See also Journal Article Simultaneous multiple change-point and factor analysis for high-dimensional time series, Journal of Econometrics, Elsevier (2018) Downloads View citations (35) (2018)

2017

  1. 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 Downloads View citations (31)
    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) Downloads View citations (41) (2017)
  2. Common Factors, Trends, and Cycles in Large Datasets
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
  3. Generalized dynamic factor models and volatilities estimation and forecasting
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (27)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) Downloads View citations (8)

    See also Journal Article Generalized dynamic factor models and volatilities: estimation and forecasting, Journal of Econometrics, Elsevier (2017) Downloads View citations (26) (2017)
  4. Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  5. 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 Downloads View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) Downloads View citations (2)

2016

  1. 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 Downloads
  2. Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) Downloads View citations (5)
  3. Identifying the independent sources of consumption variation
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (5)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2012) Downloads

    See also Journal Article Identifying the Independent Sources of Consumption Variation, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) Downloads View citations (2) (2016)
  4. Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
    Papers, arXiv.org Downloads View citations (2)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) Downloads View citations (1)
  5. Non-Stationary Dynamic Factor Models for Large Datasets
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (19)

2015

  1. 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 Downloads View citations (8)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) Downloads View citations (3)

    See also Journal Article Generalized dynamic factor models and volatilities: recovering the market volatility shocks, Econometrics Journal, Royal Economic Society (2016) Downloads View citations (44) (2016)

2014

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

2013

  1. 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) Downloads

    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) Downloads View citations (85) (2014)

2011

  1. 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) Downloads

    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) Downloads View citations (3) (2011)
  2. 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 Downloads View citations (9)
  3. The Rank of a System of Engel Curves. How Many Common Factors?
    Papers on Economics and Evolution, Philipps University Marburg, Department of Geography Downloads View citations (1)

2010

  1. 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" Downloads View citations (7)
  2. 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 Downloads 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) Downloads View citations (53) (2011)
  3. Multinetwork of international trade: A commodity-specific analysis
    Papers, arXiv.org Downloads View citations (83)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2009) Downloads View citations (6)
  4. On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (4)

2009

  1. A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (12)
  2. Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
    Working Paper Series, European Central Bank Downloads View citations (18)
  3. The distribution of households consumption-expenditure budget shares
    Working Paper Series, European Central Bank Downloads View citations (4)
    See also Journal Article The distribution of household consumption-expenditure budget shares, Structural Change and Economic Dynamics, Elsevier (2012) Downloads View citations (4) (2012)

2008

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

2007

  1. 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 Downloads
    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) Downloads View citations (5) (2009)
  2. 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 Downloads View citations (4)
    See also Journal Article On the distributional properties of household consumption expenditures: the case of Italy, Empirical Economics, Springer (2010) Downloads View citations (12) (2010)

Journal Articles

2024

  1. An Algebraic Estimator for Large Spectral Density Matrices
    Journal of the American Statistical Association, 2024, 119, (545), 498-510 Downloads
  2. Inference in Heavy-Tailed Nonstationary Multivariate Time Series
    Journal of the American Statistical Association, 2024, 119, (545), 565-581 Downloads
    See also Working Paper Inference in heavy-tailed non-stationary multivariate time series, Papers (2021) Downloads (2021)
  3. Inferential theory for generalized dynamic factor models
    Journal of Econometrics, 2024, 239, (2) Downloads
    See also Working Paper Inferential Theory for Generalized Dynamic Factor Models, Working Papers ECARES (2021) Downloads (2021)

2023

  1. Measuring the Output Gap using Large Datasets
    The Review of Economics and Statistics, 2023, 105, (6), 1500-1514 Downloads

2022

  1. Testing for Common Trends in Nonstationary Large Datasets
    Journal of Business & Economic Statistics, 2022, 40, (3), 1107-1122 Downloads View citations (2)

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 Downloads View citations (16)
  2. Time-varying general dynamic factor models and the measurement of financial connectedness
    Journal of Econometrics, 2021, 222, (1), 324-343 Downloads View citations (10)
    See also Working Paper Time-varying general dynamic factor models and the measurement of financial connectedness, LIDAM Reprints ISBA (2020) View citations (7) (2020)

