Matteo Barigozzi
Names
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Matteo |
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Barigozzi |
Identifer
Contact
Affiliations
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Alma Mater Studiorum - Università di Bologna
/ Dipartimento di Scienze Economiche (weight: 80%)
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Centre de Recherche en Économie et Statistique (CREST) (weight: 20%)
Research profile
author of:
- Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness (RePEc:aiz:louvad:2019024)
by Barigozzi, M. & Hallin, M. & Soccorsi, S. & Von Sachs, R. - Time-varying general dynamic factor models and the measurement of financial connectedness (RePEc:aiz:louvar:2020015)
by Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer - Multinetwork of international trade: A commodity-specific analysis (RePEc:arx:papers:0908.1879)
by Matteo Barigozzi & Giorgio Fagiolo & Diego Garlaschelli - Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series (RePEc:arx:papers:1510.05118)
by Matteo Barigozzi & Marc Hallin - Sequential testing for structural stability in approximate factor models (RePEc:arx:papers:1708.02786)
by Matteo Barigozzi & Lorenzo Trapani - Determining the dimension of factor structures in non-stationary large datasets (RePEc:arx:papers:1806.03647)
by Matteo Barigozzi & Lorenzo Trapani - Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals (RePEc:arx:papers:1811.10045)
by Matteo Barigozzi & Marc Hallin - Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm (RePEc:arx:papers:1910.03821)
by Matteo Barigozzi & Matteo Luciani - Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models (RePEc:arx:papers:1910.09841)
by Matteo Barigozzi & Matteo Luciani - Inference in heavy-tailed non-stationary multivariate time series (RePEc:arx:papers:2107.13894)
by Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani - Factor Network Autoregressions (RePEc:arx:papers:2208.02925)
by Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco - Modelling Large Dimensional Datasets with Markov Switching Factor Models (RePEc:arx:papers:2210.09828)
by Matteo Barigozzi & Daniele Massacci - On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis (RePEc:arx:papers:2211.01921)
by Matteo Barigozzi - Multidimensional dynamic factor models (RePEc:arx:papers:2301.12499)
by Matteo Barigozzi & Filippo Pellegrino - Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review (RePEc:arx:papers:2303.11777)
by Matteo Barigozzi - Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices (RePEc:arx:papers:2305.08488)
by Emilija Dzuverovic & Matteo Barigozzi - Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models (RePEc:arx:papers:2307.09864)
by Matteo Barigozzi - Dynamic Factor Models: a Genealogy (RePEc:arx:papers:2310.17278)
by Matteo Barigozzi & Marc Hallin - The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series (RePEc:arx:papers:2407.10653)
by Matteo Barigozzi & Marc Hallin - Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy (RePEc:arx:papers:2410.05082)
by Matteo Barigozzi & Claudio Lissona & Lorenzo Tonni - Nets: Network Estimation for Time Series (RePEc:bge:wpaper:723)
by Matteo Barigozzi & Christian Brownlees - Non‐Fundamentalness in Structural Econometric Models: A Review (RePEc:bla:istatr:v:79:y:2011:i:1:p:16-47)
by Lucia Alessi & Matteo Barigozzi & Marco Capasso - A network analysis of the volatility of high dimensional financial series (RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605)
by Matteo Barigozzi & Marc Hallin - Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? (RePEc:bla:obuest:v:76:y:2014:i:5:p:693-714)
by Matteo Barigozzi & Antonio M. Conti & Matteo Luciani - On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy (RePEc:bla:obuest:v:80:y:2018:i:4:p:755-787)
by Matteo Barigozzi & Antonio M. Conti - Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure (RePEc:eca:wpaper:2009_019)
by Matteo Barigozzi & Biagio Speciale - A Robust Criterion for Determining the Number of Factors in Approximate Factor Models (RePEc:eca:wpaper:2009_023)
