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 5 21 264
A Robust Criterion for Determining the Number of Factors in Approximate Factor Models 0 0 0 103 3 9 16 314
A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models 0 0 1 64 3 3 13 238
A network analysis of the volatility of high-dimensionalfinancial series 0 0 0 22 5 7 17 101
A review of nonfundamentalness and identification in structural VAR models 0 1 1 184 3 6 14 626
A robust criterion for determining the number of static factors in approximate factor models 0 0 1 133 4 5 20 461
Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models 0 0 0 13 1 3 9 28
Common Factors, Trends, and Cycles in Large Datasets 0 0 3 90 2 5 22 127
Determining the dimension of factor structures in non-stationary large datasets 0 0 0 34 0 2 5 40
Determining the dimension of factor structures in non-stationary large datasets 0 0 1 91 1 4 15 36
Determining the rank of cointegration with infinite variance 0 0 0 14 2 5 10 38
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures 0 0 0 72 5 5 16 149
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 0 58 1 4 10 180
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? 0 0 0 4 5 8 15 125
Do Euro area countries respond asymmetrically to the common monetary policy? 0 0 0 21 3 13 28 171
Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions ? 0 0 0 65 1 2 7 169
Do National Account Statistics Underestimate US Real Output Growth? 0 0 0 3 2 2 5 18
Dynamic Factor Models, Cointegration and Error Correction Mechanisms 0 0 0 167 0 2 10 235
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms 0 0 0 55 1 2 8 124
Dynamic Factor Models: a Genealogy 0 0 1 31 1 4 9 50
Dynamic Factor Models: a Genealogy 0 0 2 9 4 8 25 46
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 0 2 11 1 7 32 46
Factor Network Autoregressions 0 0 16 215 5 16 79 212
Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility 0 0 0 39 2 4 6 108
Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks 0 0 0 140 2 5 19 183
Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals 0 0 1 29 0 4 16 76
Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals 0 0 0 3 2 4 11 59
Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting 0 0 0 163 4 6 11 184
Generalized dynamic factor models and volatilities estimation and forecasting 0 0 0 8 1 4 11 44
Generalized dynamic factor models and volatilities: recovering the market volatility shocks 0 0 0 11 1 2 12 69
Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices 0 0 0 22 2 4 14 56
Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models 0 0 1 32 2 4 14 90
Identification of global and local shocks in international financial markets via general dynamic factor models 0 1 1 44 3 8 14 119
Identifying the Community Structure of the International-Trade Multi Network 0 0 1 99 4 4 10 231
Identifying the Independent Sources of Consumption Variation 0 0 0 24 5 7 13 126
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 6
Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure 0 0 0 31 1 6 18 242
Inference in heavy-tailed non-stationary multivariate time series 1 1 2 81 4 7 30 201
Inferential Theory for Generalized Dynamic Factor Models 0 1 1 79 5 9 22 199
Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions 0 0 0 39 2 5 11 59
Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy 0 0 8 22 3 4 33 48
Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter 0 7 7 7 1 3 4 4
Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model 0 0 0 97 4 6 17 246
Measuring the Euro Area Output Gap 0 0 3 7 4 8 26 47
Measuring the Euro Area Output Gap 0 0 7 7 2 4 18 18
Modelling Large Dimensional Datasets with Markov Switching Factor Models 0 0 2 73 3 5 19 58
Multidimensional dynamic factor models 0 0 0 29 4 7 8 24
Multinetwork of international trade: A commodity-specific analysis 0 0 0 65 2 3 13 196
Nets: Network Estimation for Time Series 0 0 1 579 4 10 19 1,315
Nets: Network estimation for time series 0 0 0 83 1 4 14 223
Nets: network estimation for time series 0 1 1 38 2 6 15 105
Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series 0 1 1 55 2 4 15 110
Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series 1 1 2 74 3 6 24 142
Non-Stationary Dynamic Factor Models for Large Datasets 0 0 0 132 0 5 17 233
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 3 4 10 246
On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis 0 0 0 133 0 7 25 352
On the Stability of Euro Area Money Demand and its Implications for Monetary Policy 0 0 0 91 0 3 18 218
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 1 19 53
Principal Component Analysis for High-Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and Identification 0 0 1 74 3 5 14 45
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm 0 0 2 3 3 6 32 36
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm 0 0 1 64 4 5 22 128
Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review 0 1 4 81 2 8 26 55
Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models 0 0 0 29 2 6 11 78
Sequential testing for structural stability in approximate factor models 0 0 0 18 5 7 16 56
Sequential testing for structural stability in approximate factor models 0 0 0 49 2 2 12 72
Simultaneous multiple change-point and factor analysis for high-dimensional time series 0 0 0 17 4 5 15 54
Spatio-Temporal Patterns of the International Merger and Acquisition Network 0 0 0 37 4 5 10 64
Spatio-temporal patterns of the international merger and acquisition network 0 0 0 9 2 2 6 31
The Canonical Decomposition of Factor Models: Weak Factors are Everywhere 0 1 4 11 2 6 17 39
The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households 0 0 0 46 1 3 8 205
The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households 0 0 0 22 2 2 7 250
The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series 0 2 4 7 2 10 20 39
The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series 0 1 3 20 3 10 31 43
The Euro Area has a growth problem 0 0 0 6 0 1 9 14
The Multi-Network of International Trade: A Commodity-Specific Analysis 0 0 0 88 5 5 11 176
The Rank of a System of Engel Curves. How Many Common Factors? 0 0 0 13 2 6 10 76
The distribution of households consumption-expenditure budget shares 0 0 0 157 2 2 8 835
Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness 0 0 1 78 5 5 18 178
Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness 0 0 0 10 0 1 10 51
Time-varying general dynamic factor models and the measurement of financial connectedness 0 0 0 0 2 2 6 37
Total Working Papers 2 19 90 4,954 190 404 1,298 12,558

