Matteo Barigozzi
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco, 2022.
"Factor Network Autoregressions,"
Papers
2208.02925, arXiv.org, revised Feb 2024.
Mentioned in:
- Factor Network Autoregressions
by Francis Diebold in No Hesitations on 2022-09-18 22:10:00
- Factor Network Autoregressions
- Matteo Barigozzi & Christian Brownlees, 2013.
"Nets: Network Estimation for Time Series,"
Working Papers
723, Barcelona School of Economics.
- Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
- Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
- Barigozzi, Matteo & Brownlees, Christian T., 2018. "Nets: network estimation for time series," LSE Research Online Documents on Economics 90493, London School of Economics and Political Science, LSE Library.
Mentioned in:
- NBER/NSF Time-Series Conference: Retrospect and Prospect
by Francis Diebold in No Hesitations on 2013-10-25 18:14:00 - Network Estimation for Time Series
by Francis Diebold in No Hesitations on 2013-10-16 16:41:00
Working papers
- Matteo Barigozzi & Filippo Pellegrino, 2023.
"Multidimensional dynamic factor models,"
Papers
2301.12499, arXiv.org.
Cited by:
- Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
- Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco, 2022.
"Factor Network Autoregressions,"
Papers
2208.02925, arXiv.org, revised Feb 2024.
Cited by:
- Bastianin, Andrea & Casoli, Chiara & Galeotti, Marzio, 2023.
"The connectedness of Energy Transition Metals,"
FEEM Working Papers
336984, Fondazione Eni Enrico Mattei (FEEM).
- Bastianin, Andrea & Casoli, Chiara & Galeotti, Marzio, 2023. "The connectedness of Energy Transition Metals," Energy Economics, Elsevier, vol. 128(C).
- Andrea Bastianin & Chiara Casoli & Marzio Galeotti, 2023. "The connectedness of Energy Transition Metals," Working Papers 2023.11, Fondazione Eni Enrico Mattei.
- Marko Mlikota, 2022. "Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications," Papers 2211.13610, arXiv.org, revised Dec 2023.
- Francis X. Diebold & Kamil Yilmaz, 2022.
"On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness,"
Koç University-TUSIAD Economic Research Forum Working Papers
2207, Koc University-TUSIAD Economic Research Forum.
- Francis X. Diebold & Kamil Yilmaz, 2022. "On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness," Papers 2211.04184, arXiv.org, revised Jan 2023.
- Bastianin, Andrea & Casoli, Chiara & Galeotti, Marzio, 2023.
"The connectedness of Energy Transition Metals,"
FEEM Working Papers
336984, Fondazione Eni Enrico Mattei (FEEM).
- Matteo Barigozzi & Daniele Massacci, 2022.
"Modelling Large Dimensional Datasets with Markov Switching Factor Models,"
Papers
2210.09828, arXiv.org, revised Dec 2023.
Cited by:
- Matteo Barigozzi, 2022. "On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis," Papers 2211.01921, arXiv.org, revised Jul 2023.
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano, 2019.
"Identification of global and local shocks in international financial markets via general dynamic factor models,"
LSE Research Online Documents on Economics
86932, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models," Journal of Financial Econometrics, Oxford University Press, vol. 17(3), pages 462-494.
Cited by:
- Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021.
"Forecasting stock returns with large dimensional factor models,"
Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
- Alessandro Giovannelli & Daniele Massacci & Stefano Soccorsi, 2020. "Forecasting Stock Returns with Large Dimensional Factor Models," Working Papers 305661169, Lancaster University Management School, Economics Department.
- Lucchetti, Riccardo & Venetis, Ioannis A., 2020.
"A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012),"
Economics Discussion Papers
2020-5, Kiel Institute for the World Economy (IfW Kiel).
- Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-14.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020.
"Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting,"
Textos para discussão
521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Trucíos, Carlos & Mazzeu, João H.G. & Hotta, Luiz K. & Valls Pereira, Pedro L. & Hallin, Marc, 2021. "Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1520-1534.
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021.
"Time-varying general dynamic factor models and the measurement of financial connectedness,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
- Barigozzi, M. & Hallin, M. & Soccorsi, S. & Von Sachs, R., 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," LIDAM Discussion Papers ISBA 2019024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020. "Time-varying general dynamic factor models and the measurement of financial connectedness," LIDAM Reprints ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Matteo Barigozzi & Marc Hallin, 2018.
"Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals,"
Papers
1811.10045, arXiv.org, revised Jul 2019.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
- Niţoi, Mihai & Pochea, Maria Miruna, 2022. "The nexus between bank connectedness and investors’ sentiment," Finance Research Letters, Elsevier, vol. 44(C).
- Thomas Lux & Duc Thi Luu & Boyan Yanovski, 2020. "An analysis of systemic risk in worldwide economic sentiment indices," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(4), pages 909-928, November.
- Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
- Riccardo Borghi & Eric Hillebrand & Jakob Mikkelsen & Giovanni Urga, 2018. "The dynamics of factor loadings in the cross-section of returns," CREATES Research Papers 2018-38, Department of Economics and Business Economics, Aarhus University.
- Matteo Barigozzi & Matteo Luciani, 2019.
"Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models,"
Papers
1910.09841, arXiv.org.
Cited by:
- Paolo Andreini & Cosimo Izzo & Giovanni Ricco, 2020.
"Deep Dynamic Factor Models,"
Papers
2007.11887, arXiv.org, revised May 2023.
- Paolo Andreini & Cosimo Izzo & Giovanni Ricco, 2023. "Deep Dynamic Factor Models," Working Papers 2023-08, Center for Research in Economics and Statistics.
- Hie Joo Ahn & Matteo Luciani, 2021. "Relative prices and pure inflation since the mid-1990s," Finance and Economics Discussion Series 2021-069, Board of Governors of the Federal Reserve System (U.S.).
- Lucchetti, Riccardo & Venetis, Ioannis A., 2020.
"A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012),"
Economics Discussion Papers
2020-5, Kiel Institute for the World Economy (IfW Kiel).
- Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-14.
- Poncela Blanco, Maria Pilar & Ruiz Ortega, Esther & Miranda Gualdrón, Karen Alejandra, 2020.
"Factor extraction using Kalman filter and smoothing: this is not just another survey,"
DES - Working Papers. Statistics and Econometrics. WS
30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Fresoli, Diego & Poncela, Pilar & Ruiz, Esther, 2023. "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," Economics Letters, Elsevier, vol. 230(C).
- Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
- Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
- Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
- Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2023.
- Luke Hartigan & Michelle Wright, 2021. "Financial Conditions and Downside Risk to Economic Activity in Australia," RBA Research Discussion Papers rdp2021-03, Reserve Bank of Australia.
- Poncela, Pilar & Ruiz, Esther, 2020. "A comment on the dynamic factor model with dynamic factors," Economics Discussion Papers 2020-7, Kiel Institute for the World Economy (IfW Kiel).
- Matteo Barigozzi, 2023. "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers 2307.09864, arXiv.org, revised May 2024.
- Serena Ng & Susannah Scanlan, 2023. "Constructing High Frequency Economic Indicators by Imputation," Papers 2303.01863, arXiv.org, revised Oct 2023.
- Matteo Barigozzi & Angelo Cuzzola & Marco Grazzi & Daniele Moschella, 2021. "Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility," LEM Papers Series 2021/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Paolo Andreini & Cosimo Izzo & Giovanni Ricco, 2020.
"Deep Dynamic Factor Models,"
Papers
2007.11887, arXiv.org, revised May 2023.
- Matteo Barigozzi & Matteo Luciani, 2019.
"Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm,"
Papers
1910.03821, arXiv.org, revised Feb 2022.
Cited by:
- Hie Joo Ahn & Matteo Luciani, 2021. "Relative prices and pure inflation since the mid-1990s," Finance and Economics Discussion Series 2021-069, Board of Governors of the Federal Reserve System (U.S.).
- Poncela Blanco, Maria Pilar & Ruiz Ortega, Esther & Miranda Gualdrón, Karen Alejandra, 2020.
"Factor extraction using Kalman filter and smoothing: this is not just another survey,"
DES - Working Papers. Statistics and Econometrics. WS
30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics 2237, Faculty of Economics, University of Cambridge.
- Poncela, Pilar & Ruiz, Esther, 2020. "A comment on the dynamic factor model with dynamic factors," Economics Discussion Papers 2020-7, Kiel Institute for the World Economy (IfW Kiel).
- Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2023. "Lessons from Nowcasting GDP across the World," International Finance Discussion Papers 1385, Board of Governors of the Federal Reserve System (U.S.).
- Filippo Pellegrino, 2021. "Factor-augmented tree ensembles," Papers 2111.14000, arXiv.org, revised Jun 2023.
- Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Janeway Institute Working Papers camjip:2214, Faculty of Economics, University of Cambridge.
- Barigozzi, M. & Hallin, M. & Soccorsi, S. & Von Sachs, R., 2019.
"Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness,"
LIDAM Discussion Papers ISBA
2019024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021. "Time-varying general dynamic factor models and the measurement of financial connectedness," Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020. "Time-varying general dynamic factor models and the measurement of financial connectedness," LIDAM Reprints ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
Cited by:
- Longo, Luigi & Riccaboni, Massimo & Rungi, Armando, 2022.
"A neural network ensemble approach for GDP forecasting,"
Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
- Luigi Longo & Massimo Riccaboni & Armando Rungi, 2021. "A Neural Network Ensemble Approach for GDP Forecasting," Working Papers 02/2021, IMT School for Advanced Studies Lucca, revised Mar 2021.
- Ellington, Michael, 2022. "Fat tails, serial dependence, and implied volatility index connections," European Journal of Operational Research, Elsevier, vol. 299(2), pages 768-779.
- Jozef Barunik & Michael Ellington, 2020.
"Persistence in Financial Connectedness and Systemic Risk,"
Papers
2007.07842, arXiv.org, revised Nov 2023.
- Baruník, Jozef & Ellington, Michael, 2024. "Persistence in financial connectedness and systemic risk," European Journal of Operational Research, Elsevier, vol. 314(1), pages 393-407.
- Rajae Azrak & Guy Mélard, 2022. "Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches," Stats, MDPI, vol. 5(3), pages 1-21, August.
- Vidal-Llana, Xenxo & Uribe, Jorge M. & Guillén, Montserrat, 2023. "European stock market volatility connectedness: The role of country and sector membership," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
- Jonas Krampe & Luca Margaritella, 2024. "Global bank network connectedness revisited: What is common, idiosyncratic and when?," Papers 2402.02482, arXiv.org.
- Marc Hallin, 2022. "Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series," Econometrics, MDPI, vol. 10(4), pages 1-9, December.
- Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.
- Erik Kole & Dick van Dijk, 2022.
"Moments, Shocks and Spillovers in Markov-switching VAR Models,"
Tinbergen Institute Discussion Papers
21-080/III, Tinbergen Institute, revised 11 Jan 2022.
- Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
- Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
- Rigana, Katerina & Wit, Ernst-Jan Camiel & Cook, Samantha, 2023. "A new way of measuring effects of financial crisis on contagion in currency markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021.
"Inferential Theory for Generalized Dynamic Factor Models,"
Working Papers ECARES
2021-20, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
- Han Liu & Yongjing Wang & Haiyan Song & Ying Liu, 2023. "Measuring tourism demand nowcasting performance using a monotonicity test," Tourism Economics, , vol. 29(5), pages 1302-1327, August.
- Katerina Rigana & Ernst-Jan Camiel Wit & Samantha Cook, 2021. "Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market," Papers 2112.13127, arXiv.org.
- Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
- Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention," Working Papers 202401, University of Pretoria, Department of Economics.
- Barigozzi, Matteo, 2018.
"On the stability of euro area money demand and its implications for monetary policy,"
LSE Research Online Documents on Economics
87283, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Antonio M. Conti, 2018. "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, vol. 80(4), pages 755-787, August.
- Matteo Barigozzi & Antonio Conti, 2013. "On the Stability of Euro Area Money Demand and its Implications for Monetary Policy," LEM Papers Series 2013/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
Cited by:
- Raouf Boucekkine & Mohammed Laksaci & Mohamed Touati-Tliba, 2021.
"Long-run stability of money demand and monetary policy: the case of Algeria,"
AMSE Working Papers
2104, Aix-Marseille School of Economics, France.
- Raouf Boucekkine & M. Laksaci & M. Touati-Tliba, 2021. "Long-run stability of money demand and monetary policy: the case of Algeria," LIDAM Discussion Papers IRES 2021001, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Raouf Boucekkine & Mohammed Laksaci & Mohamed Touati-Tliba, 2021. "Long-run stability of money demand and monetary policy: The case of Algeria," Post-Print hal-03545424, HAL.
- Raouf Boucekkine & Mohammed Laksaci & Mohamed Touati-Tliba, 2021. "Long-run stability of money demand and monetary policy: the case of Algeria," Working Papers halshs-03120699, HAL.
- Boucekkine, R. & Laksaci, M. & Touati-Tliba, M., 2021. "Long-run stability of money demand and monetary policy: The case of Algeria," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
- Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014.
"A Time-Varying Approach of the US Welfare Cost of Inflation,"
Working Papers
201419, University of Pretoria, Department of Economics.
- Miller, Stephen M. & Martins, Luis Filipe & Gupta, Rangan, 2019. "A Time-Varying Approach Of The Us Welfare Cost Of Inflation," Macroeconomic Dynamics, Cambridge University Press, vol. 23(2), pages 775-797, March.
- Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers 2014-11, University of Connecticut, Department of Economics.
- Conti, Antonio M., 2021. "Resurrecting the Phillips Curve in Low-Inflation Times," Economic Modelling, Elsevier, vol. 96(C), pages 172-195.
- Jung, Alexander & Carcel Villanova, Hector, 2020. "The empirical properties of euro area M3, 1980-2017," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 37-49.
- Matteo Barigozzi & Lorenzo Trapani, 2018.
"Determining the dimension of factor structures in non-stationary large datasets,"
Papers
1806.03647, arXiv.org.
- Matteo Barigozzi & Lorenzo Trapani, 2018. "Determining the dimension of factor structures in non-stationary large datasets," Discussion Papers 18/01, University of Nottingham, Granger Centre for Time Series Econometrics.
Cited by:
- Poncela Blanco, Maria Pilar & Ruiz Ortega, Esther & Miranda Gualdrón, Karen Alejandra, 2020.
"Factor extraction using Kalman filter and smoothing: this is not just another survey,"
DES - Working Papers. Statistics and Econometrics. WS
30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Lorenzo Trapani & Emily Whitehouse, 2020. "Sequential monitoring for cointegrating regressions," Papers 2003.12182, arXiv.org.
- Campi, Mercedes & Dueñas, Marco & Barigozzi, Matteo & Fagiolo, Giorgio, 2018.
"Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions,"
LSE Research Online Documents on Economics
90203, London School of Economics and Political Science, LSE Library.