by Lucia Alessi & Matteo Barigozzi & Marco Capasso - Dynamic Factor Models, Cointegration and Error Correction Mechanisms (RePEc:eca:wpaper:2013/157568)
by Matteo Barigozzi & Marco Lippi & Matteo Luciani - Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks (RePEc:eca:wpaper:2013/177444)
by Matteo Barigozzi & Marc Hallin - Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting (RePEc:eca:wpaper:2013/200436)
by Matteo Barigozzi & Marc Hallin - Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series (RePEc:eca:wpaper:2013/218748)
by Matteo Barigozzi & Marc Hallin - Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models (RePEc:eca:wpaper:2013/248676)
by Matteo Barigozzi & Marc Hallin & Stefano Soccorsi - Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals (RePEc:eca:wpaper:2013/278905)
by Matteo Barigozzi & Marc Hallin - Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness (RePEc:eca:wpaper:2013/283963)
by Matteo Barigozzi & Marc Hallin & Stefano Soccorsi - Inferential Theory for Generalized Dynamic Factor Models (RePEc:eca:wpaper:2013/331192)
by Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni - Dynamic Factor Models: a Genealogy (RePEc:eca:wpaper:2013/364359)
by Matteo Barigozzi & Marc Hallin - The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series (RePEc:eca:wpaper:2013/377116)
by Matteo Barigozzi & Marc Hallin - On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis (RePEc:eca:wpaper:2013/57649)
by Matteo Barigozzi & Antonio Conti - A robust criterion for determining the number of static factors in approximate factor models (RePEc:ecb:ecbwps:2008903)
by Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco - A review of nonfundamentalness and identification in structural VAR models (RePEc:ecb:ecbwps:2008922)
by Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco - The distribution of households consumption-expenditure budget shares (RePEc:ecb:ecbwps:20091061)
by Barigozzi, Matteo & Alessi, Lucia & Capasso, Marco & Fagiolo, Giorgio - Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors (RePEc:ecb:ecbwps:20091115)
by Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco - Disentangling systematic and idiosyncratic dynamics in panels of volatility measures (RePEc:eee:econom:v:182:y:2014:i:2:p:364-384)
by Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David - Generalized dynamic factor models and volatilities: estimation and forecasting (RePEc:eee:econom:v:201:y:2017:i:2:p:307-321)
by Barigozzi, Matteo & Hallin, Marc - Simultaneous multiple change-point and factor analysis for high-dimensional time series (RePEc:eee:econom:v:206:y:2018:i:1:p:187-225)
by Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr - Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals (RePEc:eee:econom:v:216:y:2020:i:1:p:4-34)
by Barigozzi, Matteo & Hallin, Marc - Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors (RePEc:eee:econom:v:221:y:2021:i:2:p:455-482)
by Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo - Time-varying general dynamic factor models and the measurement of financial connectedness (RePEc:eee:econom:v:222:y:2021:i:1:p:324-343)
by Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer - Inferential theory for generalized dynamic factor models (RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000593)
by Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo - Identifying the community structure of the international-trade multi-network (RePEc:eee:phsmap:v:390:y:2011:i:11:p:2051-2066)
by Barigozzi, Matteo & Fagiolo, Giorgio & Mangioni, Giuseppe - Sequential testing for structural stability in approximate factor models (RePEc:eee:spapps:v:130:y:2020:i:8:p:5149-5187)
by Barigozzi, Matteo & Trapani, Lorenzo - Improved penalization for determining the number of factors in approximate factor models (RePEc:eee:stapro:v:80:y:2010:i:23-24:p:1806-1813)
by Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco - The distribution of household consumption-expenditure budget shares (RePEc:eee:streco:v:23:y:2012:i:1:p:69-91)
