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 0 96 1 2 21 267
A Robust Criterion for Determining the Number of Factors in Approximate Factor Models 0 0 0 103 0 0 17 315
A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models 0 0 1 64 0 0 13 240
A network analysis of the volatility of high-dimensionalfinancial series 1 1 1 23 1 2 19 105
A review of nonfundamentalness and identification in structural VAR models 1 1 3 186 3 3 17 631
A robust criterion for determining the number of static factors in approximate factor models 0 0 0 133 0 0 18 463
Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models 0 0 0 13 0 2 11 30
Common Factors, Trends, and Cycles in Large Datasets 0 0 2 90 1 4 25 132
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 0 91 1 2 15 39
Determining the rank of cointegration with infinite variance 0 0 0 14 1 1 10 39
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures 0 0 0 72 1 3 24 158
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 0 58 1 2 13 183
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? 0 0 0 4 1 1 17 127
Do Euro area countries respond asymmetrically to the common monetary policy? 0 0 0 21 0 1 29 172
Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ? 0 0 0 65 0 2 9 171
Do National Account Statistics Underestimate US Real Output Growth? 0 0 0 3 1 1 6 19
Dynamic Factor Models, Cointegration and Error Correction Mechanisms 0 0 0 167 0 2 13 238
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms 0 0 0 55 0 2 11 127
Dynamic Factor Models: a Genealogy 0 0 1 31 2 3 11 53
Dynamic Factor Models: a Genealogy 0 0 1 9 0 1 25 49
Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors 0 0 0 88 1 1 11 258
Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering 0 0 3 12 0 1 31 49
Factor Network Autoregressions 0 2 13 219 1 9 75 226
Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility 0 0 0 39 1 2 9 111
Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks 0 1 1 141 1 3 20 186
Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals 0 0 1 29 0 1 15 77
Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals 0 0 0 3 0 1 13 62
Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting 0 0 0 163 0 0 11 185
Generalized dynamic factor models and volatilities estimation and forecasting 0 0 0 8 1 3 12 47
Generalized dynamic factor models and volatilities: recovering the market volatility shocks 0 0 1 12 0 1 14 71
Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices 0 0 0 22 0 2 15 60
Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models 0 0 0 32 0 1 13 92
Identification of global and local shocks in international financial markets via general dynamic factor models 0 0 1 44 1 1 15 120
Identifying the Community Structure of the International-Trade Multi Network 0 0 1 99 0 1 11 232
Identifying the Independent Sources of Consumption Variation 0 0 0 24 0 1 15 128
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 0 0 6 7
Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure 0 0 0 31 0 0 19 243
Inference in heavy-tailed non-stationary multivariate time series 0 0 1 81 0 0 20 202
Inferential Theory for Generalized Dynamic Factor Models 0 0 2 80 0 1 23 203
Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions 0 0 0 39 0 0 14 62
Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy 0 2 6 24 1 6 38 62
Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter 0 0 7 7 0 2 8 8
Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model 0 0 0 97 0 1 19 248
Measuring the Euro Area Output Gap 0 0 1 7 0 1 17 22
Measuring the Euro Area Output Gap 0 0 2 7 1 5 28 56
Modelling Large Dimensional Datasets with Markov Switching Factor Models 0 0 0 73 1 4 20 63
Multidimensional dynamic factor models 0 0 0 29 1 3 12 28
Multinetwork of international trade: A commodity-specific analysis 0 0 0 65 0 3 14 199
Nets: Network Estimation for Time Series 0 0 1 579 1 5 22 1,321
Nets: Network estimation for time series 1 1 2 85 1 2 17 226
Nets: network estimation for time series 0 1 3 40 0 3 22 112
Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series 0 0 1 74 0 0 22 144
Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series 0 0 1 55 1 2 15 112
Non-Stationary Dynamic Factor Models for Large Datasets 0 0 0 132 0 1 17 237
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 1 1 10 247
On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis 0 0 0 133 0 1 26 353
On the Stability of Euro Area Money Demand and its Implications for Monetary Policy 0 0 0 91 1 1 20 220
On the distributional properties of household consumption expenditures. The case of Italy 0 0 0 52 0 0 4 216
On the stability of euro area money demand and its implications for monetary policy 0 0 1 9 0 1 23 57
Principal Component Analysis for High-Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and Identification 0 1 2 75 0 2 18 50
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm 0 1 2 4 2 4 26 41
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm 0 0 0 64 0 3 24 133
Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review 0 0 2 81 0 2 25 58
Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models 0 0 0 29 0 3 15 82
Sequential testing for structural stability in approximate factor models 0 0 0 18 0 0 16 56
Sequential testing for structural stability in approximate factor models 0 0 0 49 0 3 13 76
Simultaneous multiple change-point and factor analysis for high-dimensional time series 0 0 0 17 1 2 17 56
Spatio-Temporal Patterns of the International Merger and Acquisition Network 0 0 0 37 0 2 12 66
Spatio-temporal patterns of the international merger and acquisition network 0 0 0 9 0 0 6 31
The Canonical Decomposition of Factor Models: Weak Factors are Everywhere 0 1 6 16 0 4 22 51
The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households 0 0 0 46 0 0 6 205
The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households 0 0 0 22 1 1 8 252
The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series 0 0 3 7 1 2 17 41
The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series 0 0 2 21 1 2 28 46
The Euro Area has a growth problem 0 0 0 6 0 0 6 14
The Multi-Network of International Trade: A Commodity-Specific Analysis 0 0 0 88 0 0 11 176
The Rank of a System of Engel Curves. How Many Common Factors? 0 0 0 13 0 1 11 77
The distribution of households consumption-expenditure budget shares 0 1 2 159 0 2 10 839
Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness 0 1 1 79 2 4 13 182
Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness 0 0 1 11 0 2 10 55
Time-varying general dynamic factor models and the measurement of financial connectedness 0 0 0 0 1 1 8 39
Total Working Papers 3 14 79 4,983 38 145 1,371 12,811