- Mercedes Campi & Marco Dueñas & Matteo Barigozzi & Giorgio Fagiolo, 2019. "Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 28(2), pages 230-256, February.
Cited by:
- Yan Yan & Jiatao Li & Jingjing Zhang, 2022. "Protecting intellectual property in foreign subsidiaries: An internal network defense perspective," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 53(9), pages 1924-1944, December.
- Mercedes Campi & Alessandro Nuvolari, 2020.
"Intellectual property rights and agricultural development: evidence from a worldwide index of IPRS in agriculture (1961-2018),"
Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET)
2020-51, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
- Mercedes Campi & Alessandro Nuvolari, 2021. "Intellectual Property Rights and Agricultural Development: Evidence from a Worldwide Index of IPRs in Agriculture (1961-2018)," Journal of Development Studies, Taylor & Francis Journals, vol. 57(4), pages 650-668, April.
- Mercedes Campi & Alessandro Nuvolari, 2020. "Intellectual property rights and agricultural development: Evidence from a worldwide index of IPRs in agriculture (1961-2018)," LEM Papers Series 2020/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Bazel-Shoham, Ofra & Lee, Sang Mook & Ahammad, Mohammad Faisal & Tarba, Shlomo Y. & Alon, Ilan, 2023. "IP protection and ownership in cross-border acquisitions," International Business Review, Elsevier, vol. 32(3).
- Gnangnon, Sèna Kimm, 2023. "Aid for Trade flows, Patent Rights Protection and Total Factor Productivity," EconStor Preprints 274650, ZBW - Leibniz Information Centre for Economics.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018.
"Simultaneous multiple change-point and factor analysis for high-dimensional time series,"
LSE Research Online Documents on Economics
88110, London School of Economics and Political Science, LSE Library.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 206(1), pages 187-225.
Cited by:
- Duan, Jiangtao & Bai, Jushan & Han, Xu, 2023.
"Quasi-maximum likelihood estimation of break point in high-dimensional factor models,"
Journal of Econometrics, Elsevier, vol. 233(1), pages 209-236.
- Jiangtao Duan & Jushan Bai & Xu Han, 2021. "Quasi-maximum likelihood estimation of break point in high-dimensional factor models," Papers 2102.12666, arXiv.org, revised Mar 2021.
- Anastasiou, Andreas & Cribben, Ivor & Fryzlewicz, Piotr, 2022. "Cross-covariance isolate detect: a new change-point method for estimating dynamic functional connectivity," LSE Research Online Documents on Economics 112148, London School of Economics and Political Science, LSE Library.
- Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
- Cho, Haeran & Korkas, Karolos K., 2022. "High-dimensional GARCH process segmentation with an application to Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 23(C), pages 187-203.
- Fernandez, Julian, 2020. "Exchange Rate Uncertainty and the Interest Rate Parity," MPRA Paper 116010, University Library of Munich, Germany, revised 2022.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018.
"Simultaneous multiple change-point and factor analysis for high-dimensional time series,"
LSE Research Online Documents on Economics
88110, London School of Economics and Political Science, LSE Library.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 206(1), pages 187-225.
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Working Papers ECARES
2023-15, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
- Zhou, Ruichao & Wu, Jianhong, 2023. "Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion," Economics Letters, Elsevier, vol. 232(C).
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021.
"Time-varying general dynamic factor models and the measurement of financial connectedness,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
- Barigozzi, M. & Hallin, M. & Soccorsi, S. & Von Sachs, R., 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," LIDAM Discussion Papers ISBA 2019024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020. "Time-varying general dynamic factor models and the measurement of financial connectedness," LIDAM Reprints ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Wang, Lu & Wu, Jianhong, 2022. "Estimation of high-dimensional factor models with multiple structural changes," Economic Modelling, Elsevier, vol. 108(C).
- Matteo Barigozzi & Lorenzo Trapani, 2017.
"Sequential testing for structural stability in approximate factor models,"
Papers
1708.02786, arXiv.org, revised Mar 2020.
- Matteo Barigozzi & Lorenzo Trapani, 2018. "Sequential testing for structural stability in approximate factor models," Discussion Papers 18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
- Jushan Bai & Jiangtao Duan & Xu Han, 2022.
"Likelihood ratio test for structural changes in factor models,"
Papers
2206.08052, arXiv.org, revised Dec 2023.
- Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024. "The likelihood ratio test for structural changes in factor models," Journal of Econometrics, Elsevier, vol. 238(2).
- Matteo Barigozzi, 2022. "On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis," Papers 2211.01921, arXiv.org, revised Jul 2023.
- Qing Yang & Yu-Ning Li & Yi Zhang, 2020. "Change point detection for nonparametric regression under strongly mixing process," Statistical Papers, Springer, vol. 61(4), pages 1465-1506, August.
- Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
- Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Working Papers halshs-02235543, HAL.
- Li, Degui, 2024. "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, vol. 29(C), pages 16-30.
- Xialu Liu & Elynn Y. Chen, 2022. "Identification and estimation of threshold matrix‐variate factor models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1383-1417, September.
- Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.
- Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei, 2021. "Nonparametric estimation of large covariance matrices with conditional sparsity," Journal of Econometrics, Elsevier, vol. 223(1), pages 53-72.
- Ma, Chenchen & Tu, Yundong, 2023. "Group fused Lasso for large factor models with multiple structural breaks," Journal of Econometrics, Elsevier, vol. 233(1), pages 132-154.
- Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2023.
- Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
- Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers halshs-02235543, HAL.
- Mengjia Yu & Xiaohui Chen, 2021. "Finite sample change point inference and identification for high‐dimensional mean vectors," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 83(2), pages 247-270, April.
- Cui, Junfeng & Wang, Guanghui & Zou, Changliang & Wang, Zhaojun, 2023. "Change-point testing for parallel data sets with FDR control," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
- Ma, Chenchen & Tu, Yundong, 2023. "Shrinkage estimation of multiple threshold factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1876-1892.
- Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
- Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Feb 2022.
- Matteo Barigozzi & Matteo Luciani, 2018.
"Do National Account Statistics Underestimate US Real Output Growth?,"
FEDS Notes
2018-01-09-1, Board of Governors of the Federal Reserve System (U.S.).
Cited by:
- Kenneth E. Poole & Allison Forbes & Nichelle Williams, 2023. "Applied Regional Economic Research Can Improve Development Strategies and Drive Better Outcomes," Economic Development Quarterly, , vol. 37(1), pages 85-95, February.
- Zheng Liu & Mark M. Spiegel & Eric Tallman, 2018. "Is GDP Overstating Economic Activity?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
- Matteo Barigozzi & Marc Hallin, 2018.
"Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals,"
Papers
1811.10045, arXiv.org, revised Jul 2019.
- Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
Cited by:
- Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022.
"Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos, 2019. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach," Working Papers ECARES 2019-14, ULB -- Universite Libre de Bruxelles.
- Gunawan, David & Kohn, Robert & Nott, David, 2021. "Variational Bayes approximation of factor stochastic volatility models," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1355-1375.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020.
"Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting,"
Textos para discussão
521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Trucíos, Carlos & Mazzeu, João H.G. & Hotta, Luiz K. & Valls Pereira, Pedro L. & Hallin, Marc, 2021. "Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1520-1534.
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Working Papers ECARES
2023-15, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
- Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
- Marc Hallin, 2022. "Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series," Econometrics, MDPI, vol. 10(4), pages 1-9, December.
- Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
- Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
- Matteo Barigozzi, 2023. "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers 2307.09864, arXiv.org, revised May 2024.
- Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
- Liao, Gaoke & Li, Yanling & Wang, Mengxin, 2024. "Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?," Energy Economics, Elsevier, vol. 129(C).
- Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
- Barigozzi, Matteo & Hallin, Marc, 2017.
"A network analysis of the volatility of high-dimensionalfinancial series,"
LSE Research Online Documents on Economics
67456, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2017. "A network analysis of the volatility of high dimensional financial series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(3), pages 581-605, April.
Cited by:
- Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023.
"Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework,"
Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
- Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2022. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Post-Print hal-04478741, HAL.
- Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023.
"High-dimensional VARs with common factors,"
Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
- Ke Miao & Peter C.B. Phillips & Liangjun Su, 2020. "High-Dimensional VARs with Common Factors," Cowles Foundation Discussion Papers 2252, Cowles Foundation for Research in Economics, Yale University.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018.
"Simultaneous multiple change-point and factor analysis for high-dimensional time series,"
LSE Research Online Documents on Economics
88110, London School of Economics and Political Science, LSE Library.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 206(1), pages 187-225.
- Ahelegbey, Daniel Felix & Giudici, Paolo & Hashem, Shatha Qamhieh, 2021.
"Network VAR models to measure financial contagion,"
The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
- Daniel Felix Ahelegbey & Paolo Giudici & Shatha Qamhieh Hashem, 2020. "Network VAR models to Measure Financial Contagion," DEM Working Papers Series 178, University of Pavia, Department of Economics and Management.
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021.
"Time-varying general dynamic factor models and the measurement of financial connectedness,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
- Barigozzi, M. & Hallin, M. & Soccorsi, S. & Von Sachs, R., 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," LIDAM Discussion Papers ISBA 2019024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020. "Time-varying general dynamic factor models and the measurement of financial connectedness," LIDAM Reprints ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Kumar, Sudarshan & Bansal, Avijit & Chakrabarti, Anindya S., 2019. "Ripples on financial networks," IIMA Working Papers WP 2019-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Niţoi, Mihai & Pochea, Maria Miruna, 2022. "The nexus between bank connectedness and investors’ sentiment," Finance Research Letters, Elsevier, vol. 44(C).
- Marco Valerio Geraci & Jean-Yves Gnabo, 2015.
"Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions,"
Working Papers ECARES
2015-51, ULB -- Universite Libre de Bruxelles.
- Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
- Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
- Christian Gross & Pierre L. Siklos, 2020.
"Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 61-81, January.
- Christian Gross & Pierre L. Siklos, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: A network approach," CAMA Working Papers 2019-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gross, Christian & Siklos, Pierre, 2018. "Analyzing credit risk transmission to the non-financial sector in Europe: a network approach," ESRB Working Paper Series 78, European Systemic Risk Board.
- Christian Gross & Pierre L. Siklos, 2018. "Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach," CQE Working Papers 7218, Center for Quantitative Economics (CQE), University of Muenster.
- Groß, Christian, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: a network approach," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203645, Verein für Socialpolitik / German Economic Association.
- Barigozzi, Matteo & Brownlees, Christian T., 2018.
"Nets: network estimation for time series,"
LSE Research Online Documents on Economics
90493, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
- Matteo Barigozzi & Christian Brownlees, 2013. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona School of Economics.
- Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
- Krampe, J. & Paparoditis, E. & Trenkler, C., 2023. "Structural inference in sparse high-dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 234(1), pages 276-300.
- Jonas Krampe & Luca Margaritella, 2024. "Global bank network connectedness revisited: What is common, idiosyncratic and when?," Papers 2402.02482, arXiv.org.
- Luca Barbaglia & Christophe Croux & Ines Wilms, 2017.
"Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach,"
Papers
1708.02073, arXiv.org.
- Luca Barbaglia & Christophe Croux & Ines Wilms, 2017. "Volatility spillovers and heavy tails: a large t-Vector AutoRegressive approach," Working Papers of Department of Decision Sciences and Information Management, Leuven 590528, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
- Sudarshan Kumar & Tiziana Di Matteo & Anindya S. Chakrabarti, 2020. "Disentangling shock diffusion on complex networks: Identification through graph planarity," Papers 2001.01518, arXiv.org.
- Daniel Felix Ahelegbey & Luis Carvalho & Eric D. Kolaczyk, 2020. "A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series," DEM Working Papers Series 181, University of Pavia, Department of Economics and Management.
- Baek, Changryong & Gates, Katheleen M. & Leinwand, Benjamin & Pipiras, Vladas, 2021. "Two sample tests for high-dimensional autocovariances," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).
- Raffaele Mattera & Philipp Otto, 2023. "Network log-ARCH models for forecasting stock market volatility," Papers 2303.11064, arXiv.org.
- Ge, S., 2020. "Text-Based Linkages and Local Risk Spillovers in the Equity Market," Cambridge Working Papers in Economics 20115, Faculty of Economics, University of Cambridge.
- Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
- Rigana, Katerina & Wit, Ernst-Jan Camiel & Cook, Samantha, 2023. "A new way of measuring effects of financial crisis on contagion in currency markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Katerina Rigana & Ernst-Jan Camiel Wit & Samantha Cook, 2021. "Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market," Papers 2112.13127, arXiv.org.
- Yong Tang & Jason Jie Xiong & Zi-Yang Jia & Yi-Cheng Zhang, 2018. "Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets," Complexity, Hindawi, vol. 2018, pages 1-31, November.
- Christis Katsouris, 2023. "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers 2305.11282, arXiv.org, revised Jul 2023.
- Liao, Gaoke & Li, Yanling & Wang, Mengxin, 2024. "Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?," Energy Economics, Elsevier, vol. 129(C).
- Dominik Bertsche & Ralf Brüggemann & Christian Kascha, 2023. "Directed graphs and variable selection in large vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 223-246, March.
- Tian, Sihua & Li, Shaofang & Gu, Qinen, 2023. "Measurement and contagion modelling of systemic risk in China's financial sectors: Evidence for functional data analysis and complex network," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Pagnottoni, Paolo, 2023. "Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
- Herculano, Miguel C. & Lütkebohmert, Eva, 2023. "Investor sentiment and global economic conditions," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 134-152.
- Etesami, Jalal & Habibnia, Ali & Kiyavash, Negar, 2017. "Econometric modeling of systemic risk: going beyond pairwise comparison and allowing for nonlinearity," LSE Research Online Documents on Economics 70769, London School of Economics and Political Science, LSE Library.
- Ge, Shuyi & Li, Shaoran & Linton, Oliver, 2023. "News-implied linkages and local dependency in the equity market," Journal of Econometrics, Elsevier, vol. 235(2), pages 779-815.
- Yaya Su & Zhehao Huang & Benjamin M. Drakeford, 2019. "Monetary Policy, Industry Heterogeneity and Systemic Risk—Based on a High Dimensional Network Analysis," Sustainability, MDPI, vol. 11(22), pages 1-15, November.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Lorenzo Trapani, 2017.
"Sequential testing for structural stability in approximate factor models,"
Papers
1708.02786, arXiv.org, revised Mar 2020.
- Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
- Matteo Barigozzi & Lorenzo Trapani, 2018. "Sequential testing for structural stability in approximate factor models," Discussion Papers 18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
Cited by:
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Working Papers ECARES
2023-15, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
- Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2023.
- Xin-Bing Kong & Yong-Xin Liu & Long Yu & Peng Zhao, 2022. "Matrix Quantile Factor Model," Papers 2208.08693, arXiv.org, revised May 2023.
