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 10 17 260
A Robust Criterion for Determining the Number of Factors in Approximate Factor Models 0 0 0 103 0 1 7 305
A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models 0 0 1 64 0 3 11 235
A network analysis of the volatility of high-dimensionalfinancial series 0 0 0 22 0 6 11 94
A review of nonfundamentalness and identification in structural VAR models 1 1 1 184 2 5 11 622
A robust criterion for determining the number of static factors in approximate factor models 0 0 1 133 0 9 15 456
Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models 0 0 0 13 0 5 6 25
Common Factors, Trends, and Cycles in Large Datasets 0 1 3 90 2 9 19 124
Determining the dimension of factor structures in non-stationary large datasets 0 0 1 91 1 5 12 33
Determining the dimension of factor structures in non-stationary large datasets 0 0 0 34 2 3 5 40
Determining the rank of cointegration with infinite variance 0 0 0 14 1 3 6 34
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures 0 0 0 72 0 8 12 144
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 0 58 1 5 7 177
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? 0 0 0 4 2 4 9 119
Do Euro area countries respond asymmetrically to the common monetary policy? 0 0 0 21 9 18 24 167
Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ? 0 0 0 65 0 3 5 167
Do National Account Statistics Underestimate US Real Output Growth? 0 0 0 3 0 1 3 16
Dynamic Factor Models, Cointegration and Error Correction Mechanisms 0 0 0 167 2 7 10 235
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms 0 0 0 55 1 4 7 123
Dynamic Factor Models: a Genealogy 0 1 1 31 2 5 8 48
Dynamic Factor Models: a Genealogy 0 1 2 9 3 12 21 41
Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors 0 0 1 88 0 7 12 257
Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering 0 0 11 11 1 11 31 40
Factor Network Autoregressions 0 3 21 215 6 33 79 202
Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility 0 0 0 39 1 3 4 105
Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks 0 0 1 140 1 7 16 179
Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals 0 0 1 29 3 10 15 75
Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals 0 0 0 3 2 4 9 57
Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting 0 0 0 163 1 4 6 179
Generalized dynamic factor models and volatilities estimation and forecasting 0 0 0 8 2 6 10 42
Generalized dynamic factor models and volatilities: recovering the market volatility shocks 0 0 0 11 0 4 10 67
Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices 0 0 0 22 2 8 14 54
Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models 0 0 1 32 1 7 11 87
Identification of global and local shocks in international financial markets via general dynamic factor models 0 0 0 43 3 8 9 114
Identifying the Community Structure of the International-Trade Multi Network 0 1 1 99 0 6 7 227
Identifying the Independent Sources of Consumption Variation 0 0 0 24 2 7 8 121
Identifying the independent sources of consumption variation 0 0 0 15 0 4 6 35
Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure 0 0 0 0 0 4 6 6
Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure 0 0 0 31 5 14 18 241
Inference in heavy-tailed non-stationary multivariate time series 0 0 2 80 2 7 26 196
Inferential Theory for Generalized Dynamic Factor Models 1 1 2 79 2 5 16 192
Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions 0 0 0 39 2 7 9 56
Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy 0 1 9 22 0 10 33 44
Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter 7 7 7 7 2 3 3 3
Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model 0 0 0 97 0 8 11 240
Measuring the Euro Area Output Gap 0 2 3 7 2 10 24 41
Measuring the Euro Area Output Gap 0 0 7 7 2 9 16 16
Modelling Large Dimensional Datasets with Markov Switching Factor Models 0 0 3 73 0 7 15 53
Multidimensional dynamic factor models 0 0 0 29 1 2 2 18
Multinetwork of international trade: A commodity-specific analysis 0 0 0 65 1 7 11 194
Nets: Network Estimation for Time Series 0 1 1 579 3 9 15 1,308
Nets: Network estimation for time series 0 0 0 83 0 6 10 219
Nets: network estimation for time series 0 0 1 37 2 7 12 101
Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series 0 0 0 54 0 6 11 106
Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series 0 0 1 73 2 13 21 138
Non-Stationary Dynamic Factor Models for Large Datasets 0 0 0 132 2 6 15 230
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 7 242
On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis 0 0 0 133 4 20 22 349
On the Stability of Euro Area Money Demand and its Implications for Monetary Policy 0 0 0 91 3 16 18 218
On the distributional properties of household consumption expenditures. The case of Italy 0 0 0 52 0 4 5 216
On the stability of euro area money demand and its implications for monetary policy 0 0 1 9 0 14 18 52
Principal Component Analysis for High-Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and Identification 0 0 1 74 0 3 10 40
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm 0 1 2 3 2 14 29 32
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm 0 0 2 64 0 11 18 123
Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review 0 0 5 80 0 6 21 47
Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models 0 0 0 29 0 3 5 72
Sequential testing for structural stability in approximate factor models 0 0 0 18 0 4 9 49
Sequential testing for structural stability in approximate factor models 0 0 0 49 0 6 10 70
Simultaneous multiple change-point and factor analysis for high-dimensional time series 0 0 0 17 0 3 10 49
Spatio-Temporal Patterns of the International Merger and Acquisition Network 0 0 0 37 0 3 5 59
Spatio-temporal patterns of the international merger and acquisition network 0 0 0 9 0 4 4 29
The Canonical Decomposition of Factor Models: Weak Factors are Everywhere 0 0 3 10 2 6 15 35
The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households 0 0 0 22 0 4 5 248
The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households 0 0 0 46 1 3 6 203
The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series 1 2 3 6 6 10 18 35
The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series 0 0 2 19 4 13 25 37
The Euro Area has a growth problem 0 0 0 6 1 5 9 14
The Multi-Network of International Trade: A Commodity-Specific Analysis 0 0 1 88 0 5 7 171
The Rank of a System of Engel Curves. How Many Common Factors? 0 0 0 13 4 5 8 74
The distribution of households consumption-expenditure budget shares 0 0 0 157 0 4 7 833
Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness 0 0 0 10 0 2 9 50
Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness 0 0 1 78 0 1 13 173
Time-varying general dynamic factor models and the measurement of financial connectedness 0 0 0 0 0 2 4 35
Total Working Papers 10 23 105 4,945 109 569 1,064 12,263