by Barigozzi, Matteo & Alessi, Lucia & Capasso, Marco & Fagiolo, Giorgio - The common component of firm growth (RePEc:eee:streco:v:26:y:2013:i:c:p:73-82)
by Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco - Do Euro area countries respond asymmetrically to the common monetary policy? (RePEc:ehl:lserod:43344)
by Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo - Identifying the independent sources of consumption variation (RePEc:ehl:lserod:60979)
by Barigozzi, Matteo & Moneta, Alessio - Generalized dynamic factor models and volatilities: recovering the market volatility shocks (RePEc:ehl:lserod:60980)
by Barigozzi, Matteo & Hallin, Mark - Generalized dynamic factor models and volatilities estimation and forecasting (RePEc:ehl:lserod:67455)
by Barigozzi, Matteo & Hallin, Marc - A network analysis of the volatility of high-dimensionalfinancial series (RePEc:ehl:lserod:67456)
by Barigozzi, Matteo & Hallin, Marc - Spatio-temporal patterns of the international merger and acquisition network (RePEc:ehl:lserod:84092)
by Dueñas, Marco & Mastrandrea, Rossana & Barigozzi, Matteo & Fagiolo, Giorgio - Identification of global and local shocks in international financial markets via general dynamic factor models (RePEc:ehl:lserod:86932)
by Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano - On the stability of euro area money demand and its implications for monetary policy (RePEc:ehl:lserod:87283)
by Barigozzi, Matteo - Simultaneous multiple change-point and factor analysis for high-dimensional time series (RePEc:ehl:lserod:88110)
by Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr - Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions (RePEc:ehl:lserod:90203)
by Campi, Mercedes & Dueñas, Marco & Barigozzi, Matteo & Fagiolo, Giorgio - Nets: network estimation for time series (RePEc:ehl:lserod:90493)
by Barigozzi, Matteo & Brownlees, Christian T. - The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households (RePEc:esi:evopap:2008-09)
by Matteo Barigozzi & Lucia Alessi & Marco Capasso & Giorgio Fagiolo - The Rank of a System of Engel Curves. How Many Common Factors? (RePEc:esi:evopap:2011-01)
by Matteo Barigozzi & Alessio Moneta - Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model (RePEc:euf:ecopap:0441)
by Matteo Barigozzi & Antonio M. Conti & Matteo Luciani - Dynamic Factor Models, Cointegration, and Error Correction Mechanisms (RePEc:fip:fedgfe:2016-18)
by Matteo Barigozzi & Marco Lippi & Matteo Luciani - Non-Stationary Dynamic Factor Models for Large Datasets (RePEc:fip:fedgfe:2016-24)
by Matteo Barigozzi & Marco Lippi & Matteo Luciani - Common Factors, Trends, and Cycles in Large Datasets (RePEc:fip:fedgfe:2017-111)
by Matteo Barigozzi & Matteo Luciani - Do National Account Statistics Underestimate US Real Output Growth? (RePEc:fip:fedgfn:2018-01-09-1)
by Matteo Barigozzi & Matteo Luciani - Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets (RePEc:fir:econom:wp2010_06)
by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas - Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures (RePEc:fir:econom:wp2014_02)
by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas - Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors (RePEc:gam:jecnmx:v:8:y:2020:i:1:p:3-:d:316273)
by Matteo Barigozzi & Marco Lippi & Matteo Luciani - Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure (RePEc:hal:journl:hal-04514056)
by Matteo Barigozzi & Biagio Speciale - Determining the dimension of factor structures in non-stationary large datasets (RePEc:not:notgts:18/01)
by Matteo Barigozzi & Lorenzo Trapani - Sequential testing for structural stability in approximate factor models (RePEc:not:notgts:18/04)
by Matteo Barigozzi & Lorenzo Trapani - Determining the rank of cointegration with infinite variance (RePEc:not:notgts:20/01)
by Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani - Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models (RePEc:oup:jfinec:v:17:y:2019:i:3:p:462-494.)