- Lorenzo Trapani & Emily Whitehouse, 2020. "Sequential monitoring for cointegrating regressions," Papers 2003.12182, arXiv.org.
- Dueñas, Marco & Mastrandrea, Rossana & Barigozzi, Matteo & Fagiolo, Giorgio, 2017.
"Spatio-temporal patterns of the international merger and acquisition network,"
LSE Research Online Documents on Economics
84092, London School of Economics and Political Science, LSE Library.
- Marcos Duenas & Rossana Mastrandrea & Matteo Barigozzi & Giorgio Fagiolo, 2017. "Spatio-Temporal Patterns of the International Merger and Acquisition Network," LEM Papers Series 2017/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
Cited by:
- Brózda-Wilamek Dominika, 2023. "The global cross-border mergers and acquisitions network between 1990 and 2021," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 59(4), pages 333-348, December.
- Mercedes Campi & Marco Dueñas & Matteo Barigozzi & Giorgio Fagiolo, 2019.
"Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions,"
The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 28(2), pages 230-256, February.
- Campi, Mercedes & Dueñas, Marco & Barigozzi, Matteo & Fagiolo, Giorgio, 2018. "Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions," LSE Research Online Documents on Economics 90203, London School of Economics and Political Science, LSE Library.
- A. Baronchelli & T.E. Uberti, 2018. "Exports and FDI: comparing networks in the new millennium," Working Paper CRENoS 201813, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Matteo Barigozzi & Matteo Luciani, 2017.
"Common Factors, Trends, and Cycles in Large Datasets,"
Finance and Economics Discussion Series
2017-111, Board of Governors of the Federal Reserve System (U.S.).
Cited by:
- Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017.
"Estimating non-stationary common factors : Implications for risk sharing,"
DES - Working Papers. Statistics and Econometrics. WS
24585, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2020. "Estimating Non-stationary Common Factors: Implications for Risk Sharing," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
- Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017.
"Estimating non-stationary common factors : Implications for risk sharing,"
DES - Working Papers. Statistics and Econometrics. WS
24585, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016.
"Non-Stationary Dynamic Factor Models for Large Datasets,"
Finance and Economics Discussion Series
2016-024, Board of Governors of the Federal Reserve System (U.S.).
Cited by:
- Francisco Corona & Graciela González-Farías & Pedro Orraca, 2017. "A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-35, December.
- Panagiotidis, Theodore & Printzis, Panagiotis, 2020.
"What is the investment loss due to uncertainty?,"
Global Finance Journal, Elsevier, vol. 45(C).
- Theodore Panagiotidis & Panagiotis Printzis, 2019. "What is the Investment Loss due to Uncertainty?," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 138, Hellenic Observatory, LSE.
- Panagiotidis, Theodore & Printzis, Panagiotis, 2019. "What is the investment loss due to uncertainty?," LSE Research Online Documents on Economics 102648, London School of Economics and Political Science, LSE Library.
- Theodore Panagiotidis & Panagiotis Printzis, 2019. "What is the Investment Loss due to Uncertainty?," Working Papers 383, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
- Theodore Panagiotidis & Panagiotis Printzis, 2019. "What is the Investment Loss due to Uncertainty?," Working Paper series 19-06, Rimini Centre for Economic Analysis.
- Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
- Jongrim Ha & M. Ayhan Kose & Franziska Ohnsorge, 2021.
"One-stop source: A global database of inflation,"
CAMA Working Papers
2021-59, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kose, M. Ayhan & Ha, Jongrim & Ohnsorge, Franziska, 2021. "One-Stop Source: A Global Database of Inflation," CEPR Discussion Papers 16327, C.E.P.R. Discussion Papers.
- Ha, Jongrim & Kose, M. Ayhan & Ohnsorge, Franziska, 2023. "One-stop source: A global database of inflation," Journal of International Money and Finance, Elsevier, vol. 137(C).
- Ha, Jongrim & Kose, M. Ayhan & Ohnsorge, Franziska, 2021. "One-Stop Source: A Global Database of Inflation," MPRA Paper 108678, University Library of Munich, Germany.
- Jongrim Ha & M. Ayhan Kose & Franziska Ohnsorge, 2021. "One-Stop Source: A Global Database of Inflation," Koç University-TUSIAD Economic Research Forum Working Papers 2107, Koc University-TUSIAD Economic Research Forum.
- Ha,Jongrim & Kose,Ayhan & Ohnsorge,Franziska Lieselotte, 2021. "One-Stop Source : A Global Database of Inflation," Policy Research Working Paper Series 9737, The World Bank.
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021.
"Nowcasting with Large Bayesian Vector Autoregressions,"
CEPR Discussion Papers
15854, C.E.P.R. Discussion Papers.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
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"Forecasting economic activity in data-rich environment,"
Working Papers
hal-04141668, HAL.
- Dalibor Stevanovic & Rachidi Kotchoni & Maxime Leroux, 2017. "Forecasting economic activity in data-rich environment," CIRANO Working Papers 2017s-05, CIRANO.
- Maxime Leroux & Rachidi Kotchoni & Dalibor Stevanovic, 2017. "Forecasting economic activity in data-rich environment," EconomiX Working Papers 2017-5, University of Paris Nanterre, EconomiX.
- Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
- Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017.
"Estimating non-stationary common factors : Implications for risk sharing,"
DES - Working Papers. Statistics and Econometrics. WS
24585, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2020. "Estimating Non-stationary Common Factors: Implications for Risk Sharing," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014.
"Dynamic Factor Models, Cointegration and Error Correction Mechanisms,"
Working Papers ECARES
ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Dynamic Factor Models, Cointegration, and Error Correction Mechanisms," Finance and Economics Discussion Series 2016-018, Board of Governors of the Federal Reserve System (U.S.).
- Cristina Conflitti and Matteo Luciani, 2019.
"Oil Price Pass-through into Core Inflation,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
- Cristina Conflitti & Matteo Luciani, 2019. "Oil Price Pass-Through into Core Inflation," FEDS Notes 2019-04-30, Board of Governors of the Federal Reserve System (U.S.).
- Cristina Conflitti & Matteo Luciani, 2017. "Oil price pass-through into core inflation," Questioni di Economia e Finanza (Occasional Papers) 405, Bank of Italy, Economic Research and International Relations Area.
- Cristina Conflitti & Matteo Luciani, 2017. "Oil Price Pass-Through into Core Inflation," FEDS Notes 2017-10-19-1, Board of Governors of the Federal Reserve System (U.S.).
- Cristina Conflitti & Matteo Luciani, 2017. "Oil Price Pass-Through into Core Inflation," Finance and Economics Discussion Series 2017-085, Board of Governors of the Federal Reserve System (U.S.).
- Panagiotidis, Theodore & Printzis, Panagiotis, 2021. "Investment and uncertainty: Are large firms different from small ones?," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 302-317.
- Hsiang-Hsi Liu & Chien-Kuo Tseng, 2022. "Common Components in Co-integrated System and Its Estimation and Application: Evidence from Five Stock Markets in Asia-Pacific Chinese Region," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 101-121.
- Alessi, Lucia & Kerssenfischer, Mark, 2016.
"The response of asset prices to monetary policy shocks: stronger than thought,"
Working Paper Series
1967, European Central Bank.
- Lucia Alessi & Mark Kerssenfischer, 2019. "The response of asset prices to monetary policy shocks: Stronger than thought," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 661-672, August.
- Martina Hengge & Seton Leonard, 2017. "Factor Models for Non-Stationary Series: Estimates of Monthly U.S. GDP," IHEID Working Papers 13-2017, Economics Section, The Graduate Institute of International Studies.
- Smeekes, Stephan & Wijler, Etiënne, 2016.
"Macroeconomic Forecasting Using Penalized Regression Methods,"
Research Memorandum
039, Maastricht University, Graduate School of Business and Economics (GSBE).
- Smeekes, Stephan & Wijler, Etienne, 2018. "Macroeconomic forecasting using penalized regression methods," International Journal of Forecasting, Elsevier, vol. 34(3), pages 408-430.
- Francesca Di Iorio & Stefano Fachin, 2017.
"Evaluating Restricted Common Factor models for non-stationary data,"
DSS Empirical Economics and Econometrics Working Papers Series
2017/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Di Iorio, Francesca & Fachin, Stefano, 2021. "Evaluating restricted common factor models for non-stationary data," Econometrics and Statistics, Elsevier, vol. 17(C), pages 64-75.
- Barigozzi, Matteo & Moneta, Alessio, 2016.
"Identifying the independent sources of consumption variation,"
LSE Research Online Documents on Economics
60979, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Alessio Moneta, 2016. "Identifying the Independent Sources of Consumption Variation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 420-449, March.
- Matteo Barigozzi & Alessio Moneta, 2012. "Identifying the Independent Sources of Consumption Variation," LEM Papers Series 2012/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
Cited by:
- Tommaso Ciarli & Andre Lorentz & Marco Valente & Maria Savona, 2017.
"Structural Changes and Growth Regime,"
Working Papers of BETA
2017-19, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Tommaso Ciarli & Andre Lorentz & Marco Tulio Valente & Maria Savona, 2019. "Structural changes and growth regimes," Post-Print hal-02180398, HAL.
- Tommaso Ciarli & André Lorentz & Marco Valente & Maria Savona, 2019. "Structural changes and growth regimes," Journal of Evolutionary Economics, Springer, vol. 29(1), pages 119-176, March.
- Tommaso Ciarli & Andre Lorentz & Marco Valente & Mario Savona, 2017. "Structural Changes and Growth Regimes," SPRU Working Paper Series 2017-12, SPRU - Science Policy Research Unit, University of Sussex Business School.
- Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
- Liqiong Chen & Antonio F. Galvao & Suyong Song, 2021. "Quantile Regression with Generated Regressors," Econometrics, MDPI, vol. 9(2), pages 1-35, April.
- Christophe Faugère, 2021. "Connectalism: A new paradigm for human choice," Systems Research and Behavioral Science, Wiley Blackwell, vol. 38(6), pages 866-889, November.
- Matteo Barigozzi & Marc Hallin, 2015.
"Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series,"
Papers
1510.05118, arXiv.org, revised Jul 2016.
- Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES ECARES 2015-34, ULB -- Universite Libre de Bruxelles.
Cited by:
- Matteo Barigozzi & Marc Hallin, 2018.
"Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals,"
Papers
1811.10045, arXiv.org, revised Jul 2019.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
- Affinito, Massimiliano & Franco Pozzolo, Alberto, 2017.
"The interbank network across the global financial crisis: Evidence from Italy,"
Journal of Banking & Finance, Elsevier, vol. 80(C), pages 90-107.
- Massimiliano Affinito & Alberto Franco Pozzolo, 2017. "The interbank network across the global financial crisis: evidence from Italy," Temi di discussione (Economic working papers) 1118, Bank of Italy, Economic Research and International Relations Area.
- Matteo Barigozzi & Marc Hallin, 2015.
"Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting,"
Working Papers ECARES
ECARES 2015-22, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
- Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities estimation and forecasting," LSE Research Online Documents on Economics 67455, London School of Economics and Political Science, LSE Library.
Cited by:
- Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022.
"Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos, 2019. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach," Working Papers ECARES 2019-14, ULB -- Universite Libre de Bruxelles.
- Lucchetti, Riccardo & Venetis, Ioannis A., 2020.
"A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012),"
Economics Discussion Papers
2020-5, Kiel Institute for the World Economy (IfW Kiel).
- Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-14.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020.
"Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting,"
Textos para discussão
521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Trucíos, Carlos & Mazzeu, João H.G. & Hotta, Luiz K. & Valls Pereira, Pedro L. & Hallin, Marc, 2021. "Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1520-1534.
- Kumar, Sudarshan & Bansal, Avijit & Chakrabarti, Anindya S., 2019. "Ripples on financial networks," IIMA Working Papers WP 2019-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Matteo Barigozzi & Marc Hallin, 2018.
"Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals,"
Papers
1811.10045, arXiv.org, revised Jul 2019.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
- Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
- Matteo Barigozzi & Marc Hallin, 2015.
"Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series,"
Papers
1510.05118, arXiv.org, revised Jul 2016.
- Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES ECARES 2015-34, ULB -- Universite Libre de Bruxelles.
- Gaoke Liao & Peng Hou & Xiaoyan Shen & Khaldoon Albitar, 2021. "The impact of economic policy uncertainty on stock returns: The role of corporate environmental responsibility engagement," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4386-4392, July.
- M. E. Bontempi & I. Mammi, 2012.
"A strategy to reduce the count of moment conditions in panel data GMM,"
Working Papers
wp843, Dipartimento Scienze Economiche, Universita' di Bologna.
- Bontempi, Maria Elena & Mammi, Irene, 2012. "A strategy to reduce the count of moment conditions in panel data GMM," MPRA Paper 40720, University Library of Munich, Germany.
- Duc Thi Luu, 2022. "Portfolio Correlations in the Bank-Firm Credit Market of Japan," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 529-569, August.
- Kris Boudt & Dries Cornilly & Tim Verdonck, 2019.
"Nearest Comoment Estimation With Unobserved Factors,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
19/970, Ghent University, Faculty of Economics and Business Administration.
- Boudt, Kris & Cornilly, Dries & Verdonck, Tim, 2020. "Nearest comoment estimation with unobserved factors," Journal of Econometrics, Elsevier, vol. 217(2), pages 381-397.
- Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
- Sudarshan Kumar & Tiziana Di Matteo & Anindya S. Chakrabarti, 2020. "Disentangling shock diffusion on complex networks: Identification through graph planarity," Papers 2001.01518, arXiv.org.
- Marc Hallin, 2022. "Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series," Econometrics, MDPI, vol. 10(4), pages 1-9, December.
- Cipollini, Fabrizio & Gallo, Giampiero M., 2019.
"Modeling Euro STOXX 50 volatility with common and market-specific components,"
Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
- Fabrizio Cipollini & Giampiero M. Gallo, 2018. "Modeling Euro STOXX 50 Volatility with Common and Market–specific Components," Working Paper series 18-26, Rimini Centre for Economic Analysis.
- Tingting Lan & Liuguo Shao & Hua Zhang & Caijun Yuan, 2023. "The impact of pandemic on dynamic volatility spillover network of international stock markets," Empirical Economics, Springer, vol. 65(5), pages 2115-2144, November.
- Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L., 2019.
"On the robustness of the principal volatility components,"
Journal of Empirical Finance, Elsevier, vol. 52(C), pages 201-219.
- Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls, 2018. "On the robustness of the principal volatility components," Textos para discussão 474, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Lübbers, Johannes & Posch, Peter N., 2016. "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 28-40.
- Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
- Valentina Aprigliano & Lorenzo Bencivelli, 2013. "Ita-coin: a new coincident indicator for the Italian economy," Temi di discussione (Economic working papers) 935, Bank of Italy, Economic Research and International Relations Area.
- Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
- Andreou, Elena & Ghysels, Eric, 2021. "Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors," Journal of Econometrics, Elsevier, vol. 220(2), pages 366-398.
- Jari Miettinen & Markus Matilainen & Klaus Nordhausen & Sara Taskinen, 2020. "Extracting Conditionally Heteroskedastic Components using Independent Component Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 293-311, March.
- Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
- Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2020. "Research on China's financial systemic risk contagion under jump and heavy-tailed risk," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Xinyu Song, 2019. "Large Volatility Matrix Prediction with High-Frequency Data," Papers 1907.01196, arXiv.org, revised Sep 2019.
- Ma, Yan-Ran & Zhang, Dayong & Ji, Qiang & Pan, Jiaofeng, 2019. "Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?," Energy Economics, Elsevier, vol. 81(C), pages 536-544.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- Krupskii, Pavel & Joe, Harry, 2020. "Flexible copula models with dynamic dependence and application to financial data," Econometrics and Statistics, Elsevier, vol. 16(C), pages 148-167.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014.
"Dynamic Factor Models, Cointegration and Error Correction Mechanisms,"
Working Papers ECARES
ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Dynamic Factor Models, Cointegration, and Error Correction Mechanisms," Finance and Economics Discussion Series 2016-018, Board of Governors of the Federal Reserve System (U.S.).
Cited by:
- Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
- Stefano Soccorsi, 2016.
"Measuring Nonfundamentalness for Structural VARs,"
Working Papers ECARES
ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
- Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
- Carlo A. Favero & Alessandro Melone, 2019. "Asset Pricing vs Asset Expected Returning in Factor Models," Working Papers 651, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017.
"Estimating non-stationary common factors : Implications for risk sharing,"
DES - Working Papers. Statistics and Econometrics. WS
24585, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2020. "Estimating Non-stationary Common Factors: Implications for Risk Sharing," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
- Martina Hengge & Seton Leonard, 2017. "Factor Models for Non-Stationary Series: Estimates of Monthly U.S. GDP," IHEID Working Papers 13-2017, Economics Section, The Graduate Institute of International Studies.
- Smeekes, Stephan & Wijler, Etiënne, 2016.
"Macroeconomic Forecasting Using Penalized Regression Methods,"
Research Memorandum
039, Maastricht University, Graduate School of Business and Economics (GSBE).
- Smeekes, Stephan & Wijler, Etienne, 2018. "Macroeconomic forecasting using penalized regression methods," International Journal of Forecasting, Elsevier, vol. 34(3), pages 408-430.
- Matteo Barigozzi & Marc Hallin, 2014.
"Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks,"
Working Papers ECARES
ECARES 2014-52, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
- Barigozzi, Matteo & Hallin, Mark, 2015. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," LSE Research Online Documents on Economics 60980, London School of Economics and Political Science, LSE Library.
Cited by:
- Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022.
"Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos, 2019. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach," Working Papers ECARES 2019-14, ULB -- Universite Libre de Bruxelles.
- Bouri, Elie & Gabauer, David & Gupta, Rangan & Tiwari, Aviral Kumar, 2021.
"Volatility connectedness of major cryptocurrencies: The role of investor happiness,"
Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
- Elie Bouri & David Gabauer & Rangan Gupta & Aviral Kumar Tiwari, 2020. "Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness," Working Papers 202059, University of Pretoria, Department of Economics.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus, 2018.
"Quantile Factor Models,"
CEPR Discussion Papers
12716, C.E.P.R. Discussion Papers.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús, 2017. "Quantile Factor Models," UC3M Working papers. Economics 25299, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021. "Quantile Factor Models," Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2020. "Quantile Factor Models," IZA Discussion Papers 13870, Institute of Labor Economics (IZA).
- Lucchetti, Riccardo & Venetis, Ioannis A., 2020.
"A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012),"
Economics Discussion Papers
2020-5, Kiel Institute for the World Economy (IfW Kiel).
- Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-14.
- Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022. "Next generation models for portfolio risk management: An approach using financial big data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020.
"Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting,"
Textos para discussão
521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Trucíos, Carlos & Mazzeu, João H.G. & Hotta, Luiz K. & Valls Pereira, Pedro L. & Hallin, Marc, 2021. "Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1520-1534.
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Working Papers ECARES
2023-15, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
- Barigozzi, Matteo & Hallin, Marc, 2017.
"A network analysis of the volatility of high-dimensionalfinancial series,"
LSE Research Online Documents on Economics
67456, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2017. "A network analysis of the volatility of high dimensional financial series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(3), pages 581-605, April.
- Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.
- Barigozzi, Matteo & Hallin, Marc, 2017.
"Generalized dynamic factor models and volatilities estimation and forecasting,"
LSE Research Online Documents on Economics
67455, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2015. "Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting," Working Papers ECARES ECARES 2015-22, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
- Matteo Barigozzi & Marc Hallin, 2018.
"Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals,"
Papers
1811.10045, arXiv.org, revised Jul 2019.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
- Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
- Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
- Matteo Barigozzi & Marc Hallin, 2015.
"Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series,"
Papers
1510.05118, arXiv.org, revised Jul 2016.
- Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES ECARES 2015-34, ULB -- Universite Libre de Bruxelles.
- Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2022. "Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1049-1064, September.
- Pourkhanali, Armin & Tafakori, Laleh & Bee, Marco, 2023. "Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Demetrescu, Matei & Hacioglu Hoke, Sinem, 2018.
"Predictive regressions under asymmetric loss: factor augmentation and model selection,"
Bank of England working papers
723, Bank of England.
- Demetrescu, Matei & Hacıoğlu Hoke, Sinem, 2019. "Predictive regressions under asymmetric loss: Factor augmentation and model selection," International Journal of Forecasting, Elsevier, vol. 35(1), pages 80-99.
- Ma, Yan-Ran & Ji, Qiang & Wu, Fei & Pan, Jiaofeng, 2021. "Financialization, idiosyncratic information and commodity co-movements," Energy Economics, Elsevier, vol. 94(C).
- Barigozzi, Matteo & Brownlees, Christian T., 2018.
"Nets: network estimation for time series,"
LSE Research Online Documents on Economics
90493, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
- Matteo Barigozzi & Christian Brownlees, 2013. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona School of Economics.
- Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
- Kris Boudt & Dries Cornilly & Tim Verdonck, 2019.
"Nearest Comoment Estimation With Unobserved Factors,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
19/970, Ghent University, Faculty of Economics and Business Administration.
- Boudt, Kris & Cornilly, Dries & Verdonck, Tim, 2020. "Nearest comoment estimation with unobserved factors," Journal of Econometrics, Elsevier, vol. 217(2), pages 381-397.
- Marc Hallin, 2022. "Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series," Econometrics, MDPI, vol. 10(4), pages 1-9, December.
- Karmous, Aida & Boubaker, Heni & Belkacem, Lotfi, 2019. "A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
- Ergemen, Yunus Emre & Rodríguez Caballero, Carlos Vladimir, 2017.
"Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence,"
DES - Working Papers. Statistics and Econometrics. WS
24614, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023. "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
- Cipollini, Fabrizio & Gallo, Giampiero M., 2019.
"Modeling Euro STOXX 50 volatility with common and market-specific components,"
Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
- Fabrizio Cipollini & Giampiero M. Gallo, 2018. "Modeling Euro STOXX 50 Volatility with Common and Market–specific Components," Working Paper series 18-26, Rimini Centre for Economic Analysis.
- Yunus Emre Ergemen, 2022. "Parametric Estimation of Long Memory in Factor Models," CREATES Research Papers 2022-10, Department of Economics and Business Economics, Aarhus University.
- Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2021. "Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data," Papers 2102.12783, arXiv.org, revised Feb 2022.
- Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L., 2019.
"On the robustness of the principal volatility components,"
Journal of Empirical Finance, Elsevier, vol. 52(C), pages 201-219.
- Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls, 2018. "On the robustness of the principal volatility components," Textos para discussão 474, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Lübbers, Johannes & Posch, Peter N., 2016. "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 28-40.
- Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
- Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
- Jari Miettinen & Markus Matilainen & Klaus Nordhausen & Sara Taskinen, 2020. "Extracting Conditionally Heteroskedastic Components using Independent Component Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 293-311, March.
- Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
- Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2020. "Research on China's financial systemic risk contagion under jump and heavy-tailed risk," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
- Xinyu Song, 2019. "Large Volatility Matrix Prediction with High-Frequency Data," Papers 1907.01196, arXiv.org, revised Sep 2019.
- Ma, Yan-Ran & Zhang, Dayong & Ji, Qiang & Pan, Jiaofeng, 2019. "Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?," Energy Economics, Elsevier, vol. 81(C), pages 536-544.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014.
"Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures,"
Econometrics Working Papers Archive
2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
- Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
Cited by:
- Driton Kuçi, 2015. "Contemporary Models of Organization of Power and the Macedonian Model of Organization of Power," European Journal of Interdisciplinary Studies Articles, Revistia Research and Publishing, vol. 1, September.
- Jozef Barun'ik & Tobias Kley, 2015.
"Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables,"
Papers
1510.06946, arXiv.org, revised Dec 2018.
- Jozef Baruník & Tobias Kley, 2019. "Quantile coherency: A general measure for dependence between cyclical economic variables," The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.
- Harry Vander Elst, 2015.
"FloGARCH : Realizing long memory and asymmetries in returns volatility,"
Working Paper Research
280, National Bank of Belgium.
- Harry-Paul Vander Elst, 2015. "FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility," Working Papers ECARES ECARES 2015-12, ULB -- Universite Libre de Bruxelles.
- Marko Mlikota, 2022. "Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications," Papers 2211.13610, arXiv.org, revised Dec 2023.
- Barigozzi, Matteo & Hallin, Mark, 2015.
"Generalized dynamic factor models and volatilities: recovering the market volatility shocks,"
LSE Research Online Documents on Economics
60980, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2014. "Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks," Working Papers ECARES ECARES 2014-52, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
- Barigozzi, Matteo & Hallin, Marc, 2017.
"Generalized dynamic factor models and volatilities estimation and forecasting,"
LSE Research Online Documents on Economics
67455, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2015. "Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting," Working Papers ECARES ECARES 2015-22, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
- Matteo Barigozzi & Marc Hallin, 2015.
"Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series,"
Papers
1510.05118, arXiv.org, revised Jul 2016.
- Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES ECARES 2015-34, ULB -- Universite Libre de Bruxelles.
- Le, Trung Hai & Do, Hung Xuan & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Covid-19 pandemic and tail-dependency networks of financial assets," Finance Research Letters, Elsevier, vol. 38(C).
- Bernard Herskovic & Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2020.
"Firm Volatility in Granular Networks,"
Journal of Political Economy, University of Chicago Press, vol. 128(11), pages 4097-4162.
- Bernard Herskovic & Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2013. "Firm Volatility in Granular Networks," NBER Working Papers 19466, National Bureau of Economic Research, Inc.
- Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2014. "Firm Volatility in Granular Networks," 2014 Meeting Papers 253, Society for Economic Dynamics.
- Van Nieuwerburgh, Stijn & Lustig, Hanno & Kelly, Bryan & Herskovic, Bernard, 2017. "Firm Volatility in Granual Networks," CEPR Discussion Papers 12284, C.E.P.R. Discussion Papers.
- Barigozzi, Matteo & Brownlees, Christian T., 2018.
"Nets: network estimation for time series,"
LSE Research Online Documents on Economics
90493, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
- Matteo Barigozzi & Christian Brownlees, 2013. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona School of Economics.
- Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
- Amendola, A. & Candila, V. & Cipollini, F. & Gallo, G.M., 2024.
"Doubly multiplicative error models with long- and short-run components,"
Socio-Economic Planning Sciences, Elsevier, vol. 91(C).
- Alessandra Amendola & Vincenzo Candila & Fabrizio Cipollini & Giampiero M. Gallo, 2020. "Doubly Multiplicative Error Models with Long- and Short-run Components," Papers 2006.03458, arXiv.org.
- Duc Thi Luu, 2022. "Portfolio Correlations in the Bank-Firm Credit Market of Japan," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 529-569, August.
- Pietro Coretto & Michele La Rocca & Giuseppe Storti, 2020. "Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters," JRFM, MDPI, vol. 13(4), pages 1-23, March.
- Cipollini, Fabrizio & Gallo, Giampiero M., 2019.
"Modeling Euro STOXX 50 volatility with common and market-specific components,"
Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
- Fabrizio Cipollini & Giampiero M. Gallo, 2018. "Modeling Euro STOXX 50 Volatility with Common and Market–specific Components," Working Paper series 18-26, Rimini Centre for Economic Analysis.
- Philip L. H. Yu & W. K. Li & F. C. Ng, 2017. "The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 513-527, October.
- Ilze KALNINA & Kokouvi TEWOU, 2015.
"Cross-sectional Dependence in Idiosyncratic Volatility,"
Cahiers de recherche
08-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- KALNINA, Ilze & TEWOU, Kokouvi, 2015. "Cross-sectional dependence in idiosyncratic volatility," Cahiers de recherche 2015-04, Universite de Montreal, Departement de sciences economiques.
- Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto, 2019.
"Realized Volatility Forecasting: Robustness to Measurement Errors,"
Econometrics Working Papers Archive
2019_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Cipollini, Fabrizio & Gallo, Giampiero M. & Otranto, Edoardo, 2021. "Realized volatility forecasting: Robustness to measurement errors," International Journal of Forecasting, Elsevier, vol. 37(1), pages 44-57.
- Giampiero M. Gallo & Edoardo Otranto, 2018.
"Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach,"
Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 549-573, April.
- Giampiero M. Gallo & Edoardo Otranto, 2017. "Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach," Econometrics Working Papers Archive 2017_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Zhang, Xingmin & Zhang, Shuai & Lu, Liping, 2022. "The banking instability and climate change: Evidence from China," Energy Economics, Elsevier, vol. 106(C).
- Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021. "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers 21-057/III, Tinbergen Institute.
- Fabrizio Cipollini & Giampiero M. Gallo, 2021. "Multiplicative Error Models: 20 years on," Papers 2107.05923, arXiv.org.
- Paul G. Egan & Anthony J. Leddin, 2016. "Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index," Asian Development Review, MIT Press, vol. 33(1), pages 74-110, March.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Christian Brownlees, 2013.
"Nets: Network Estimation for Time Series,"
Working Papers
723, Barcelona School of Economics.
- Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
- Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
- Barigozzi, Matteo & Brownlees, Christian T., 2018. "Nets: network estimation for time series," LSE Research Online Documents on Economics 90493, London School of Economics and Political Science, LSE Library.
Cited by:
- P. Giudici & A. Spelta, 2016.
"Graphical Network Models for International Financial Flows,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 128-138, January.
- Paolo Giudici & Alessandro Spelta, 2013. "Graphical network models for international financial flows," DEM Working Papers Series 052, University of Pavia, Department of Economics and Management.
