Matteo Barigozzi
Zitiert von
Zitiert von
Improved penalization for determining the number of factors in approximate factor models
L Alessi, M Barigozzi, M Capasso
Statistics & probability letters 80 (23-24), 1806-1813, 2010
Multinetwork of international trade: A commodity-specific analysis
M Barigozzi, G Fagiolo, D Garlaschelli
Physical Review E 81 (4), 046104, 2010
Nets: Network estimation for time series
M Barigozzi, C Brownlees
Journal of Applied Econometrics 34 (3), 347-364, 2019
Identifying the community structure of the international-trade multi-network
M Barigozzi, G Fagiolo, G Mangioni
Physica A: statistical mechanics and its applications, 2011
Non‐Fundamentalness in Structural Econometric Models: A Review
L Alessi, M Barigozzi, M Capasso
International statistical review 79 (1), 16-47, 2011
Do euro area countries respond asymmetrically to the common monetary policy?
M Barigozzi, AM Conti, M Luciani
Oxford bulletin of economics and statistics 76 (5), 693-714, 2014
Simultaneous multiple change-point and factor analysis for high-dimensional time series
M Barigozzi, H Cho, P Fryzlewicz
Journal of Econometrics 206 (1), 187-225, 2018
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I (1) cointegrated factors
M Barigozzi, M Lippi, M Luciani
Journal of Econometrics 221 (2), 455-482, 2021
Generalized dynamic factor models and volatilities: recovering the market volatility shocks
M Barigozzi, M Hallin
The Econometrics Journal 19 (1), C33-C60, 2016
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
M Barigozzi, C Brownlees, GM Gallo, D Veredas
Journal of econometrics 182 (2), 364-384, 2014
Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
L Alessi, M Barigozzi, M Capasso
Working Paper Series, 2009
A network analysis of the volatility of high dimensional financial series
M Barigozzi, M Hallin
Journal of the Royal Statistical Society: Series C (Applied Statistics) 66 …, 2017
Cointegration and error correction mechanisms for singular stochastic vectors
M Barigozzi, M Lippi, M Luciani
Econometrics 8 (1), 3, 2020
The distribution of household consumption-expenditure budget shares
M Barigozzi, L Alessi, M Capasso, G Fagiolo
Structural Change and Economic Dynamics 23 (1), 69-91, 2012
Generalized dynamic factor models and volatilities: estimation and forecasting
M Barigozzi, M Hallin
Journal of Econometrics 201 (2), 307-321, 2017
Time-varying general dynamic factor models and the measurement of financial connectedness
M Barigozzi, M Hallin, S Soccorsi, R von Sachs
Journal of Econometrics 222 (1), 324-343, 2021
Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm
M Barigozzi, M Luciani
arXiv preprint arXiv:1910.03821, 2019
On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters
M Capasso, L Alessi, M Barigozzi, G Fagiolo
Advances in Complex Systems 12 (02), 157-167, 2009
Spatio-temporal patterns of the international merger and acquisition network
M Dueñas, R Mastrandrea, M Barigozzi, G Fagiolo
Scientific reports 7 (1), 1-14, 2017
On the distributional properties of household consumption expenditures: The case of Italy
G Fagiolo, L Alessi, M Barigozzi, M Capasso
Empirical Economics 38 (3), 717-741, 2010
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