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 0 6 18 137
An Algebraic Estimator for Large Spectral Density Matrices 0 0 0 2 4 7 9 13
Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors 0 0 2 11 0 9 13 61
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures 0 0 0 18 0 6 10 133
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? 0 1 3 78 0 7 16 263
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series 0 0 0 1 1 8 9 14
Factor Network Autoregressions 0 0 0 0 1 4 4 4
Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility 0 0 1 1 0 2 6 26
Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals 0 0 0 16 2 5 11 59
Generalized dynamic factor models and volatilities: estimation and forecasting 0 0 1 37 3 6 14 162
Generalized dynamic factor models and volatilities: recovering the market volatility shocks 0 0 2 15 0 3 8 66
Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models 0 0 0 17 7 11 13 69
Identifying the Independent Sources of Consumption Variation 0 0 0 3 0 5 11 51
Identifying the community structure of the international-trade multi-network 0 2 4 34 2 12 24 138
Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure 0 0 0 10 0 7 7 122
Improved penalization for determining the number of factors in approximate factor models 0 1 8 164 0 14 37 460
Inference in Heavy-Tailed Nonstationary Multivariate Time Series 1 1 1 2 2 9 10 11
Inferential theory for generalized dynamic factor models 0 0 2 4 1 10 15 28
Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions 0 0 0 13 0 7 12 77
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors 0 1 3 47 2 5 18 129
Measuring the Output Gap using Large Datasets 0 2 15 33 0 4 28 144
Modelling large dimensional datasets with Markov switching factor models 1 2 3 3 6 17 27 37
NETS: Network estimation for time series 0 3 7 57 1 9 30 224
Non‐Fundamentalness in Structural Econometric Models: A Review 0 0 0 0 1 3 10 143
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 0 6 8 19
On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy 0 0 1 25 1 6 10 154
On the distributional properties of household consumption expenditures: the case of Italy 0 0 0 36 1 3 9 160
Sequential testing for structural stability in approximate factor models 0 0 1 2 0 5 8 25
Simultaneous multiple change-point and factor analysis for high-dimensional time series 0 0 1 5 1 11 18 104
Testing for Common Trends in Nonstationary Large Datasets 0 1 2 6 1 5 6 23
The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series 1 1 1 1 2 9 9 9
The common component of firm growth 0 0 1 25 2 7 9 121
The distribution of household consumption-expenditure budget shares 0 0 0 51 2 15 21 224
Time-varying general dynamic factor models and the measurement of financial connectedness 0 0 2 21 3 16 31 84
Total Journal Articles 3 15 63 785 46 259 489 3,494

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 0 0 0
Total Chapters 0 0 0 0 0 0 0 0

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