Access Statistics for Matteo Barigozzi

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Review of Nonfundamentalness and Identification in Structural VAR Models 0 0 1 96 1 2 22 265
A Robust Criterion for Determining the Number of Factors in Approximate Factor Models 0 0 0 103 1 4 17 315
A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models 0 0 1 64 1 5 15 240
A network analysis of the volatility of high-dimensionalfinancial series 0 0 0 22 1 7 18 103
A review of nonfundamentalness and identification in structural VAR models 0 1 2 185 0 5 16 628
A robust criterion for determining the number of static factors in approximate factor models 0 0 0 133 0 6 20 463
Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models 0 0 0 13 0 1 9 28
Common Factors, Trends, and Cycles in Large Datasets 0 0 3 90 0 3 23 128
Determining the dimension of factor structures in non-stationary large datasets 0 0 0 34 0 0 5 40
Determining the dimension of factor structures in non-stationary large datasets 0 0 1 91 0 2 15 37
Determining the rank of cointegration with infinite variance 0 0 0 14 0 2 10 38
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures 0 0 0 72 2 11 22 155
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 0 58 0 2 11 181
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? 0 0 0 4 1 6 16 126
Do Euro area countries respond asymmetrically to the common monetary policy? 0 0 0 21 0 3 28 171
Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ? 0 0 0 65 0 1 7 169
Do National Account Statistics Underestimate US Real Output Growth? 0 0 0 3 0 2 5 18
Dynamic Factor Models, Cointegration and Error Correction Mechanisms 0 0 0 167 0 1 11 236
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms 0 0 0 55 0 2 9 125
Dynamic Factor Models: a Genealogy 0 0 1 31 0 1 9 50
Dynamic Factor Models: a Genealogy 0 0 1 9 1 6 26 48
Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors 0 0 1 88 0 0 12 257
Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering 0 1 3 12 0 3 33 48
Factor Network Autoregressions 1 2 13 217 2 10 76 217
Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility 0 0 0 39 1 3 7 109
Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks 0 0 0 140 0 2 19 183
Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals 0 0 1 29 0 0 16 76
Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals 0 0 0 3 0 4 13 61
Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting 0 0 0 163 0 5 11 185
Generalized dynamic factor models and volatilities estimation and forecasting 0 0 0 8 0 1 11 44
Generalized dynamic factor models and volatilities: recovering the market volatility shocks 0 1 1 12 0 2 13 70
Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices 0 0 0 22 1 4 15 58
Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models 0 0 1 32 0 3 14 91
Identification of global and local shocks in international financial markets via general dynamic factor models 0 0 1 44 0 3 14 119
Identifying the Community Structure of the International-Trade Multi Network 0 0 1 99 0 4 10 231
Identifying the Independent Sources of Consumption Variation 0 0 0 24 1 6 14 127
Identifying the independent sources of consumption variation 0 0 0 15 0 0 4 35
Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure 0 0 0 0 1 1 7 7
Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure 0 0 0 31 0 2 19 243
Inference in heavy-tailed non-stationary multivariate time series 0 1 2 81 1 5 28 202
Inferential Theory for Generalized Dynamic Factor Models 0 1 2 80 0 8 24 202
Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions 0 0 0 39 0 5 14 62
Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy 0 0 7 22 3 11 36 56
Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter 0 0 7 7 1 3 6 6
Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model 0 0 0 97 1 5 18 247
Measuring the Euro Area Output Gap 0 0 7 7 3 5 21 21
Measuring the Euro Area Output Gap 0 0 3 7 2 8 29 51
Modelling Large Dimensional Datasets with Markov Switching Factor Models 0 0 2 73 0 4 19 59
Multidimensional dynamic factor models 0 0 0 29 1 5 9 25
Multinetwork of international trade: A commodity-specific analysis 0 0 0 65 0 2 13 196
Nets: Network Estimation for Time Series 0 0 1 579 1 5 18 1,316
Nets: Network estimation for time series 1 1 1 84 1 2 15 224
Nets: network estimation for time series 1 1 2 39 4 6 19 109
Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series 0 0 1 55 0 2 15 110
Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series 0 1 2 74 1 5 25 144
Non-Stationary Dynamic Factor Models for Large Datasets 0 0 0 132 2 3 19 236
On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters 0 0 0 60 0 3 10 246
On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis 0 0 0 133 0 0 25 352
On the Stability of Euro Area Money Demand and its Implications for Monetary Policy 0 0 0 91 1 1 19 219
On the distributional properties of household consumption expenditures. The case of Italy 0 0 0 52 0 0 5 216
On the stability of euro area money demand and its implications for monetary policy 0 0 1 9 1 4 22 56
Principal Component Analysis for High-Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and Identification 0 0 1 74 2 6 17 48
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm 0 0 1 64 1 6 22 130
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm 0 0 2 3 1 4 29 37
Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review 0 0 4 81 1 3 27 56
Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models 0 0 0 29 1 3 12 79
Sequential testing for structural stability in approximate factor models 0 0 0 49 0 3 12 73
Sequential testing for structural stability in approximate factor models 0 0 0 18 0 5 16 56
Simultaneous multiple change-point and factor analysis for high-dimensional time series 0 0 0 17 0 4 15 54
Spatio-Temporal Patterns of the International Merger and Acquisition Network 0 0 0 37 0 4 10 64
Spatio-temporal patterns of the international merger and acquisition network 0 0 0 9 0 2 6 31
The Canonical Decomposition of Factor Models: Weak Factors are Everywhere 4 4 6 15 7 10 20 47
The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households 0 0 0 46 0 1 7 205
The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households 0 0 0 22 1 3 8 251
The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series 0 0 4 7 0 2 19 39
The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series 0 1 2 21 0 4 29 44
The Euro Area has a growth problem 0 0 0 6 0 0 8 14
The Multi-Network of International Trade: A Commodity-Specific Analysis 0 0 0 88 0 5 11 176
The Rank of a System of Engel Curves. How Many Common Factors? 0 0 0 13 0 2 10 76
The distribution of households consumption-expenditure budget shares 1 1 1 158 2 4 10 837
Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness 0 1 1 11 1 2 12 53
Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness 0 0 1 78 0 5 17 178
Time-varying general dynamic factor models and the measurement of financial connectedness 0 0 0 0 0 3 7 38
Total Working Papers 8 17 93 4,969 54 298 1,355 12,666

