Details about Stefano Soccorsi

Access statistics for papers by Stefano Soccorsi.

Last updated 2023-05-10. Update your information in the RePEc Author Service.

Short-id: pso568

Working Papers

2023

1. An American Macroeconomic Picture. Supply and Demand Shocks in the Frequency Domain
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2020

2. Forecasting Stock Returns with Large Dimensional Factor Models
   Working Papers, Lancaster University Management School, Economics Department View citations (5)
   See also Journal Article Forecasting stock returns with large dimensional factor models, Journal of Empirical Finance, Elsevier (2021) View citations (2) (2021)
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 (8)
   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 Time-varying general dynamic factor models and the measurement of financial connectedness, Journal of Econometrics, Elsevier (2021) View citations (19) (2021)

2019

4. 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)

2017

5. Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2016

6. Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (9)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (12)
   Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2016) View citations (19)
   See also Journal Article Dynamic factor model with infinite‐dimensional factor space: Forecasting, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (47) (2018)
7. Measuring Nonfundamentalness for Structural VARs
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (16)
   See also Journal Article Measuring nonfundamentalness for structural VARs, Journal of Economic Dynamics and Control, Elsevier (2016) View citations (13) (2016)

Journal Articles

2021

1. Forecasting stock returns with large dimensional factor models
   Journal of Empirical Finance, 2021, 63, (C), 252-269 View citations (2)
   See also Working Paper Forecasting Stock Returns with Large Dimensional Factor Models, Working Papers (2020) View citations (5) (2020)
2. Time-varying general dynamic factor models and the measurement of financial connectedness
   Journal of Econometrics, 2021, 222, (1), 324-343 View citations (19)
   See also Working Paper Time-varying general dynamic factor models and the measurement of financial connectedness, LIDAM Reprints ISBA (2020) View citations (8) (2020)

2019

3. 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)

2018

4. Dynamic factor model with infinite‐dimensional factor space: Forecasting
   Journal of Applied Econometrics, 2018, 33, (5), 625-642 View citations (47)
   See also Working Paper Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting, Working Papers ECARES (2016) View citations (9) (2016)

2016

5. Measuring nonfundamentalness for structural VARs
   Journal of Economic Dynamics and Control, 2016, 71, (C), 86-101 View citations (13)
   See also Working Paper Measuring Nonfundamentalness for Structural VARs, Working Papers ECARES (2016) View citations (16) (2016)