The following pages link to Matteo Barigozzi (Q613165):
Displaying 16 items.
- Improved penalization for determining the number of factors in approximate factor models (Q613167) (← links)
- Simultaneous multiple change-point and factor analysis for high-dimensional time series (Q1668579) (← links)
- Generalized dynamic factor models and volatilities: estimation and forecasting (Q1676377) (← links)
- Power-law partial correlation network models (Q1786580) (← links)
- Sequential testing for structural stability in approximate factor models (Q2186663) (← links)
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated (Q2192324) (← links)
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals (Q2305972) (← links)
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures (Q2511805) (← links)
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors (Q2658756) (← links)
- Time-varying general dynamic factor models and the measurement of financial connectedness (Q2658788) (← links)
- ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS (Q3636536) (← links)
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks (Q5093930) (← links)
- (Q5149188) (← links)
- (Q5149189) (← links)
- (Q5149190) (← links)
- Inferential theory for generalized dynamic factor models (Q6150524) (← links)