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 2 18 139
An Algebraic Estimator for Large Spectral Density Matrices 0 0 0 2 3 7 12 16
Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors 0 0 2 11 3 4 17 65
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures 0 0 0 18 1 2 12 135
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? 0 0 3 78 0 2 18 265
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series 0 0 0 1 2 6 14 19
Factor Network Autoregressions 0 0 0 0 3 5 8 8
Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility 0 0 1 1 1 2 7 28
Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals 0 0 0 16 6 11 20 68
Generalized dynamic factor models and volatilities: estimation and forecasting 0 0 1 37 2 8 19 167
Generalized dynamic factor models and volatilities: recovering the market volatility shocks 0 0 2 15 0 1 9 67
Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models 0 0 0 17 2 12 18 74
Identifying the Independent Sources of Consumption Variation 0 0 0 3 1 1 10 52
Identifying the community structure of the international-trade multi-network 0 0 4 34 2 6 27 142
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 1 8 165 7 9 45 469
Inference in Heavy-Tailed Nonstationary Multivariate Time Series 0 1 1 2 4 7 15 16
Inferential theory for generalized dynamic factor models 0 0 1 4 1 6 19 33
Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions 0 1 1 14 4 5 16 82
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors 0 1 3 48 0 6 20 133
Measuring the Output Gap using Large Datasets 1 2 14 35 3 6 29 150
Modelling large dimensional datasets with Markov switching factor models 0 1 2 3 4 17 36 48
Moving Sum Procedure for Multiple Change Point Detection in Large Factor Models 1 1 1 1 4 4 4 4
NETS: Network estimation for time series 0 1 7 58 4 9 36 232
Non‐Fundamentalness in Structural Econometric Models: A Review 0 0 0 0 0 1 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 0 1 9 20
On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy 0 0 1 25 1 3 12 156
On the distributional properties of household consumption expenditures: the case of Italy 0 0 0 36 4 6 14 165
Sequential testing for structural stability in approximate factor models 0 0 1 2 3 3 11 28
Simultaneous multiple change-point and factor analysis for high-dimensional time series 0 1 2 6 2 6 23 109
Testing for Common Trends in Nonstationary Large Datasets 0 0 2 6 1 2 7 24
The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series 0 2 2 2 1 6 13 13
The common component of firm growth 0 0 1 25 3 5 12 124
The distribution of household consumption-expenditure budget shares 0 0 0 51 2 4 23 226
Time-varying general dynamic factor models and the measurement of financial connectedness 0 0 2 21 5 10 38 91
Total Journal Articles 2 12 64 794 79 185 607 3,633

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 2 3 3 3
Total Chapters 0 0 0 0 2 3 3 3

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