Barigozzi, Matteo; Massacci, Daniele, Modelling large dimensional datasets with Markov switching factor models, «JOURNAL OF ECONOMETRICS», 2025, 247, Article number: 105919, pp. 1 - 23 [articolo]
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) [capitolo di libro]
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 [articolo]Open Access
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 [articolo]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 [articolo]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 [voce di enciclopedia/dizionario]
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 [articolo]
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 [articolo]
Barigozzi, Matteo; Luciani, Matteo, Measuring the Output Gap using Large Datasets, «THE REVIEW OF ECONOMICS AND STATISTICS», 2023, 105, pp. 1500 - 1514 [articolo]Open Access
Barigozzi, Matteo; Farne, Matteo, An algebraic estimator for large spectral density matrices, «JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION», 2022, 119, pp. 498 - 510 [articolo]Open Access
Barigozzi M.; Trapani L., Testing for Common Trends in Nonstationary Large Datasets, «JOURNAL OF BUSINESS & ECONOMIC STATISTICS», 2022, 40, pp. 1107 - 1122 [articolo]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 [articolo]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 [articolo]Open Access
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo, Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors, «ECONOMETRICS», 2020, 8, Article number: 3, pp. 1 - 23 [articolo]Open Access
Barigozzi, Matteo; Cho, Haeran, Consistent estimation of high-dimensional factor models when the factor number is over-estimated, «ELECTRONIC JOURNAL OF STATISTICS», 2020, 14, pp. 2892 - 2921 [articolo]Open Access
