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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 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
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