Matteo Barigozzi
Personal Details
First Name: | Matteo |
Middle Name: | |
Last Name: | Barigozzi |
Suffix: | |
RePEc Short-ID: | pba354 |
[This author has chosen not to make the email address public] | |
http://www.barigozzi.eu/ | |
Affiliation
(80%) Dipartimento di Scienze Economiche
Alma Mater Studiorum - Università di Bologna
Bologna, Italyhttps://dse.unibo.it/
RePEc:edi:sebolit (more details at EDIRC)
(20%) Centre de Recherche en Économie et Statistique (CREST)
Palaiseau, Francehttp://crest.science/
RePEc:edi:crestfr (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Matteo Barigozzi & Marc Hallin, 2024.
"The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series,"
Papers
2407.10653, arXiv.org.
- Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series," Working Papers ECARES 2024-14, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Claudio Lissona & Lorenzo Tonni, 2024. "Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy," Papers 2410.05082, arXiv.org.
- Matteo Barigozzi, 2023. "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers 2307.09864, arXiv.org, revised Jun 2024.
- Emilija Dzuverovic & Matteo Barigozzi, 2023. "Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices," Papers 2305.08488, arXiv.org, revised Jul 2024.
- 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 & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Papers
2310.17278, arXiv.org, revised Jan 2024.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Filippo Pellegrino, 2023. "Multidimensional dynamic factor models," Papers 2301.12499, arXiv.org.
- Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Jun 2024.
- 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.
- Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco, 2022. "Factor Network Autoregressions," Papers 2208.02925, arXiv.org, revised Feb 2024.
- 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.
- 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).
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021.
"Inference in heavy-tailed non-stationary multivariate time series,"
Papers
2107.13894, arXiv.org.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2024. "Inference in Heavy-Tailed Nonstationary Multivariate Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 565-581, January.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020. "Determining the rank of cointegration with infinite variance," Discussion Papers 20/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- 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.
- Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models," Papers 1910.09841, arXiv.org.
- 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).
- 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 Sep 2024.
- Matteo Barigozzi & Matteo Luciani, 2024. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Finance and Economics Discussion Series 2024-086, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- 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.).
- 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.
- 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.
- 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 & 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.
- 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.
- 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.).
- 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.
- 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.
- 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.
- 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.
- Mercedes Campi & Marco Duenas & Matteo Barigozzi & Giorgio Fagiolo, 2016. "Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ?," LEM Papers Series 2016/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- 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.).
- 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.
- 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.
- 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.
- 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.
- 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.).
- 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.
- 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, 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.
- 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.
- 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.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2011. "Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model," European Economy - Economic Papers 2008 - 2015 441, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Matteo Barigozzi & Alessio Moneta, 2011. "The Rank of a System of Engel Curves. How Many Common Factors?," Papers on Economics and Evolution 2011-01, Philipps University Marburg, Department of Geography.
- 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.
- Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Matteo Barigozzi & Antonio Conti, 2010. "On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis," Working Papers ECARES ECARES 2010-022, ULB -- Universite Libre de Bruxelles.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.
- 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.
- 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.
- Matteo Barigozzi & Giorgio Fagiolo & Diego Garlaschelli, 2009.
"Multinetwork of international trade: A commodity-specific analysis,"
Papers
0908.1879, arXiv.org, revised Jun 2010.
- 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.
- 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 & 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.
- 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.
- 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.
- 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.
- 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.
Articles
- Matteo Barigozzi & Matteo Farnè, 2024. "An Algebraic Estimator for Large Spectral Density Matrices," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 498-510, January.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2024.
"Inference in Heavy-Tailed Nonstationary Multivariate Time Series,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 565-581, January.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
- Matteo Barigozzi & Haeran Cho & Dom Owens, 2024. "FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 890-902, July.
- Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024.
"Inferential theory for generalized dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 239(2).
- 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.
- Matteo Barigozzi & Matteo Luciani, 2023. "Measuring the Output Gap using Large Datasets," The Review of Economics and Statistics, MIT Press, vol. 105(6), pages 1500-1514, November.
- 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.