- Ariana Paola Cortés Ángel & Mustafa Hakan Eratalay, 2022. "Deep diving into the S&P Europe 350 index network and its reaction to COVID-19," Journal of Computational Social Science, Springer, vol. 5(2), pages 1343-1408, November.
- Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023.
"Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework,"
Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
- Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2022. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Post-Print hal-04478741, HAL.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2015.
"Estimating Global Bank Network Connectedness,"
PIER Working Paper Archive
15-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Jul 2015.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yılmaz, 2017. "Estimating Global Bank Network Connectedness," NBER Working Papers 23140, National Bureau of Economic Research, Inc.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2018. "Estimating global bank network connectedness," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 1-15, January.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2015. "Estimating Global Bank Network Connectedness," Koç University-TUSIAD Economic Research Forum Working Papers 1512, Koc University-TUSIAD Economic Research Forum.
- Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023.
"High-dimensional VARs with common factors,"
Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
- Ke Miao & Peter C.B. Phillips & Liangjun Su, 2020. "High-Dimensional VARs with Common Factors," Cowles Foundation Discussion Papers 2252, Cowles Foundation for Research in Economics, Yale University.
- Bastianin, Andrea & Casoli, Chiara & Galeotti, Marzio, 2023.
"The connectedness of Energy Transition Metals,"
FEEM Working Papers
336984, Fondazione Eni Enrico Mattei (FEEM).
- Bastianin, Andrea & Casoli, Chiara & Galeotti, Marzio, 2023. "The connectedness of Energy Transition Metals," Energy Economics, Elsevier, vol. 128(C).
- Andrea Bastianin & Chiara Casoli & Marzio Galeotti, 2023. "The connectedness of Energy Transition Metals," Working Papers 2023.11, Fondazione Eni Enrico Mattei.
- Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020. "Modeling Turning Points In Global Equity Market," DEM Working Papers Series 195, University of Pavia, Department of Economics and Management.
- Paolo Giudici & Laura Parisi, 2016. "CoRisk: measuring systemic risk through default probability contagion," DEM Working Papers Series 116, University of Pavia, Department of Economics and Management.
- Ben R. Craig & Martin Saldias Zambrana, 2016.
"Spatial Dependence and Data-Driven Networks of International Banks,"
Working Papers (Old Series)
1627, Federal Reserve Bank of Cleveland.
- Ben Craig & Martín Saldías, 2016. "Spatial Dependence and Data-Driven Networks of International Banks," IMF Working Papers 2016/184, International Monetary Fund.
- Bettendorf, Timo & Heinlein, Reinhold, 2019. "Connectedness between G10 currencies: Searching for the causal structure," Discussion Papers 06/2019, Deutsche Bundesbank.
- Brownlees, Christian & Hans, Christina & Nualart, Eulalia, 2021. "Bank credit risk networks: Evidence from the Eurozone," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 585-599.
- Christian Brownlees & Eulàlia Nualart & Yucheng Sun, 2018. "Realized networks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 986-1006, November.
- M. Hakan Eratalay & Evgenii Vladimirov, 2017.
"Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange?,"
EUSP Department of Economics Working Paper Series
2017/01, European University at St. Petersburg, Department of Economics.
- M. Hakan Eratalay; Evgenii V. Vladimirov, 2018. "Mapping The Stocks In Micex: Who Is Central To The Moscow Stock Exchange?," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 111, Faculty of Economics and Business Administration, University of Tartu (Estonia).
- M. Hakan Eratalay & Evgenii V. Vladimirov, 2020. "Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange?," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 28(4), pages 581-620, October.
- Alin Marius Andries & Steven Ongena & Nicu Sprincean & Radu Tunaru, 2020.
"Risk Spillovers and Interconnectedness between Systemically Important Institutions,"
Swiss Finance Institute Research Paper Series
20-40, Swiss Finance Institute.
- Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022. "Risk spillovers and interconnectedness between systemically important institutions," Journal of Financial Stability, Elsevier, vol. 58(C).
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021.
"Time-varying general dynamic factor models and the measurement of financial connectedness,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
- Barigozzi, M. & Hallin, M. & Soccorsi, S. & Von Sachs, R., 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," LIDAM Discussion Papers ISBA 2019024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020. "Time-varying general dynamic factor models and the measurement of financial connectedness," LIDAM Reprints ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Yu Chen & Jie Hu & Weiping Zhang, 2020. "Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 28(6), pages 78-100, November.
- Kamil Yilmaz, 2014. "Volatility Connectedness of Bank Stocks Across the Atlantic," Koç University-TUSIAD Economic Research Forum Working Papers 1402, Koc University-TUSIAD Economic Research Forum.
- Chuliá, Helena & Estévez, Marc & Uribe, Jorge M., 2023. "Systemic political risk," Economic Modelling, Elsevier, vol. 125(C).
- Aldasoro, Iñaki & Angeloni, Ignazio, 2013.
"Input-Output-based Measures of Systemic Importance,"
MPRA Paper
49557, University Library of Munich, Germany.
- Aldasoro, Iñaki & Angeloni, Ignazio, 2013. "Input-output-based measures of systemic importance," SAFE Working Paper Series 29, Leibniz Institute for Financial Research SAFE.
- I�aki Aldasoro & Ignazio Angeloni, 2015. "Input-output-based measures of systemic importance," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 589-606, April.
- Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar, 2022.
"Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter,"
IDB Publications (Working Papers)
12236, Inter-American Development Bank.
- Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2023. "Risk spillovers between global corporations and Latin American sovereigns: global factors matter," Applied Economics, Taylor & Francis Journals, vol. 55(13), pages 1477-1496, March.
- Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2021. ""Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter"," IREA Working Papers 202118, University of Barcelona, Research Institute of Applied Economics, revised Dec 2021.
- Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023.
"The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification,"
International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
- Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Leibniz Institute for Financial Research SAFE.
- Muñoz Mendoza, Jorge A. & Ferreira, Guillermo & Márquez Sanders, Vicente A., 2023. "Liquidity spillovers in the global stock markets: Lessons for risk management," Global Finance Journal, Elsevier, vol. 58(C).
- René Böheim & Philipp Stöllinger, 2020.
"Decomposition of the Gender Wage Gap using the LASSO Estimator,"
Economics working papers
2020-03, Department of Economics, Johannes Kepler University Linz, Austria.
- René Böheim & Philipp Stöllinger, 2021. "Decomposition of the gender wage gap using the LASSO estimator," Applied Economics Letters, Taylor & Francis Journals, vol. 28(10), pages 817-828, June.
- Carlo Campajola & Fabrizio Lillo & Daniele Tantari, 2019. "Unveiling the relation between herding and liquidity with trader lead-lag networks," Papers 1909.10807, arXiv.org, revised Mar 2020.
- Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
- Hué, Sullivan & Lucotte, Yannick & Tokpavi, Sessi, 2019.
"Measuring network systemic risk contributions: A leave-one-out approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 86-114.
- Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018. "Measuring network systemic risk contributions: A leave-one-out approach," LEO Working Papers / DR LEO 2708, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Kamil Yilmaz, 2018. "Bank Volatility Connectedness in South East Asia," Koç University-TUSIAD Economic Research Forum Working Papers 1807, Koc University-TUSIAD Economic Research Forum.
- Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018. "Measuring Network Systemic Risk Contributions: A Leave-one-out Approach," LEO Working Papers / DR LEO 2608, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Vidal-Llana, Xenxo & Uribe, Jorge M. & Guillén, Montserrat, 2023. "European stock market volatility connectedness: The role of country and sector membership," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
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- Christophe Blot & Marion Cochard & Bruno Ducoudre & Danielle Schweisguth & Xavier Timbeau & Jérôme Creel, 2014. "Fiscal consolidation, public debt and output dynamics in the euro area : lessons from a simple model with time-varying fiscal multipliers," SciencePo Working papers Main hal-01052440, HAL.
- Christophe Blot & Marion Cochard & Jérôme Creel & Bruno Ducoudre & Danielle Schweisguth & Xavier Timbeau, 2014. "Fiscal Consolidation, Public Debt and Output Dynamics in the Euro Area: lessons from a simple model with time-varying fiscal multipliers," Sciences Po publications info:hdl:2441/5rnlf639ie8, Sciences Po.
- Christophe Blot & Marion Cochard & Bruno Ducoudré & Danielle Schweisguth & Xavier Timbeau & Jérôme Creel, 2014. "Fiscal consolidation, public debt and output dynamics in the euro area : lessons from a simple model with time-varying fiscal multipliers," Documents de Travail de l'OFCE 2014-14, Observatoire Francais des Conjonctures Economiques (OFCE).
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- Potjagailo, Galina, 2016. "Spillover effects from euro area monetary policy across the EU: A factor-augmented VAR approach," Kiel Working Papers 2033, Kiel Institute for the World Economy (IfW Kiel).
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- Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2020. "One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area," IMF Working Papers 2020/108, International Monetary Fund.
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- von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2015. "The interest rate pass-through in the euro area during the sovereign debt crisis," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113035, Verein für Socialpolitik / German Economic Association.
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"Dynamic Factor Models, Cointegration and Error Correction Mechanisms,"
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Empirical Economics, Springer, vol. 57(3), pages 991-1021, September.
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4421, EcoMod.
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"The distribution of households consumption-expenditure budget shares,"
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Cited by:
- Mien, Toh Siaw & Said, Rusmawati, 2018. "A Cross-sectional Household Analysis of Household Consumption Patterns: An Indirect Approach to Identify the Possible Factors of Personal Bankruptcy," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 52(3), pages 231-246.
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"Evolutionary Model of the Personal Income Distribution,"
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1203.6507, arXiv.org.
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- Kaldasch, Joachim, 2012. "Evolutionary Model of the Personal Income Distribution," MPRA Paper 37865, University Library of Munich, Germany.
- Yu, Jian & Shi, Xunpeng & Cheong, Tsun Se, 2021. "Distribution dynamics of China's household consumption upgrading," Structural Change and Economic Dynamics, Elsevier, vol. 58(C), pages 193-203.
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"A Robust Criterion for Determining the Number of Factors in Approximate Factor Models,"
Working Papers ECARES
2009_023, ULB -- Universite Libre de Bruxelles.
Cited by:
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"Choques internacionales reales y financieros y su impacto sobre la economía colombiana,"
Borradores de Economia
9884, Banco de la Republica.
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- Juan José Echavarría & Andrés González & Enrique López & Norberto Rodríguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 30(69), pages 14-66, December.
- Juan José Echavarría & Andrés González, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(69), pages 14-66, December.
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- Xisong Jin & Francisco Nadal De Simone, 2013.
"Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach,"
BCL working papers
82, Central Bank of Luxembourg.
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- Fernando tenjo Galarza & Enrique López E. & Diego H. Rodríguez H., 2011.
"El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR,"
Borradores de Economia
684, Banco de la Republica de Colombia.
- Enrique López E. & Fernando Tenjo Galarza & Diego H. Rodríguez H., 2012. "El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 30(69), pages 195-256, December.
- Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
- Fernando Tenjo Galarza & Enrique López E. & Diego H. Rodríguez H., 2012.
"El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(69), pages 195-256, December.
- Enrique López E. & Fernando Tenjo Galarza & Diego H. Rodríguez H., 2012. "El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 30(69), pages 195-256, December.
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- Travaglini, Guido, 2011. "Principal Components and Factor Analysis. A Comparative Study," MPRA Paper 35486, University Library of Munich, Germany.
- Juan José Echavarría & Andrés gonzález & Enrique López & Norberto Rodríguez, 2012.
"Choques internacionales reales y financieros y su impacto sobre la economía colombiana,"
Borradores de Economia
9884, Banco de la Republica.
- Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2009.
"Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors,"
Working Paper Series
1115, European Central Bank.
Cited by:
- Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
- Driton Kuçi, 2015. "Contemporary Models of Organization of Power and the Macedonian Model of Organization of Power," European Journal of Interdisciplinary Studies Articles, Revistia Research and Publishing, vol. 1, September.
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- Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022.
"Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos, 2019. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach," Working Papers ECARES 2019-14, ULB -- Universite Libre de Bruxelles.
- Marc Hallin & Charles Mathias & Hugues Pirotte & David Veredas, 2011.
"Market liquidity as dynamic factors,"
Working Papers ECARES
163, 42-50, ULB -- Universite Libre de Bruxelles.
- Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David, 2011. "Market liquidity as dynamic factors," Journal of Econometrics, Elsevier, vol. 163(1), pages 42-50, July.
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"Disentangling systematic and idiosyncratic dynamics in panels of volatility measures,"
Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
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- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020.
"Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting,"
Textos para discussão
521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Trucíos, Carlos & Mazzeu, João H.G. & Hotta, Luiz K. & Valls Pereira, Pedro L. & Hallin, Marc, 2021. "Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1520-1534.
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"Generalized dynamic factor models and volatilities estimation and forecasting,"
LSE Research Online Documents on Economics
67455, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2015. "Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting," Working Papers ECARES ECARES 2015-22, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
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"Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model,"
Economic Modelling, Elsevier, vol. 28(1), pages 557-567.
- Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1-2), pages 557-567, January.
- Julien Chevallier, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Post-Print hal-00991961, HAL.
- Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011.
"Dynamic factor value-at-risk for large, heteroskedastic portfolios,"
Finance and Economics Discussion Series
2011-19, Board of Governors of the Federal Reserve System (U.S.).
- Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
- Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
- Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
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- Matteo Barigozzi & Giorgio Fagiolo & Diego Garlaschelli, 2009.
"Multinetwork of international trade: A commodity-specific analysis,"
Papers
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- Matteo Barigozzi & Giorgio Fagiolo & Diego Garlaschelli, 2009. "The Multi-Network of International Trade: A Commodity-Specific Analysis," LEM Papers Series 2009/09, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
Cited by:
- Franco Ruzzenenti & Andreas Joseph & Elisa Ticci & Pietro Vozzella & Giampaolo Gabbi, 2015.
"Interactions between financial and environmental networks in OECD countries,"
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- Franco Ruzzenenti & Andreas Joseph & Elisa Ticci & Pietro Vozzella & Giampaolo Gabbi, 2015. "Interactions between Financial and Environmental Networks in OECD Countries," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-12, September.
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- Hao Xu & Niu Niu & Dongmei Li & Chengjie Wang, 2024. "A Dynamic Evolutionary Analysis of the Vulnerability of Global Food Trade Networks," Sustainability, MDPI, vol. 16(10), pages 1-17, May.
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"Modeling the International-Trade Network: A Gravity Approach,"
LEM Papers Series
2011/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Marco Duenas & Giorgio Fagiolo, 2011. "Modeling the International-Trade Network: A Gravity Approach," Papers 1112.2867, arXiv.org.
- Marco Dueñas & Giorgio Fagiolo, 2013. "Modeling the International-Trade Network: a gravity approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 155-178, April.