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A network analysis of the volatility of high dimensional financial series 0 0 2 45 1 2 19 141
An Algebraic Estimator for Large Spectral Density Matrices 0 0 0 2 0 3 12 16
Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors 0 0 2 11 0 3 16 65
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures 0 0 0 18 1 2 12 136
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? 0 0 2 78 1 4 19 269
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series 0 0 0 1 1 6 17 23
Factor Network Autoregressions 1 1 1 1 1 4 9 9
Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility 0 0 1 1 0 2 8 29
Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals 0 0 0 16 0 6 20 68
Generalized dynamic factor models and volatilities: estimation and forecasting 0 0 0 37 0 2 17 167
Generalized dynamic factor models and volatilities: recovering the market volatility shocks 0 0 1 15 0 1 9 68
Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models 0 0 0 17 3 6 22 78
Identifying the Independent Sources of Consumption Variation 0 0 0 3 0 1 10 52
Identifying the community structure of the international-trade multi-network 0 0 4 34 1 3 28 143
Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure 0 0 0 10 0 0 7 122
Improved penalization for determining the number of factors in approximate factor models 0 0 5 165 1 9 44 471
Inference in Heavy-Tailed Nonstationary Multivariate Time Series 0 0 1 2 0 4 15 16
Inferential theory for generalized dynamic factor models 1 1 1 5 1 2 18 34
Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions 0 0 1 14 0 5 16 83
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors 0 0 3 48 2 3 23 136
Measuring the Output Gap using Large Datasets 1 2 12 36 1 6 29 153
Modelling large dimensional datasets with Markov switching factor models 2 3 5 6 3 10 41 54
Moving Sum Procedure for Multiple Change Point Detection in Large Factor Models 0 1 1 1 0 4 4 4
NETS: Network estimation for time series 2 2 7 60 3 7 36 235
Non‐Fundamentalness in Structural Econometric Models: A Review 0 0 0 0 0 0 9 143
ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS 0 0 0 2 1 3 12 23
On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy 0 0 0 25 1 3 13 158
On the distributional properties of household consumption expenditures: the case of Italy 0 0 0 36 0 4 14 165
Sequential testing for structural stability in approximate factor models 0 0 1 2 0 4 12 29
Simultaneous multiple change-point and factor analysis for high-dimensional time series 0 0 2 6 0 3 24 110
Testing for Common Trends in Nonstationary Large Datasets 0 0 2 6 0 2 8 25
The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series 0 0 2 2 1 3 15 15
The common component of firm growth 0 0 1 25 1 6 15 127
The distribution of household consumption-expenditure budget shares 0 0 0 51 0 2 23 226
Time-varying general dynamic factor models and the measurement of financial connectedness 0 1 1 22 2 11 41 97
Total Journal Articles 7 11 58 803 26 136 637 3,690

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Marc Hallin: A Commented Bibliography (from 1972 to 2023) 0 0 0 0 0 3 4 4
Total Chapters 0 0 0 0 0 3 4 4

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