2020

  1. Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
    Econometrics, 2020, 8, (1), 1-23 Downloads View citations (12)
  2. Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
    Journal of Econometrics, 2020, 216, (1), 4-34 Downloads View citations (9)
    See also Working Paper Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals, Papers (2019) Downloads View citations (3) (2019)
  3. Sequential testing for structural stability in approximate factor models
    Stochastic Processes and their Applications, 2020, 130, (8), 5149-5187 Downloads View citations (2)
    See also Working Paper Sequential testing for structural stability in approximate factor models, Papers (2020) Downloads View citations (4) (2020)

2019

  1. Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models
    Journal of Financial Econometrics, 2019, 17, (3), 462-494 Downloads 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) Downloads View citations (14) (2019)
  2. 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 Downloads 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) Downloads (2018)
  3. NETS: Network estimation for time series
    Journal of Applied Econometrics, 2019, 34, (3), 347-364 Downloads View citations (58)
    See also Working Paper Nets: network estimation for time series, LSE Research Online Documents on Economics (2018) Downloads View citations (3) (2018)

2018

  1. 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 Downloads View citations (7)
    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) Downloads View citations (7) (2018)
  2. Simultaneous multiple change-point and factor analysis for high-dimensional time series
    Journal of Econometrics, 2018, 206, (1), 187-225 Downloads View citations (35)
    See also Working Paper Simultaneous multiple change-point and factor analysis for high-dimensional time series, LSE Research Online Documents on Economics (2018) Downloads View citations (34) (2018)

2017

  1. A network analysis of the volatility of high dimensional financial series
    Journal of the Royal Statistical Society Series C, 2017, 66, (3), 581-605 Downloads View citations (41)
    See also Working Paper A network analysis of the volatility of high-dimensionalfinancial series, LSE Research Online Documents on Economics (2017) Downloads View citations (31) (2017)
  2. Generalized dynamic factor models and volatilities: estimation and forecasting
    Journal of Econometrics, 2017, 201, (2), 307-321 Downloads View citations (26)
    See also Working Paper Generalized dynamic factor models and volatilities estimation and forecasting, LSE Research Online Documents on Economics (2017) Downloads View citations (27) (2017)

2016

  1. Generalized dynamic factor models and volatilities: recovering the market volatility shocks
    Econometrics Journal, 2016, 19, (1), C33-C60 Downloads View citations (44)
    See also Working Paper Generalized dynamic factor models and volatilities: recovering the market volatility shocks, LSE Research Online Documents on Economics (2015) Downloads View citations (8) (2015)
  2. Identifying the Independent Sources of Consumption Variation
    Journal of Applied Econometrics, 2016, 31, (2), 420-449 Downloads View citations (2)
    See also Working Paper Identifying the independent sources of consumption variation, LSE Research Online Documents on Economics (2016) Downloads View citations (5) (2016)

2014

  1. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
    Journal of Econometrics, 2014, 182, (2), 364-384 Downloads View citations (31)
    See also Working Paper Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures, Econometrics Working Papers Archive (2014) Downloads View citations (30) (2014)
  2. Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?
    Oxford Bulletin of Economics and Statistics, 2014, 76, (5), 693-714 Downloads View citations (85)
    See also Working Paper Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?, ULB Institutional Repository (2013) View citations (5) (2013)

2013

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

2012

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

2011

  1. Identifying the community structure of the international-trade multi-network
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (11), 2051-2066 Downloads View citations (53)
    See also Working Paper Identifying the Community Structure of the International-Trade Multi Network, LEM Papers Series (2010) Downloads View citations (6) (2010)
  2. Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure
    Applied Economics Letters, 2011, 18, (14), 1341-1347 Downloads 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)
  3. Non‐Fundamentalness in Structural Econometric Models: A Review
    International Statistical Review, 2011, 79, (1), 16-47 View citations (43)

2010

  1. Improved penalization for determining the number of factors in approximate factor models
    Statistics & Probability Letters, 2010, 80, (23-24), 1806-1813 Downloads View citations (206)
  2. On the distributional properties of household consumption expenditures: the case of Italy
    Empirical Economics, 2010, 38, (3), 717-741 Downloads View citations (12)
    See also Working Paper On the distributional properties of household consumption expenditures. The case of Italy, LEM Papers Series (2007) Downloads View citations (4) (2007)

2009

  1. 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 Downloads View citations (5)
    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) Downloads (2007)
 
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