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- Roland Lantner & Didier Lebert, 2013. "Dominance, dependence and interdependence in linear structures. A theoretical model and an application to the international trade flows," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00825477, HAL.
- Marco Duenas & Giorgio Fagiolo, 2013.
"Global Trade Imbalances: A Network Approach,"
LEM Papers Series
2013/12, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Marco Dueñas & Giorgio Fagiolo, 2014. "Global Trade Imbalances: A Network Approach," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 17(03n04), pages 1-29.
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- Aldasoro, Iñaki & Alves, Iván, 2016.
"Multiplex interbank networks and systemic importance: an application to European data,"
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1962, European Central Bank.
- Aldasoro, Iñaki & Alves, Iván, 2018. "Multiplex interbank networks and systemic importance: An application to European data," Journal of Financial Stability, Elsevier, vol. 35(C), pages 17-37.
- Aldasoro, Iñaki & Alves, Iván, 2016. "Multiplex interbank networks and systemic importance – An application to European data," ESRB Working Paper Series 20, European Systemic Risk Board.
- Aldasoro, Iñaki & Alves, Iván, 2015. "Multiplex interbank networks and systemic importance: An application to European data," SAFE Working Paper Series 102 [rev.], Leibniz Institute for Financial Research SAFE, revised 2015.
- Aldasoro, Iñaki & Alves, Iván, 2015. "Multiplex interbank networks and systemic importance: An application to European data," SAFE Working Paper Series 102, Leibniz Institute for Financial Research SAFE.
- Iñaki Aldasoro & Ivan Alves, 2017. "Multiplex interbank networks and systemic importance - An application to European data," BIS Working Papers 603, Bank for International Settlements.
- Zhang, Xiaohang & Cui, Huiyuan & Zhu, Ji & Du, Yu & Wang, Qi & Shi, Wenhua, 2017. "Measuring the dissimilarity of multiplex networks: An empirical study of international trade networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 380-394.
- Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2011.
"Null Models of Economic Networks: The Case of the World Trade Web,"
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1112.2895, arXiv.org, revised Sep 2012.
- Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2011. "Null Models of Economic Networks: The Case of the World Trade Web," LEM Papers Series 2011/26, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2013. "Null models of economic networks: the case of the world trade web," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 75-107, April.
- Gianfranco Giulioni & Edmondo Di Giuseppe & Piero Toscano & Francesco Miglietta & Massimiliano Pasqui, 2019. "A Novel Computational Model of the Wheat Global Market with an Application to the 2010 Russian Federation Case," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 22(3), pages 1-4.
- Mario Maggioni & Teodora Uberti, 2011. "Networks and geography in the economics of knowledge flows," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(5), pages 1031-1051, August.
- Vivek Kandiah & Hubert Escaith & Dima Shepelyansky, 2015.
"Google matrix of the world network of economic activities,"
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- V. Kandiah & H. Escaith & D. L. Shepelyansky, 2015. "Google matrix of the world network of economic activities," Papers 1504.06773, arXiv.org.
- Vivek Kandiah & Hubert Escaith & Dima L. Shepelyansky, 2015. "Google matrix of the world network of economic activities," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 88(7), pages 1-20, July.
- Marlies Schütz & Nicole Palan, 2015. "Restructuring the International Textile Production and Trade Network. The Role of Italy and Portugal," FIW Working Paper series 156, FIW.
- Barigozzi, Matteo & Hallin, Marc, 2017.
"A network analysis of the volatility of high-dimensionalfinancial series,"
LSE Research Online Documents on Economics
67456, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2017. "A network analysis of the volatility of high dimensional financial series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(3), pages 581-605, April.
- Yuichi Ikeda, 2020. "An Interacting Agent Model of Economic Crisis," Papers 2001.11843, arXiv.org.
- Mika J. Straka & Guido Caldarelli & Tiziano Squartini & Fabio Saracco, 2017. "From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks," Papers 1710.10143, arXiv.org.
- Yuichi Ikeda & Hiroshi Iyetomi, 2018. "Trade network reconstruction and simulation with changes in trade policy," Evolutionary and Institutional Economics Review, Springer, vol. 15(2), pages 495-513, December.
- Matteo Barigozzi & Giorgio Fagiolo & Giuseppe Mangioni, 2010.
"Identifying the Community Structure of the International-Trade Multi Network,"
LEM Papers Series
2010/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Barigozzi, Matteo & Fagiolo, Giorgio & Mangioni, Giuseppe, 2011. "Identifying the community structure of the international-trade multi-network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2051-2066.
- Jakob Grazzini & Alessandro Spelta, 2015.
"An empirical analysis of the global input-output network and its evolution,"
DISCE - Working Papers del Dipartimento di Economia e Finanza
def031, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Grazzini, Jakob & Spelta, Alessandro, 2022. "An empirical analysis of the global input–output network and its evolution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
- C'elestin Coquid'e & Leonardo Ermann & Jos'e Lages & D. L. Shepelyansky, 2019. "Influence of petroleum and gas trade on EU economies from the reduced Google matrix analysis of UN COMTRADE data," Papers 1903.01820, arXiv.org.
- Matteo Barigozzi & Marc Hallin, 2015.
"Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series,"
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1510.05118, arXiv.org, revised Jul 2016.
- Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES ECARES 2015-34, ULB -- Universite Libre de Bruxelles.
- Bartesaghi, Paolo & Clemente, Gian Paolo & Grassi, Rosanna & Luu, Duc Thi, 2022. "The multilayer architecture of the global input-output network and its properties," Journal of Economic Behavior & Organization, Elsevier, vol. 204(C), pages 304-341.
- Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
- Hong, Liu & Yan, Yongze & Ouyang, Min & Tian, Hui & He, Xiaozheng, 2017. "Vulnerability effects of passengers' intermodal transfer distance preference and subway expansion on complementary urban public transportation systems," Reliability Engineering and System Safety, Elsevier, vol. 158(C), pages 58-72.
- A. Baronchelli & T.E. Uberti, 2018. "Exports and FDI: comparing networks in the new millennium," Working Paper CRENoS 201813, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Giudici, Paolo & Huang, Bihong & Spelta, Alessandro, 2018. "Trade Networks and Economic Fluctuations in Asia," ADBI Working Papers 832, Asian Development Bank Institute.
- Jeroen van Lidth de Jeude & Riccardo Di Clemente & Guido Caldarelli & Fabio Saracco & Tiziano Squartini, 2019. "Reconstructing Mesoscale Network Structures," Complexity, Hindawi, vol. 2019, pages 1-13, January.
- Kyu-Min Lee & Kwang-Il Goh, 2016. "Strength of weak layers in cascading failures on multiplex networks: case of the international trade network," Papers 1603.05181, arXiv.org, revised May 2016.
- Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
- Yuichi Ikeda & Hiroshi Iyetomi, 2018. "Trade Network Reconstruction and Simulation with Changes in Trade Policy," Papers 1806.00605, arXiv.org.
- Peiteng Shi & Jiang Zhang & Bo Yang & Jingfei Luo, 2014. "Hierarchicality of Trade Flow Networks Reveals Complexity of Products," PLOS ONE, Public Library of Science, vol. 9(6), pages 1-10, June.
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- Shi, Qing & Sun, Xiaoqi & Xu, Man & Wang, Mengjiao, 2022. "The multiplex network structure of global cobalt industry chain," Resources Policy, Elsevier, vol. 76(C).
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- Ceriotti, C. & Della Torre, M. & Grassetti, F. & Marazzina, D., 2023. "Should I have closed? A multiplex network approach for the short-term economic effect of Covid-19 containment measures in the EU," Socio-Economic Planning Sciences, Elsevier, vol. 90(C).
- Yanni Huang & Taha Hossein Rashidi & Lauren Gardner, 2018. "Modelling the global maritime container network," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 20(3), pages 400-420, September.
- Roland Lantner & Didier Lebert, 2013. "Dominance, dependence and interdependence in linear structures. A theoretical model and an application to the international trade flows," Post-Print halshs-00825477, HAL.
- Gianfranco Giulioni & Edmondo Di Giuseppe & Massimiliano Pasqui & Piero Toscano & Francesco Miglietta, 2018. "Investigating Wheat Price with a Multi-Agent Model," Papers 1807.10537, arXiv.org.
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"Network Analysis of World Trade using the BACI-CEPII Dataset,"
Global Economy Journal, De Gruyter, vol. 14(3-4), pages 1-57, October.
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- De Benedictis, L. & Nenci, S. & Santoni, G. & Tajoli, L. & Vicarelli, C., 2013. "Network Analysis of World Trade using the BACI-CEPII dataset," Working papers 471, Banque de France.
- Luca De Benedictis & Silvia Nenci & Gianluca Santoni & Lucia Tajoli & Claudio Vicarelli, 2013. "Network Analysis of World Trade using the BACI-CEPII dataset," Working Papers 2013-24, CEPII research center.
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- Peiteng Shi & Jiang Zhang & Bo Yang & Jingfei Luo, 2014. "Hierarchicality of Trade Flow Networks Reveals Complexity of Products," Papers 1401.3103, arXiv.org.
- Deepika Srivastava & M. Rahul, 2024. "Network analysis of trade and FDI," SN Business & Economics, Springer, vol. 4(1), pages 1-27, January.
- Vittorio Carlei & Francesca Affortunato & Alessandro Marra & Marco Brogi, 2019. "Does centrality of importing countries affect export prices in the global trade?," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(1), pages 529-551, January.
- Arvis, Jean-Francois, 2013. "How many dimensions do we trade in ? product space geometry and latent comparative advantage," Policy Research Working Paper Series 6478, The World Bank.
- Shen, Xinran & Lovrić, Marko, 2022. "Structural determinants of global trade in graphic paper and pulp products," Forest Policy and Economics, Elsevier, vol. 134(C).
- N. Foti & S. Pauls & Daniel N. Rockmore, 2011. "Stability of the World Trade Web over Time - An Extinction Analysis," Papers 1104.4380, arXiv.org, revised May 2011.
- Knoll, Susanne & Padula, Antonio Domingos & Crespolini dos Santos, Mariane & Pumi, Guilherme & Zhou, Shudong & Zhong, Funing & Jardim Barcellos, Julio Otavio, 2018. "Information flow in the Sino-Brazilian beef trade," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 21(1).
- Ma, Yu & Wang, Minxi & Li, Xin, 2022. "Analysis of the characteristics and stability of the global complex nickel ore trade network," Resources Policy, Elsevier, vol. 79(C).
- C'elestin Coquid'e & Jos'e Lages & Dima L. Shepelyansky, 2020. "Crisis contagion in the world trade network," Papers 2002.07100, arXiv.org.
- V. Kandiah & H. Escaith & D. L. Shepelyansky, 2015. "Contagion effects in the world network of economic activities," Papers 1507.03278, arXiv.org.
- Martinčić-Ipšić, Sanda & Margan, Domagoj & Meštrović, Ana, 2016. "Multilayer network of language: A unified framework for structural analysis of linguistic subsystems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 117-128.
- Célestin Coquidé & José Lages & Dima Shepelyansky, 2020. "Interdependence of sectors of economic activities for world countries from the reduced Google matrix analysis of WTO data," Post-Print hal-02132487, HAL.
- Michael Lebacher & Paul W. Thurner & Göran Kauermann, 2021. "Censored regression for modelling small arms trade volumes and its ‘Forensic’ use for exploring unreported trades," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 909-933, August.
- Angela Abbate & Luca De Benedictis & Giorgio Fagiolo & Lucia Tajoli, 2012. "The International Trade Network in Space and Time," LEM Papers Series 2012/17, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Luca Salvatici & Silvia Nenci, 2017. "New features, forgotten costs and counterfactual gains of the international trading system," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 44(4), pages 592-633.
- Adelaide Baronchelli & Teodora Erika Uberti, 2021. "International Economic Integration: Comparing Exports and FDI Networks in the New Millennium," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(11), pages 1-30, November.
- Gao, Cuixia & Sun, Mei & Shen, Bo, 2015. "Features and evolution of international fossil energy trade relationships: A weighted multilayer network analysis," Applied Energy, Elsevier, vol. 156(C), pages 542-554.
- Lovrić, Marko & Da Re, Riccardo & Vidale, Enrico & Pettenella, Davide & Mavsar, Robert, 2018. "Social network analysis as a tool for the analysis of international trade of wood and non-wood forest products," Forest Policy and Economics, Elsevier, vol. 86(C), pages 45-66.
- Marlies Hanna Schütz & Nicole Palan, 2016. "Restructuring of the international clothing and textile trade network: the role of Italy and Portugal," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 5(1), pages 1-29, December.
- Leonardo Ermann & Dima L. Shepelyansky, 2015. "Google matrix analysis of the multiproduct world trade network," Papers 1501.03371, arXiv.org.
- Julian Maluck & Reik V Donner, 2015. "A Network of Networks Perspective on Global Trade," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-24, July.
- Zhong, Weiqiong & An, Haizhong & Gao, Xiangyun & Sun, Xiaoqi, 2014. "The evolution of communities in the international oil trade network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 42-52.
- Kim, Min Jae & Kim, Sehyun & Jo, Yong Hwan & Kim, Soo Yong, 2011. "Dependence structure of the commodity and stock markets, and relevant multi-spread strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3842-3854.
- Roland Lantner & Didier Lebert, 2013. "Dominance, dependence and interdependence in linear structures. A theoretical model and an application to the international trade flows," Documents de travail du Centre d'Economie de la Sorbonne 13043, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Wang, Bi & Su, Qin & Chin, Kwai Sang, 2021. "Vulnerability assessment of China–Europe Railway Express multimodal transport network under cascading failures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 584(C).
- Pietro Vozzella & Franco Ruzzenenti & Giampaolo Gabbi, 2019. "Energy and Environmental Flows: Do Most Financialised Countries within the Mediterranean Area Export Unsustainability?," Sustainability, MDPI, vol. 11(13), pages 1-15, July.
- Zhuo-Ming Ren & An Zeng & Yi-Cheng Zhang, 2020. "Bridging nestedness and economic complexity in multilayer world trade networks," Palgrave Communications, Palgrave Macmillan, vol. 7(1), pages 1-8, December.
- C'elestin Coquid'e & Jos'e Lages & Dima L. Shepelyansky, 2023. "Prospects of BRICS currency dominance in international trade," Papers 2305.00585, arXiv.org.
- Matteo Barigozzi & Biagio Speciale, 2009.
"Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure,"
Working Papers ECARES
2009_019, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Biagio Speciale, 2011. "Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure," Applied Economics Letters, Taylor & Francis Journals, vol. 18(14), pages 1341-1347.
- Matteo Barigozzi & Biagio Speciale, 2011. "Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure," Post-Print hal-04514056, HAL.
Cited by:
- Adamopoulou, Effrosyni & Kaya, Ezgi, 2019.
