Details about Matteo Farnè

Access statistics for papers by Matteo Farnè.

Last updated 2025-08-06. Update your information in the RePEc Author Service.

Short-id: pfa732

Working Papers

2021

1. Banks' risk-taking within a banking union
   Working Paper Series, European Central Bank
   See also Journal Article Banks’ risk-taking within a banking union, Economics Letters, Elsevier (2021) (2021)

2018

2. A methodology for automised outlier detection in high-dimensional datasets: an application to euro area banks' supervisory data
   Working Paper Series, European Central Bank View citations (2)

2017

3. Business models of the banks in the euro area
   Working Paper Series, European Central Bank View citations (21)

Journal Articles

2024

1. An Algebraic Estimator for Large Spectral Density Matrices
   Journal of the American Statistical Association, 2024, 119, (545), 498-510 View citations (2)
2. Do retail-oriented banks have less non-performing loans?
   The Journal of Economic Asymmetries, 2024, 29, (C) View citations (1)
3. Large factor model estimation by nuclear norm plus ℓ1 norm penalization
   Journal of Multivariate Analysis, 2024, 199, (C)
4. Liszt’s Étude S.136 no.1: audio data analysis of two different piano recordings
   Advances in Data Analysis and Classification, 2024, 18, (3), 797-822
5. ROBOUT: a conditional outlier detection methodology for high-dimensional data
   Statistical Papers, 2024, 65, (4), 2489-2525

2022

6. A Bootstrap Method to Test Granger-Causality in the Frequency Domain
   Computational Economics, 2022, 59, (3), 935-966 View citations (2)
7. A Log-Det Heuristics for Covariance Matrix Estimation: The Analytic Setup
   Stats, 2022, 5, (3), 1-11

2021

8. Banks’ business models in the euro area: a cluster analysis in high dimensions
   Annals of Operations Research, 2021, 305, (1), 23-57 View citations (2)
9. Banks’ risk-taking within a banking union
   Economics Letters, 2021, 204, (C)
   See also Working Paper Banks' risk-taking within a banking union, Working Paper Series (2021) (2021)

2020

10. A large covariance matrix estimator under intermediate spikiness regimes
    Journal of Multivariate Analysis, 2020, 176, (C) View citations (2)
11. Does a bank's business model affect its capital and profitability?
    Economic Notes, 2020, 49, (2) View citations (1)

2016

12. Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator
    Communications in Statistics - Theory and Methods, 2016, 45, (2), 354-364