Matteo Barigozzi

Available identifiers

zbMath Open barigozzi.matteoMaRDI QIDQ613165

List of research outcomes

Publication	Date of Publication	Type
An Algebraic Estimator for Large Spectral Density Matrices	2024-03-19	Paper
Inference in Heavy-Tailed Nonstationary Multivariate Time Series	2024-03-19	Paper
Inferential theory for generalized dynamic factor models	2024-03-06	Paper
Generalized dynamic factor models and volatilities: recovering the market volatility shocks	2022-08-02	Paper
Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors	2021-03-24	Paper
Time-varying general dynamic factor models and the measurement of financial connectedness	2021-03-24	Paper
https://portal.mardi4nfdi.de/entity/Q5149188	2021-02-06	Paper
https://portal.mardi4nfdi.de/entity/Q5149189	2021-02-06	Paper
https://portal.mardi4nfdi.de/entity/Q5149190	2021-02-06	Paper
Consistent estimation of high-dimensional factor models when the factor number is over-estimated	2020-08-17	Paper
Sequential testing for structural stability in approximate factor models	2020-06-09	Paper
Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals	2020-03-20	Paper
Power-law partial correlation network models	2018-09-24	Paper
Simultaneous multiple change-point and factor analysis for high-dimensional time series	2018-08-29	Paper
Generalized dynamic factor models and volatilities: estimation and forecasting	2017-11-07	Paper
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures	2014-08-06	Paper
Improved penalization for determining the number of factors in approximate factor models	2010-12-20	Paper
ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS	2009-06-30	Paper

Research outcomes over time

Doctoral students

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