by Matteo Barigozzi & Marc Hallin & Stefano Soccorsi - On the distributional properties of household consumption expenditures: the case of Italy (RePEc:spr:empeco:v:38:y:2010:i:3:p:717-741)
by Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso - A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models (RePEc:ssa:lemwps:2007/19)
by Lucia Alessi & Matteo Barigozzi & Marco Capasso - A Review of Nonfundamentalness and Identification in Structural VAR Models (RePEc:ssa:lemwps:2007/22)
by Lucia Alessi & Matteo Barigozzi & Marco Capasso - On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters (RePEc:ssa:lemwps:2007/23)
by Marco Capasso & Lucia Alessi & Matteo Barigozzi & Giorgio Fagiolo - On the distributional properties of household consumption expenditures. The case of Italy (RePEc:ssa:lemwps:2007/24)
by Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso - The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households (RePEc:ssa:lemwps:2008/18)
by Matteo Barigozzi & Lucia Alessi & Marco Capasso & Giorgio Fagiolo - The Multi-Network of International Trade: A Commodity-Specific Analysis (RePEc:ssa:lemwps:2009/09)
by Matteo Barigozzi & Giorgio Fagiolo & Diego Garlaschelli - Identifying the Community Structure of the International-Trade Multi Network (RePEc:ssa:lemwps:2010/15)
by Matteo Barigozzi & Giorgio Fagiolo & Giuseppe Mangioni - Identifying the Independent Sources of Consumption Variation (RePEc:ssa:lemwps:2012/16)
by Matteo Barigozzi & Alessio Moneta - On the Stability of Euro Area Money Demand and its Implications for Monetary Policy (RePEc:ssa:lemwps:2013/11)
by Matteo Barigozzi & Antonio Conti - Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ? (RePEc:ssa:lemwps:2016/28)
by Mercedes Campi & Marco Duenas & Matteo Barigozzi & Giorgio Fagiolo - Spatio-Temporal Patterns of the International Merger and Acquisition Network (RePEc:ssa:lemwps:2017/13)
by Marcos Duenas & Rossana Mastrandrea & Matteo Barigozzi & Giorgio Fagiolo - Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility (RePEc:ssa:lemwps:2021/22)
by Matteo Barigozzi & Angelo Cuzzola & Marco Grazzi & Daniele Moschella - Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure (RePEc:taf:apeclt:v:18:y:2011:i:14:p:1341-1347)
by Matteo Barigozzi & Biagio Speciale - Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions (RePEc:taf:jitecd:v:28:y:2019:i:2:p:230-256)
by Mercedes Campi & Marco Dueñas & Matteo Barigozzi & Giorgio Fagiolo - An Algebraic Estimator for Large Spectral Density Matrices (RePEc:taf:jnlasa:v:119:y:2024:i:545:p:498-510)
by Matteo Barigozzi & Matteo Farnè - Inference in Heavy-Tailed Nonstationary Multivariate Time Series (RePEc:taf:jnlasa:v:119:y:2024:i:545:p:565-581)
by Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani - Testing for Common Trends in Nonstationary Large Datasets (RePEc:taf:jnlbes:v:40:y:2022:i:3:p:1107-1122)
by Matteo Barigozzi & Lorenzo Trapani - FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series (RePEc:taf:jnlbes:v:42:y:2024:i:3:p:890-902)
by Matteo Barigozzi & Haeran Cho & Dom Owens - Measuring the Output Gap using Large Datasets (RePEc:tpr:restat:v:105:y:2023:i:6:p:1500-1514)
by Matteo Barigozzi & Matteo Luciani - Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? (RePEc:ulb:ulbeco:2013/153330)
by Matteo Luciani & Antoniomaria Conti & Matteo Barigozzi - Nets: Network estimation for time series (RePEc:upf:upfgen:1391)
by Matteo Barigozzi & Christian T. Brownlees - Generalized dynamic factor models and volatilities: recovering the market volatility shocks (RePEc:wly:emjrnl:v:19:y:2016:i:1:p:c33-c60)
by Matteo Barigozzi & Marc Hallin - Identifying the Independent Sources of Consumption Variation (RePEc:wly:japmet:v:31:y:2016:i:2:p:420-449)
by Matteo Barigozzi & Alessio Moneta - NETS: Network estimation for time series (RePEc:wly:japmet:v:34:y:2019:i:3:p:347-364)
by Matteo Barigozzi & Christian Brownlees - On Approximating The Distributions Of Goodness-Of-Fit Test Statistics Based On The Empirical Distribution Function: The Case Of Unknown Parameters (RePEc:wsi:acsxxx:v:12:y:2009:i:02:n:s0219525909002131)
by Marco Capasso & Lucia Alessi & Matteo Barigozzi & Giorgio Fagiolo