"Not Just a Work Permit: EU Citizenship and the Consumption Behavior of Documented and Undocumented Immigrants,"
Cardiff Economics Working Papers
E2019/16, Cardiff University, Cardiff Business School, Economics Section.
- Adamopoulou, Effrosyni & Kaya, Ezgi, 2019. "Not Just a Work Permit: EU Citizenship and the Consumption Behavior of Documented and Undocumented Immigrants," IZA Discussion Papers 12642, Institute of Labor Economics (IZA).
- Effrosyni Adamopoulou & Ezgi Kaya, 2019. "Not Just a Work Permit: EU Citizenship and the Consumption Behavior of Documented and Undocumented Immigrants," CRC TR 224 Discussion Paper Series crctr224_2019_102, University of Bonn and University of Mannheim, Germany.
- Effrosyni Adamopoulou & Ezgi Kaya, 2020. "Not just a work permit: EU citizenship and the consumption behaviour of documented and undocumented immigrants," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 53(4), pages 1552-1598, November.
- Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008.
"A robust criterion for determining the number of static factors in approximate factor models,"
Working Paper Series
903, European Central Bank.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models," LEM Papers Series 2007/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
Cited by:
- Juan José Echavarría & Andrés gonzález & Enrique López & Norberto Rodríguez, 2012.
"Choques internacionales reales y financieros y su impacto sobre la economía colombiana,"
Borradores de Economia
9884, Banco de la Republica.
- Juan José Echavarría & Andrés González & Enrique López & Norberto Rodíguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Borradores de Economia 728, Banco de la Republica de Colombia.
- Juan José Echavarría & Andrés González & Enrique López & Norberto Rodríguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 30(69), pages 14-66, December.
- Juan José Echavarría & Andrés González, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(69), pages 14-66, December.
- GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
- Matteo Luciani, 2013.
"Monetary Policy, and the Housing Market: A Structural Factor Analysis,"
ULB Institutional Repository
2013/153324, ULB -- Universite Libre de Bruxelles.
- Matteo LUCIANI, "undated". "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers wp2010-7, Department of the Treasury, Ministry of the Economy and of Finance.
- Matteo Luciani, 2012. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES ECARES 2012-035, ULB -- Universite Libre de Bruxelles.
- Matteo Luciani, 2015. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 199-218, March.
- Ali Babikir & Henry Mwambi, 2016. "Evaluating the combined forecasts of the dynamic factor model and the artificial neural network model using linear and nonlinear combining methods," Empirical Economics, Springer, vol. 51(4), pages 1541-1556, December.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2012.
"Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008,"
Working Paper Series
1459, European Central Bank.
- Siem Jan Koopman & André Lucas & Bernd Schwaab, 2012. "Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 521-532, May.
- Gao, Quansheng & Hu, Chengjun, 2009. "Dynamic mortality factor model with conditional heteroskedasticity," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 410-423, December.
- Pallara, Kevin, 2016. "The dynamic effects of government spending: a FAVAR approach," MPRA Paper 92283, University Library of Munich, Germany.
- Alain Kabundi & Tumisang Loate & Nicola Viegi, 2020.
"Spillovers of the Conventional and Unconventional Monetary Policy from the US to South Africa,"
South African Journal of Economics, Economic Society of South Africa, vol. 88(4), pages 435-471, December.
- Alain Kabundi & Nicola Viegi & Tumisang Loate, 2020. "Spillovers of the Conventional and Unconventional Monetary Policy from the US to South Africa," Working Papers 818, Economic Research Southern Africa.
- Alain Kabundi & Tumisang Loate & Nicola Viegi, 2020. "Spillovers of the Conventional and Unconventional Monetary Policy from the US to South Africa," Working Papers 202033, University of Pretoria, Department of Economics.
- Le, Vu & Wang, Qing, 2014. "Robust thresholding for Diffusion Index forecast," Economics Letters, Elsevier, vol. 125(1), pages 52-56.
- Alain Kabundi & Francisco Nadal De Simone, 2011.
"France in the global economy: a structural approximate dynamic factor model analysis,"
Empirical Economics, Springer, vol. 41(2), pages 311-342, October.
- Mr. Francisco d Nadal De Simone & Alain N. Kabundi, 2007. "France in the Global Economy: A Structural Approximate Dynamic Factor Model Analysis," IMF Working Papers 2007/129, International Monetary Fund.
- Vedolin, Andrea, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics 43091, London School of Economics and Political Science, LSE Library.
- Fernando tenjo Galarza & Enrique López E. & Diego H. Rodríguez H., 2011.
"El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR,"
Borradores de Economia
684, Banco de la Republica de Colombia.
- Enrique López E. & Fernando Tenjo Galarza & Diego H. Rodríguez H., 2012. "El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 30(69), pages 195-256, December.
- Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
- Christian Menden & Christian R. Proaño, 2017.
"Dissecting the financial cycle with dynamic factor models,"
IMK Working Paper
183-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Menden, Christian & Proaño, Christian R., 2017. "Dissecting the financial cycle with dynamic factor models," BERG Working Paper Series 126, Bamberg University, Bamberg Economic Research Group.
- Christian Menden & Christian R. Proaño, 2017. "Dissecting the financial cycle with dynamic factor models," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1965-1994, December.
- Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Dzhamilya Abuzyarova & Veronika Belousova & Zhaklin Krayushkina & Yulia Lonshcikova & Ekaterina Nikiforova & Nikolay Chichkanov, 2019. "The Role of Human Capital in Science, Technology and Innovation," Foresight and STI Governance (Foresight-Russia till No. 3/2015), National Research University Higher School of Economics, vol. 13(2), pages 107-119.
- Fernando Tenjo Galarza & Enrique López E. & Diego H. Rodríguez H., 2012.
"El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(69), pages 195-256, December.
- Enrique López E. & Fernando Tenjo Galarza & Diego H. Rodríguez H., 2012. "El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 30(69), pages 195-256, December.
- Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
- Mohan Subbiah & Frank J Fabozzi, 2016. "Equity style allocation: A nonparametric approach," Journal of Asset Management, Palgrave Macmillan, vol. 17(3), pages 141-164, May.
- Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008.
"A review of nonfundamentalness and identification in structural VAR models,"
Working Paper Series
922, European Central Bank.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Review of Nonfundamentalness and Identification in Structural VAR Models," LEM Papers Series 2007/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
Cited by:
- Giorgio Fagiolo & Andrea Roventini, 2008.
"On the Scientific Status of Economic Policy: A Tale of Alternative Paradigms,"
LEM Papers Series
2008/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Giorgio Fagiolo & Andrea Roventini, 2008. "On the Scientific Status of Economic Policy: A Tale of Alternative Paradigms," Working Papers 47/2008, University of Verona, Department of Economics.
- G. Fagiolo & A. Roventini, 2009. "On the Scientific Status of Economic Policy: A Tale of Alternative Paradigms," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 6.
- Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
- Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro, 2009.
"Dynamic macroeconomic effects of public capital: evidence from regional Italian data,"
Temi di discussione (Economic working papers)
733, Bank of Italy, Economic Research and International Relations Area.
- Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro, 2010. "Dynamic Macroeconomic Effects of Public Capital: Evidence from Regional Italian Data," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 69(1), pages 29-66, April.
- Lanne, Markku & Saikkonen, Pentti, 2009.
"Noncausal vector autoregression,"
Bank of Finland Research Discussion Papers
18/2009, Bank of Finland.
- Lanne, Markku & Saikkonen, Pentti, 2010. "Noncausal Vector Autoregression," MPRA Paper 23717, University Library of Munich, Germany.
- Lanne, Markku & Saikkonen, Pentti, 2013. "Noncausal Vector Autoregression," Econometric Theory, Cambridge University Press, vol. 29(3), pages 447-481, June.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023.
"Optimization of the Generalized Covariance Estimator in Noncausal Processes,"
Papers
2306.14653, arXiv.org, revised Jan 2024.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2024. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," CEIS Research Paper 574, Tor Vergata University, CEIS, revised 23 Apr 2024.
- Paul Beaudry & Franck Portier, 2014.
"News Driven Business Cycles: Insights and Challenges,"
2014 Meeting Papers
289, Society for Economic Dynamics.
- Paul Beaudry & Franck Portier, 2014. "News-Driven Business Cycles: Insights and Challenges," Journal of Economic Literature, American Economic Association, vol. 52(4), pages 993-1074, December.
- Paul Beaudry & Franck Portier, 2013. "News Driven Business Cycles: Insights and Challenges," NBER Working Papers 19411, National Bureau of Economic Research, Inc.
- Portier, Franck & Beaudry, Paul, 2013. "News Driven Business Cycles: Insights and Challenges," CEPR Discussion Papers 9624, C.E.P.R. Discussion Papers.
- Johannes Hermanus Kemp, 2020. "Empirical estimates of fiscal multipliers for South Africa," WIDER Working Paper Series wp-2020-91, World Institute for Development Economic Research (UNU-WIDER).
- Giorgio Fagiolo & Andrea Roventini, 2012.
"Macroeconomic Policy in DSGE and Agent-Based Models,"
Working Papers
hal-04141079, HAL.
- Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 67-116.
- Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Post-Print hal-01385833, HAL.
- Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Working Papers 07/2012, University of Verona, Department of Economics.
- Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," EconomiX Working Papers 2012-17, University of Paris Nanterre, EconomiX.
- Fève, Patrick & Jidoud, Ahmat, 2012.
"Identifying News Shocks from SVARs,"
TSE Working Papers
12-287, Toulouse School of Economics (TSE).
- Fève, Patrick & Jidoud, Ahmat, 2012. "Identifying News Shocks from SVARs," IDEI Working Papers 706, Institut d'Économie Industrielle (IDEI), Toulouse.
- Féve, Patrick & Jidoud, Ahmat, 2012. "Identifying News Shocks from SVARs," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 919-932.
- Marco Capasso & Lucia Alessi & Matteo Barigozzi & Giorgio Fagiolo, 2007.
"On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters,"
LEM Papers Series
2007/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Marco Capasso & Lucia Alessi & Matteo Barigozzi & Giorgio Fagiolo, 2009. "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., vol. 12(02), pages 157-167.
Cited by:
- Matthias Duschl & Thomas Brenner, 2013. "Characteristics of regional industry-specific employment growth rates' distributions," Papers in Regional Science, Wiley Blackwell, vol. 92(2), pages 249-270, June.
- Giuricich, Mario Nicoló & Burnecki, Krzysztof, 2019. "Modelling of left-truncated heavy-tailed data with application to catastrophe bond pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 498-513.
- Iván Blanco, Juan Ignacio Peña, and Rosa Rodriguez, 2018. "Modelling Electricity Swaps with Stochastic Forward Premium Models," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
- Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007.
"On the distributional properties of household consumption expenditures. The case of Italy,"
LEM Papers Series
2007/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2010. "On the distributional properties of household consumption expenditures: the case of Italy," Empirical Economics, Springer, vol. 38(3), pages 717-741, June.
- Lunardi, José T. & Miccichè, Salvatore & Lillo, Fabrizio & Mantegna, Rosario N. & Gallegati, Mauro, 2014. "Do firms share the same functional form of their growth rate distribution? A statistical test," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 140-164.
- Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007.
"On the distributional properties of household consumption expenditures. The case of Italy,"
LEM Papers Series
2007/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2010. "On the distributional properties of household consumption expenditures: the case of Italy," Empirical Economics, Springer, vol. 38(3), pages 717-741, June.
Cited by:
- Mundt, Philipp & Oh, Ilfan, 2019. "Asymmetric competition, risk, and return distribution," Economics Letters, Elsevier, vol. 179(C), pages 29-32.
- Scharfenaker, Ellis, 2020.
"Implications of quantal response statistical equilibrium,"
Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
- Ellis Scharfenaker, 2019. "Implications of Quantal Response Statistical Equilibrium," Working Paper Series, Department of Economics, University of Utah 2019_07, University of Utah, Department of Economics.
- Irle, Albrecht & Milaković, Mishael & Alfarano, Simone & Kauschke, Jonas, 2008.
"A Statistical Equilibrium Model of Competitive Firms,"
Economics Working Papers
2008-10, Christian-Albrechts-University of Kiel, Department of Economics.
- Alfarano, Simone & Milaković, Mishael & Irle, Albrecht & Kauschke, Jonas, 2012. "A statistical equilibrium model of competitive firms," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 136-149.
- Arnab Chatterjee & Anindya S. Chakrabarti & Asim Ghosh & Anirban Chakraborti & Tushar K. Nandi, 2015.
"Invariant features of spatial inequality in consumption: the case of India,"
Papers
1507.04236, arXiv.org, revised Sep 2015.
- Chatterjee, Arnab & Chakrabarti, Anindya S. & Ghosh, Asim & Chakraborti, Anirban & Nandi, Tushar K., 2016. "Invariant features of spatial inequality in consumption: The case of India," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 169-181.
- David S. Bieri & Casey J. Dawkins, 2019. "Amenities, affordability, and housing vouchers," Journal of Regional Science, Wiley Blackwell, vol. 59(1), pages 56-82, January.
- Schulz, Jan & Mayerhoffer, Daniel M., 2021.
"A network approach to consumption,"
BERG Working Paper Series
173, Bamberg University, Bamberg Economic Research Group.
- Jan Schulz & Daniel M. Mayerhoffer, 2022. "A Network Approach to Consumption," Papers 2203.14259, arXiv.org, revised Apr 2022.
- Barigozzi, Matteo & Moneta, Alessio, 2016.
"Identifying the independent sources of consumption variation,"
LSE Research Online Documents on Economics
60979, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Alessio Moneta, 2012. "Identifying the Independent Sources of Consumption Variation," LEM Papers Series 2012/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Matteo Barigozzi & Alessio Moneta, 2016. "Identifying the Independent Sources of Consumption Variation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 420-449, March.
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020.
"Exploiting ergodicity in forecasts of corporate profitability,"
Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2019. "Exploiting ergodicity in forecasts of corporate profitability," BERG Working Paper Series 147, Bamberg University, Bamberg Economic Research Group.
- Barigozzi, Matteo & Alessi, Lucia & Capasso, Marco & Fagiolo, Giorgio, 2009.
"The distribution of households consumption-expenditure budget shares,"
Working Paper Series
1061, European Central Bank.
- Barigozzi, Matteo & Alessi, Lucia & Capasso, Marco & Fagiolo, Giorgio, 2012. "The distribution of household consumption-expenditure budget shares," Structural Change and Economic Dynamics, Elsevier, vol. 23(1), pages 69-91.
- Matteo Barigozzi & Biagio Speciale, 2009.
"Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure,"
Working Papers ECARES
2009_019, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Biagio Speciale, 2011. "Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure," Applied Economics Letters, Taylor & Francis Journals, vol. 18(14), pages 1341-1347.
