Items where Author is "Barigozzi, Matteo"

Barigozzi, Matteo, Hallin, Marc and Soccorsi, Stefano (2019) Identification of global and local shocks in international financial markets via general dynamic factor models. Journal of Financial Econometrics, 17 (3). 462–494. ISSN 1479-8409

Barigozzi, Matteo and Brownlees, Christian T. (2018) Nets: network estimation for time series. Journal of Applied Econometrics. ISSN 1099-1255

Barigozzi, Matteo, Brownlees, Christian and Lugosi, Gabor (2018) On the consequences of power-law behavior in partial correlation network models. Electronic Journal of Statistics, 12 (2). pp. 2905-2929. ISSN 1935-7524

Campi, Mercedes, Dueñas, Marco, Barigozzi, Matteo and Fagiolo, Giorgio (2018) Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions. Journal of International Trade and Economic Development, 28 (2). pp. 230-256. ISSN 0963-8199

Barigozzi, Matteo, Cho, Haeran and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2018) Simultaneous multiple change-point and factor analysis for high-dimensional time series. Journal of Econometrics, 206 (1). pp. 187-225. ISSN 0304-4076

Barigozzi, Matteo (2018) On the stability of euro area money demand and its implications for monetary policy. Oxford Bulletin of Economics and Statistics, 80 (4). pp. 755-787. ISSN 0305-9049

Dueñas, Marco, Mastrandrea, Rossana, Barigozzi, Matteo and Fagiolo, Giorgio (2017) Spatio-temporal patterns of the international merger and acquisition network. Scientific Reports, 7 (10789). ISSN 2045-2322

Barigozzi, Matteo and Hallin, Marc (2017) Generalized dynamic factor models and volatilities estimation and forecasting. Journal of Econometrics, 201 (2). pp. 307-321. ISSN 0304-4076

Barigozzi, Matteo and Hallin, Marc (2017) A network analysis of the volatility of high-dimensionalfinancial series. Journal of the Royal Statistical Society. Series C: Applied Statistics. ISSN 0035-9254

Barigozzi, Matteo and Moneta, Alessio (2016) Identifying the independent sources of consumption variation. Journal of Applied Economics, 31 (2). pp. 420-449. ISSN 1514-0326

Barigozzi, Matteo and Hallin, Mark (2015) Generalized dynamic factor models and volatilities: recovering the market volatility shocks. Econometrics Journal, 19 (1). C33-C60. ISSN 1368-4221

Barigozzi, Matteo, Gallo, Giampiero M., Brownlees, Christian T. and Veredas, David (2014) Disentangling systematic and idiosyncratic dynamics in panels of volatility measures. Journal of Econometrics, 182 (2). pp. 364-384. ISSN 0304-4076

Barigozzi, Matteo (2013) There is a significant divide in how countries of the Eurozone’s north and south react to changes in monetary policy. LSE European Politics and Policy (EUROPP) Blog (30 Jul 2013). Website.

Barigozzi, Matteo, Conti, Antonio M. and Luciani, Matteo (2013) Do Euro area countries respond asymmetrically to the common monetary policy? Oxford Bulletin of Economics and Statistics, 76 (5). pp. 693-714. ISSN 0305-9049

Alessi, Lucia, Barigozzi, Matteo and Capasso, Marco (2013) The common component of firm growth. Structural Change and Economic Dynamics, 26. pp. 73-82. ISSN 0954-349X

Barigozzi, Matteo and Conti, Antonio (2012) Understanding Euro area money demand. . The Authors. (Submitted)

Barigozzi, Matteo, Halbleib-Chiriac, Roxana and Veredas, David (2012) Which model to match? Working paper (4). European Center for Advanced Research in Economics and Statistics, Bruxelles, Belgium.

Barigozzi, Matteo, Conti, Antonio and Luciani, Matteo (2012) Do Euro area countries respond asymmetrically to the common monetary policy? . The Authors. (Submitted)

Barigozzi, Matteo, Alessi, Lucia, Capasso, Marco and Fagiolo, Giorgio (2012) The distribution of household consumption-expenditure budget shares. Structural Change and Economic Dynamics, 23 (1). pp. 69-91. ISSN 0954-349X

Barigozzi, Matteo and Speciale, Biagio (2011) Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure. Applied Economics Letters, 18 (14). pp. 1341-1347. ISSN 1350-4851

Barigozzi, Matteo, Fagiolo, Giorgio and Mangioni, Giuseppe (2011) Identifying the community structure of the international-trade multi-network. Physica A: Statistical Mechanics and Its Applications, 390 (11). pp. 2051-2066. ISSN 0378-4371

Alessi, Lucia, Barigozzi, Matteo and Capasso, Marco (2011) Nonfundamentalness in structural econometric models: a review. International Statistical Review, 79 (1). pp. 16-47. ISSN 0306-7734

Barigozzi, Matteo and Moneta, Alessio (2011) The rank of a system of Engel curves: how many common factors? Papers on economics and evolution (1101). Max Planck Institute of Economics, Jena, Germany.

Alessi, Lucia, Barigozzi, Matteo and Capasso, Marco (2010) Improved penalization for determining the number of factors in approximate factor models. Statistics and Probability Letters, 80 (23-24). pp. 1806-1813. ISSN 0167-7152

Barigozzi, Matteo, Fagiolo, Giorgio and Mangioni, Giuseppe (2010) Identifying the community structure of the international-trade multi network. LEM working paper series (2010/15). Sant'Anna School of Advanced Studies, Pisa, Italy.

Barigozzi, Matteo, Brownlees, Christian T., Gallo, Giampiero M. and Veredas, David (2010) Disentangling systematic and idiosyncratic risk for large panels of assets. ECARES working paper (2010‐019). Université Libre de Bruxelles, Brussels, Belgium.

Fagiolo, Giorgio, Alessi, Lucia, Barigozzi, Matteo and Capasso, Marco (2010) On distributional properties of household consumption expenditures: the case of Italy. Empirical Economics, 38 (3). pp. 717-741. ISSN 0377-7332

Barigozzi, Matteo, Fagiolo, Giorgio and Garlaschelli, Diego (2010) Multinetwork of international trade: a commodity-specific analysis. Physical Review E, 81 (4). pp. 1-23. ISSN 2470-0045

Barigozzi, Matteo (2010) Dynamic factor models for forecasting and structural identification. In: Mini-workshop: semiparametric modelling of multivariate economic time series with chaning dynamics, 2010-01-17 - 2010-01-23.

Barigozzi, Matteo and Conti, Antonio M. (2010) On the sources of Euro area money demand stability: a time-varying cointegration analysis. ECARES working paper (2010‐022). Université Libre de Bruxelles, Brussels, Belgium.

Alessi, Lucia, Barigozzi, Matteo and Capasso, Marco (2009) Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors. European Central Bank working paper series. European Central Bank, Frankfurt, Germany.

Barigozzi, Matteo, Alessi, Lucia, Capasso, Marco and Fagiolo, Giorgio (2009) The distribution of consumption-expenditure budget shares: evidence from Italian households. European Central Bank working paper series (1061). European Central Bank, Frankfurt, Germany.

Capasso, Marco, Alessi, Lucia, Barigozzi, Matteo and Fagiolo, Giorgio (2009) On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: the case of unknown parameters. Advances in Complex Systems, 12 (2). pp. 157-167. ISSN 0219-5259

Alessi, Lucia, Barigozzi, Matteo and Capasso, Marco (2007) Generalized dynamic factor model + GARCH: exploiting multivariant information for univariate prediction. LEM working paper series (2006/13). Laboratory of Economics and Management (LEM), Pisa, Italy.