- 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).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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 & 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.
- 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 & 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.
- 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.
- 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.
- 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 & 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.
- 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 & 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.
- 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 & 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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 & 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.
- 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.
- 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 & 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.
- Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2010. "Improved penalization for determining the number of factors in approximate factor models," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1806-1813, December.
- 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.
- 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.
- 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.
- 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.
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This author is among the top 5% authors according to these criteria:- Number of Abstract Views in RePEc Services over the past 12 months
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 55 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (33) 2007-10-06 2007-11-10 2009-12-11 2009-12-11 2010-08-14 2013-10-11 2014-03-30 2014-12-19 2015-06-27 2015-10-25 2016-04-09 2016-04-16 2017-02-26 2017-08-13 2017-11-26 2018-07-09 2018-12-03 2019-02-18 2019-05-27 2019-10-14 2019-10-28 2021-07-19 2021-08-16 2021-09-13 2022-09-12 2022-11-14 2022-11-28 2023-02-27 2023-04-17 2023-06-19 2023-08-28 2023-11-20 2024-09-02. Author is listed
- NEP-ETS: Econometric Time Series (32) 2007-10-06 2009-12-11 2009-12-11 2013-10-11 2013-10-18 2014-03-08 2014-03-30 2014-12-19 2015-06-27 2016-04-04 2016-04-09 2016-04-16 2016-04-16 2017-11-26 2018-07-09 2018-12-03 2018-12-24 2019-02-18 2019-05-27 2019-10-14 2019-10-28 2021-07-19 2021-08-16 2021-09-13 2022-11-14 2022-11-28 2023-02-27 2023-04-17 2023-06-19 2023-08-28 2023-11-20 2024-09-02. Author is listed
- NEP-NET: Network Economics (12) 2009-09-05 2009-09-26 2010-09-25 2013-10-11 2013-10-18 2015-10-25 2016-04-09 2016-04-16 2017-05-21 2019-07-15 2019-07-15 2022-09-12. Author is listed
- NEP-INT: International Trade (7) 2009-09-05 2009-09-26 2010-09-25 2016-07-09 2017-05-21 2019-07-15 2020-03-23. Author is listed
- NEP-MAC: Macroeconomics (7) 2010-06-18 2014-03-30 2016-04-04 2016-04-09 2016-04-16 2017-11-26 2020-06-29. Author is listed
- NEP-EEC: European Economics (5) 2010-06-18 2011-04-02 2013-04-27 2017-03-26 2024-10-28. Author is listed
- NEP-MON: Monetary Economics (5) 2010-06-18 2011-04-02 2013-04-27 2020-06-29 2024-10-28. Author is listed
- NEP-CBA: Central Banking (4) 2010-06-18 2011-04-02 2013-04-27 2024-10-28
- NEP-FOR: Forecasting (4) 2009-12-11 2014-03-08 2015-06-27 2022-09-12
- NEP-ORE: Operations Research (4) 2009-12-11 2013-10-11 2013-10-18 2019-07-15
- NEP-KNM: Knowledge Management and Knowledge Economy (3) 2016-07-09 2018-07-09 2020-03-23
- NEP-RMG: Risk Management (3) 2010-08-14 2014-03-08 2019-02-18
- NEP-CSE: Economics of Strategic Management (2) 2016-07-09 2020-03-23
- NEP-IPR: Intellectual Property Rights (2) 2016-07-09 2020-03-23
- NEP-ISF: Islamic Finance (2) 2021-08-16 2021-09-13
- NEP-AGR: Agricultural Economics (1) 2012-09-30
- NEP-BAN: Banking (1) 2014-03-08
- NEP-COM: Industrial Competition (1) 2020-03-23
- NEP-CWA: Central and Western Asia (1) 2021-06-21
- NEP-DES: Economic Design (1) 2023-04-17
- NEP-FMK: Financial Markets (1) 2014-12-19
- NEP-IFN: International Finance (1) 2018-03-26
- NEP-MIG: Economics of Human Migration (1) 2009-07-03
- NEP-SBM: Small Business Management (1) 2021-06-21
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