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 0 45 3 19 35 160
An Algebraic Estimator for Large Spectral Density Matrices 0 0 0 2 0 1 13 17
Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors 0 0 2 11 1 2 18 67
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures 0 0 0 18 1 2 14 138
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? 0 0 2 78 0 0 19 269
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series 0 0 0 1 1 5 22 28
Factor Network Autoregressions 0 0 1 1 0 1 10 10
Factor models and high-dimensional time series A tribute to Marco Lippi on the occasion of his 80th birthday 1 3 3 3 3 5 5 5
Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility 0 0 0 1 0 0 7 29
Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals 0 0 0 16 1 2 18 70
Generalized dynamic factor models and volatilities: estimation and forecasting 0 0 0 37 0 1 16 168
Generalized dynamic factor models and volatilities: recovering the market volatility shocks 0 0 0 15 0 0 6 68
Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models 0 0 0 17 0 1 23 79
Identifying the Independent Sources of Consumption Variation 0 0 0 3 0 1 9 53
Identifying the community structure of the international-trade multi-network 0 1 3 35 1 4 28 147
Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure 0 0 0 10 0 2 9 124
Improved penalization for determining the number of factors in approximate factor models 0 1 3 166 4 6 45 477
Inference in Heavy-Tailed Nonstationary Multivariate Time Series 0 0 1 2 0 2 17 18
Inferential theory for generalized dynamic factor models 1 1 2 6 2 4 21 38
Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions 0 0 1 14 0 0 14 83
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors 0 0 2 48 0 5 21 141
Measuring the Output Gap using Large Datasets 0 1 10 37 1 3 25 156
Measuring the euro area output gap 0 0 0 0 0 0 0 0
Modelling large dimensional datasets with Markov switching factor models 0 0 5 6 2 4 44 58
Moving Sum Procedure for Multiple Change Point Detection in Large Factor Models 0 0 1 1 0 3 7 7
NETS: Network estimation for time series 0 0 6 60 2 6 37 241
Non‐Fundamentalness in Structural Econometric Models: A Review 0 0 0 0 1 2 11 145
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 2 13 25
On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy 0 0 0 25 1 2 14 160
On the distributional properties of household consumption expenditures: the case of Italy 0 0 0 36 0 1 11 166
Sequential testing for structural stability in approximate factor models 0 0 0 2 1 1 12 30
Simultaneous multiple change-point and factor analysis for high-dimensional time series 0 0 1 6 0 1 23 111
Statistical inference for large-dimensional tensor factor model by iterative projections 0 2 3 3 0 2 6 6
Testing for Common Trends in Nonstationary Large Datasets 0 0 2 6 1 1 9 26
The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series 0 1 3 3 0 2 17 17
The common component of firm growth 0 0 1 25 1 1 15 128
The distribution of household consumption-expenditure budget shares 1 1 1 52 1 2 23 228
Time-varying general dynamic factor models and the measurement of financial connectedness 0 1 2 23 3 4 42 101
Total Journal Articles 3 12 55 816 32 100 679 3,794

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 1 1 5 5
Total Chapters 0 0 0 0 1 1 5 5

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