Matteo Barigozzi
Università degli Studi di Bologna
H-index: 21
Europe-Italy
Top articles of Matteo Barigozzi
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models | arXiv preprint arXiv:2307.09864 | Matteo Barigozzi | 2023/7/19 |
fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling | arXiv preprint arXiv:2301.11675 | Dom Owens Haeran Cho Matteo Barigozzi | 2023/1/27 |
Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices | arXiv preprint arXiv:2305.08488 | Emilija Dzuverovic Matteo Barigozzi | 2023/5/15 |
Robust estimation of large factor models for tensor-valued time series | arXiv preprint arXiv:2303.18163 | Matteo Barigozzi Yong He Lingxiao Li Lorenzo Trapani | 2023/3/31 |
General Spatio-Temporal Factor Models for High-Dimensional Random Fields on a Lattice | arXiv preprint arXiv:2312.02591 | Matteo Barigozzi Davide La Vecchia Hang Liu | 2023/12/5 |
Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review | arXiv preprint arXiv:2303.11777 | Matteo Barigozzi | 2023/3/21 |
Dynamic Factor Models: a Genealogy | arXiv preprint arXiv:2310.17278 | Matteo Barigozzi Marc Hallin | 2023/10/26 |
Inferential theory for generalized dynamic factor models | Journal of Econometrics | Matteo Barigozzi Marc Hallin Matteo Luciani Paolo Zaffaroni | 2023/3/13 |
FNETS: Factor-adjusted network estimation and forecasting for high-dimensional time series | Journal of Business & Economic Statistics | Matteo Barigozzi Haeran Cho Dom Owens | 2023/10/3 |
Multidimensional dynamic factor models | arXiv preprint arXiv:2301.12499 | Matteo Barigozzi Filippo Pellegrino | 2023/1/29 |
Factor Network Autoregressions | arXiv preprint arXiv:2208.02925 | Matteo Barigozzi Giuseppe Cavaliere Graziano Moramarco | 2022/8/4 |
Testing for common trends in nonstationary large datasets | Journal of Business & Economic Statistics | Matteo Barigozzi Lorenzo Trapani | 2022/6/16 |
On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis | arXiv preprint arXiv:2211.01921 | Matteo Barigozzi | 2022/11/3 |
Statistical Inference for Large-dimensional Tensor Factor Model by Iterative Projections | arXiv preprint arXiv:2206.09800 | Yong He Lingxiao Li Lorenzo Trapani | 2022/6 |
Modelling Large Dimensional Datasets with Markov Switching Factor Models | arXiv preprint arXiv:2210.09828 | Matteo Barigozzi Daniele Massacci | 2022/10/18 |
Inference in heavy-tailed non-stationary multivariate time series | Journal of the American Statistical Association | Matteo Barigozzi Giuseppe Cavaliere Lorenzo Trapani | 2022/9/26 |
An algebraic estimator for large spectral density matrices | Journal of the American Statistical Association | Matteo Barigozzi Matteo Farnè | 2024/1/2 |
Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility | Matteo Barigozzi Angelo Cuzzola Marco Grazzi Daniele Moschella | 2021 | |
Time-varying general dynamic factor models and the measurement of financial connectedness | Journal of Econometrics | Matteo Barigozzi Marc Hallin Stefano Soccorsi Rainer von Sachs | 2021/5/1 |
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors | Journal of Econometrics | Matteo Barigozzi Marco Lippi Matteo Luciani | 2021/4/1 |
Co-Authors
