Barigozzi, Matteo; Cavaliere, Giuseppe; Moramarco, Graziano, Factor Network Autoregressions, «JOURNAL OF BUSINESS & ECONOMIC STATISTICS», in corso di stampa, -, pp. 1 - 28 [Scientific article]
Barigozzi, Matteo; La Vecchia, Davide; Liu, Hang, General spatio-temporal factor models for high-dimensional random fields on a lattice, «ANNALS OF STATISTICS», 2025, 53, pp. 268 - 294 [Scientific article]
Barigozzi, Matteo; Massacci, Daniele, Modelling large dimensional datasets with Markov switching factor models, «JOURNAL OF ECONOMETRICS», 2025, 247, Article number: 105919 , pp. 1 - 23 [Scientific article]
Barigozzi, Matteo; Hallin, Marc, Dynamic Factor Models: A Genealogy, in: Partial Identification in Econometrics and Related Topics. Studies in Systems, Decision and Control, Cham, Springer, 2024, pp. 3 - 24 (STUDIES IN SYSTEMS, DECISION AND CONTROL) [Chapter or essay]
Barigozzi, Matteo; Cho, Haeran; Owens, Dom, FNETS: Factor-adjusted network estimation and forecasting for high-dimensional time series, «JOURNAL OF BUSINESS & ECONOMIC STATISTICS», 2024, 42, pp. 890 - 902 [Scientific article]Open Access
Barigozzi, Matteo; Cuzzola, Angelo; Grazzi, Marco; Moschella, Daniele, Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility, «OXFORD BULLETIN OF ECONOMICS AND STATISTICS», 2024, online first, pp. 1 - 30 [Scientific article]Open Access
Barigozzi, Matteo; Cavaliere, Giuseppe; Trapani, Lorenzo, Inference in heavy-tailed non-stationary multivariate time series, «JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION», 2024, 119, pp. 565 - 581 [Scientific article]Open Access
Barigozzi, Matteo, Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models, in: Oxford Encyclopedia of Economics and Finance, New York, Oxford University Press, 2024, pp. 1 - 41 [Dictionary or encyclopedia entry]
Barigozzi, Matteo; Hallin, Marc; Luciani, Matteo; Zaffaroni, Paolo, Inferential theory for generalized dynamic factor models, «JOURNAL OF ECONOMETRICS», 2023, on line first, Article number: 105422 , pp. 1 - 41 [Scientific article]Open Access
Barigozzi, Matteo; Luciani, Matteo, Measuring the Output Gap using Large Datasets, «THE REVIEW OF ECONOMICS AND STATISTICS», 2023, 105, pp. 1500 - 1514 [Scientific article]Open Access
Owens, Dom; Cho, Haeran; Barigozzi, Matteo, fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling, «THE R JOURNAL», 2023, 15, pp. 214 - 239 [Scientific article]
Barigozzi, Matteo; Farne, Matteo, An algebraic estimator for large spectral density matrices, «JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION», 2022, 119, pp. 498 - 510 [Scientific article]Open Access
Barigozzi M.; Trapani L., Testing for Common Trends in Nonstationary Large Datasets, «JOURNAL OF BUSINESS & ECONOMIC STATISTICS», 2022, 40, pp. 1107 - 1122 [Scientific article]Open Access
Matteo Barigozzi; Marco Lippi; Matteo Luciani, Large-Dimensional Dynamic Factor Models: Estimation of Impulse-Response Functions with I(1) Cointegrated Factors, «JOURNAL OF ECONOMETRICS», 2021, 221, pp. 455 - 482 [Scientific article]Open Access
Matteo Barigozzi; Marc Hallin; Stefano Soccorsi; Rainer von Sachs, Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness, «JOURNAL OF ECONOMETRICS», 2021, 222, pp. 324 - 343 [Scientific article]Open Access