- Matteo Barigozzi & Biagio Speciale, 2011. "Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure," Post-Print hal-04514056, HAL.
- Matteo Barigozzi & Lucia Alessi & Marco Capasso & Giorgio Fagiolo, 2008.
"The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households,"
Papers on Economics and Evolution
2008-09, Philipps University Marburg, Department of Geography.
- Matteo Barigozzi & Lucia Alessi & Marco Capasso & Giorgio Fagiolo, 2008. "The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households," LEM Papers Series 2008/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
Articles
- Matteo Barigozzi & Lorenzo Trapani, 2022.
"Testing for Common Trends in Nonstationary Large Datasets,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1107-1122, June.
Cited by:
- Gianluca CubaddaTor Vergata & Marco MazzaliTor Vergata, 2024.
"The vector error correction index model: representation, estimation and identification,"
The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
- Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
- Morten {O}rregaard Nielsen & Won-Ki Seo & Dakyung Seong, 2023. "Inference on common trends in functional time series," Papers 2312.00590, arXiv.org, revised May 2024.
- Gianluca CubaddaTor Vergata & Marco MazzaliTor Vergata, 2024.
"The vector error correction index model: representation, estimation and identification,"
The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021.
"Time-varying general dynamic factor models and the measurement of financial connectedness,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
See citations under working paper version above.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
- Barigozzi, M. & Hallin, M. & Soccorsi, S. & Von Sachs, R., 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," LIDAM Discussion Papers ISBA 2019024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020. "Time-varying general dynamic factor models and the measurement of financial connectedness," LIDAM Reprints ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021.
"Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors,"
Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
Cited by:
- Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.
- Hie Joo Ahn & Matteo Luciani, 2021. "Relative prices and pure inflation since the mid-1990s," Finance and Economics Discussion Series 2021-069, Board of Governors of the Federal Reserve System (U.S.).
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2021.
"Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices,"
Working Papers
2021.19, Fondazione Eni Enrico Mattei.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2022. "Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
- Casoli, Chiara & Lucchetti, Riccardo (Jack), 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Working Papers ECARES
2023-15, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
- Mirela Sorina Miescu & Giorgio Motta & Dario Pontiggia & Raffaele Rossi, 2023. "The Expansionary Effects Of Housing Credit Supply Shocks," Working Papers 399832231, Lancaster University Management School, Economics Department.
- Shahriyar Aliev & Evžen Kočenda, 2022.
"ECB monetary policy and commodity prices,"
FFA Working Papers
4.008, Prague University of Economics and Business, revised 21 Jun 2022.
- Shahriyar Aliyev & Evžen Kočenda, 2023. "ECB monetary policy and commodity prices," Review of International Economics, Wiley Blackwell, vol. 31(1), pages 274-304, February.
- Shahriyar Aliyev & Evzen Kocenda, 2020. "ECB Monetary Policy and Commodity Prices," Working Papers IES 2020/8, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2020.
- Cristiano Cantore & Filippo Ferroni & Haroon Mumtaz & Angeliki Theophilopoulou, 2023.
"A tail of labor supply and a tale of monetary policy,"
Discussion Papers
2308, Centre for Macroeconomics (CFM).
- Cantore, Cristiano & Ferroni, Filippo & Mumtaz, Hroon & Theophilopoulou, Angeliki, 2022. "A tail of labour supply and a tale of monetary policy," Bank of England working papers 989, Bank of England.
- Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
- Poncela Blanco, Maria Pilar & Ruiz Ortega, Esther & Miranda Gualdrón, Karen Alejandra, 2020.
"Factor extraction using Kalman filter and smoothing: this is not just another survey,"
DES - Working Papers. Statistics and Econometrics. WS
30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Takumah, Wisdom, 2023. "Fiscal Policy and Asset Prices in a Dynamic Factor Model with Cointegrated Factors," MPRA Paper 117897, University Library of Munich, Germany, revised 10 Jul 2023.
- Gianluca CubaddaTor Vergata & Marco MazzaliTor Vergata, 2024.
"The vector error correction index model: representation, estimation and identification,"
The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
- Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
- Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
- Haroon Mumtaz & Roman Sustek, 2023. "Global house prices since 1950," Discussion Papers 2307, Centre for Macroeconomics (CFM).
- Donato Ceci & Andrea Silvestrini, 2023.
"Nowcasting the state of the Italian economy: The role of financial markets,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1569-1593, November.
- Donato Ceci & Andrea Silvestrini, 2022. "Nowcasting the state of the Italian economy: the role of financial markets," Temi di discussione (Economic working papers) 1362, Bank of Italy, Economic Research and International Relations Area.
- Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
- Barigozzi, Matteo & Hallin, Marc, 2020.
"Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals,"
Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
See citations under working paper version above.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals," Papers 1811.10045, arXiv.org, revised Jul 2019.
- Barigozzi, Matteo & Trapani, Lorenzo, 2020.
"Sequential testing for structural stability in approximate factor models,"
Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
See citations under working paper version above.
- Matteo Barigozzi & Lorenzo Trapani, 2017. "Sequential testing for structural stability in approximate factor models," Papers 1708.02786, arXiv.org, revised Mar 2020.
- Matteo Barigozzi & Lorenzo Trapani, 2018. "Sequential testing for structural stability in approximate factor models," Discussion Papers 18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2020.
"Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors,"
Econometrics, MDPI, vol. 8(1), pages 1-23, February.
Cited by:
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2021.
"Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices,"
Working Papers
2021.19, Fondazione Eni Enrico Mattei.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2022. "Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
- Casoli, Chiara & Lucchetti, Riccardo (Jack), 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Working Papers ECARES
2023-15, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
- Poncela Blanco, Maria Pilar & Ruiz Ortega, Esther & Miranda Gualdrón, Karen Alejandra, 2020.
"Factor extraction using Kalman filter and smoothing: this is not just another survey,"
DES - Working Papers. Statistics and Econometrics. WS
30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
- Feng, Zongbao & Chen, Weiya & Liu, Yang & Chen, Hongyu & Skibniewski, Mirosław J., 2023. "Long-term equilibrium relationship analysis and energy-saving measures of metro energy consumption and its influencing factors based on cointegration theory and an ARDL model," Energy, Elsevier, vol. 263(PD).
- Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
- Tibor Szendrei & Katalin Varga, 2020. "FISS – A Factor-based Index of Systemic Stress in the Financial System," Russian Journal of Money and Finance, Bank of Russia, vol. 79(1), pages 3-34, March.
- Sergej Gričar & Štefan Bojnec, 2021. "Technical Analysis of Tourism Price Process in the Eurozone," JRFM, MDPI, vol. 14(11), pages 1-25, October.
- Donato Ceci & Andrea Silvestrini, 2023.
"Nowcasting the state of the Italian economy: The role of financial markets,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1569-1593, November.
- Donato Ceci & Andrea Silvestrini, 2022. "Nowcasting the state of the Italian economy: the role of financial markets," Temi di discussione (Economic working papers) 1362, Bank of Italy, Economic Research and International Relations Area.
- Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2021.
"Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices,"
Working Papers
2021.19, Fondazione Eni Enrico Mattei.
- Mercedes Campi & Marco Dueñas & Matteo Barigozzi & Giorgio Fagiolo, 2019.
"Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions,"
The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 28(2), pages 230-256, February.
See citations under working paper version above.
- Campi, Mercedes & Dueñas, Marco & Barigozzi, Matteo & Fagiolo, Giorgio, 2018. "Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions," LSE Research Online Documents on Economics 90203, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019.
"Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 17(3), pages 462-494.
See citations under working paper version above.
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano, 2019. "Identification of global and local shocks in international financial markets via general dynamic factor models," LSE Research Online Documents on Economics 86932, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Christian Brownlees, 2019.
"NETS: Network estimation for time series,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
See citations under working paper version above.
- Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
- Matteo Barigozzi & Christian Brownlees, 2013. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona School of Economics.
- Barigozzi, Matteo & Brownlees, Christian T., 2018. "Nets: network estimation for time series," LSE Research Online Documents on Economics 90493, London School of Economics and Political Science, LSE Library.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018.
"Simultaneous multiple change-point and factor analysis for high-dimensional time series,"
Journal of Econometrics, Elsevier, vol. 206(1), pages 187-225.
See citations under working paper version above.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," LSE Research Online Documents on Economics 88110, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Antonio M. Conti, 2018.
"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, vol. 80(4), pages 755-787, August.
See citations under working paper version above.
- Barigozzi, Matteo, 2018. "On the stability of euro area money demand and its implications for monetary policy," LSE Research Online Documents on Economics 87283, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Antonio Conti, 2013. "On the Stability of Euro Area Money Demand and its Implications for Monetary Policy," LEM Papers Series 2013/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Barigozzi, Matteo & Hallin, Marc, 2017.
"Generalized dynamic factor models and volatilities: estimation and forecasting,"
Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
See citations under working paper version above.
- Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities estimation and forecasting," LSE Research Online Documents on Economics 67455, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2015. "Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting," Working Papers ECARES ECARES 2015-22, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2017.
"A network analysis of the volatility of high dimensional financial series,"
Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(3), pages 581-605, April.
See citations under working paper version above.
- Barigozzi, Matteo & Hallin, Marc, 2017. "A network analysis of the volatility of high-dimensionalfinancial series," LSE Research Online Documents on Economics 67456, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2016.
"Generalized dynamic factor models and volatilities: recovering the market volatility shocks,"
Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
See citations under working paper version above.
- Matteo Barigozzi & Marc Hallin, 2014. "Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks," Working Papers ECARES ECARES 2014-52, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Mark, 2015. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," LSE Research Online Documents on Economics 60980, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Alessio Moneta, 2016.
"Identifying the Independent Sources of Consumption Variation,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 420-449, March.
See citations under working paper version above.
- Matteo Barigozzi & Alessio Moneta, 2012. "Identifying the Independent Sources of Consumption Variation," LEM Papers Series 2012/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Barigozzi, Matteo & Moneta, Alessio, 2016. "Identifying the independent sources of consumption variation," LSE Research Online Documents on Economics 60979, London School of Economics and Political Science, LSE Library.
- Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014.
"Disentangling systematic and idiosyncratic dynamics in panels of volatility measures,"
Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
See citations under working paper version above.
- Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014. "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive 2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2014.
"Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 693-714, October.
See citations under working paper version above.
- Matteo Luciani & Antoniomaria Conti & Matteo Barigozzi, 2013. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," ULB Institutional Repository 2013/153330, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2013. "Do euro area countries respond asymmetrically to the common monetary policy?," Temi di discussione (Economic working papers) 923, Bank of Italy, Economic Research and International Relations Area.
- Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2013.
"The common component of firm growth,"
Structural Change and Economic Dynamics, Elsevier, vol. 26(C), pages 73-82.
Cited by:
- Fornaro, Paolo, 2016. "Predicting Finnish economic activity using firm-level data," International Journal of Forecasting, Elsevier, vol. 32(1), pages 10-19.
- Stella, Andrea, 2015.
"Firm dynamics and the origins of aggregate fluctuations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 71-88.
- Andrea Stella, 2015. "Firm Dynamics and the Origins of Aggregate Fluctuations," International Finance Discussion Papers 1133, Board of Governors of the Federal Reserve System (U.S.).
- Juan Federico & Joan-Lluis Capelleras, 2015. "The heterogeneous dynamics between growth and profits: the case of young firms," Small Business Economics, Springer, vol. 44(2), pages 231-253, February.
- Barigozzi, Matteo & Alessi, Lucia & Capasso, Marco & Fagiolo, Giorgio, 2012.
"The distribution of household consumption-expenditure budget shares,"
Structural Change and Economic Dynamics, Elsevier, vol. 23(1), pages 69-91.
See citations under working paper version above.
- Barigozzi, Matteo & Alessi, Lucia & Capasso, Marco & Fagiolo, Giorgio, 2009. "The distribution of households consumption-expenditure budget shares," Working Paper Series 1061, European Central Bank.
- Matteo Barigozzi & Biagio Speciale, 2011.
"Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure,"
Applied Economics Letters, Taylor & Francis Journals, vol. 18(14), pages 1341-1347.
See citations under working paper version above.
- Matteo Barigozzi & Biagio Speciale, 2011. "Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure," Post-Print hal-04514056, HAL.
- Matteo Barigozzi & Biagio Speciale, 2009. "Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure," Working Papers ECARES 2009_019, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Fagiolo, Giorgio & Mangioni, Giuseppe, 2011.
"Identifying the community structure of the international-trade multi-network,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2051-2066.
See citations under working paper version above.
- Matteo Barigozzi & Giorgio Fagiolo & Giuseppe Mangioni, 2010. "Identifying the Community Structure of the International-Trade Multi Network," LEM Papers Series 2010/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2011.
"Non‐Fundamentalness in Structural Econometric Models: A Review,"
International Statistical Review, International Statistical Institute, vol. 79(1), pages 16-47, April.
Cited by:
- Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015. "Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?," Research Memorandum 035, Maastricht University, Graduate School of Business and Economics (GSBE).
- Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel [The sectoral effects of monetary policy in Hungary: a structural factor]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
- Giovanni Angelini & Marco M. Sorge, 2021.
"Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks,"
Working Papers
wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
- Angelini, Giovanni & Sorge, Marco M., 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Luca Fanelli & Marco M. Sorge, 2015. "Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?," CSEF Working Papers 402, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
- Stefano Soccorsi, 2016.
"Measuring Nonfundamentalness for Structural VARs,"
Working Papers ECARES
ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
- Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
- Ellahie, Atif & Ricco, Giovanni, 2017.
"Government Purchases Reloaded : Informational Insufficiency and Heterogeneity in Fiscal VARs,"
Economic Research Papers
269308, University of Warwick - Department of Economics.
- Ellahie, Atif & Ricco, Giovanni, 2017. "Government purchases reloaded: Informational insufficiency and heterogeneity in fiscal VARs," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 13-27.
- Ellahie, Atif & Ricco, Giovanni, 2017. "Government Purchases Reloaded : Informational Insufficiency and Heterogeneity in Fiscal VARs," The Warwick Economics Research Paper Series (TWERPS) 1138, University of Warwick, Department of Economics.
- Nektarios A. Michail & Christos S. Savva & Demetris Koursaros, 2017. "Size Effects of Fiscal Policy and Business Confidence in the Euro Area," IJFS, MDPI, vol. 5(4), pages 1-15, November.
- Lof, Matthijs, 2011.
"Noncausality and Asset Pricing,"
MPRA Paper
30519, University Library of Munich, Germany.
- Lof Matthijs, 2013. "Noncausality and asset pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 211-220, April.
- Alessio Moneta & Doris Entner & Patrik O. Hoyer & Alex Coad, 2013. "Causal Inference by Independent Component Analysis: Theory and Applications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 705-730, October.
- Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
- Lanne, Markku & Saikkonen, Pentti, 2009.
"Noncausal vector autoregression,"
Bank of Finland Research Discussion Papers
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