Barigozzi, Matteo

Number of items: 34.
LSE
  • Barigozzi, Matteo (2013). There is a significant divide in how countries of the Eurozone’s north and south react to changes in monetary policy.
  • Barigozzi, Matteo, Alessi, Lucia, Capasso, Marco, Fagiolo, Giorgio (2012). The distribution of household consumption-expenditure budget shares. Structural Change and Economic Dynamics, 23(1), 69-91. https://doi.org/10.1016/j.strueco.2011.09.003
    • Statistics
  • Barigozzi, Matteo, Hallin, Marc, Soccorsi, Stefano (2019). Identification of global and local shocks in international financial markets via general dynamic factor models. Journal of Financial Econometrics, 17(3), 462–494. https://doi.org/10.1093/jjfinec/nby006
  • Barigozzi, Matteo, Brownlees, Christian T. (2018). Nets: network estimation for time series. Journal of Applied Econometrics, https://doi.org/10.1002/jae.2676 picture_as_pdf
  • Barigozzi, Matteo, Brownlees, Christian, Lugosi, Gabor (2018). On the consequences of power-law behavior in partial correlation network models. Electronic Journal of Statistics, 12(2), 2905-2929. https://doi.org/10.1214/18-EJS1478
  • Campi, Mercedes, Dueñas, Marco, Barigozzi, Matteo, Fagiolo, Giorgio (2018). Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions. Journal of International Trade and Economic Development, 28(2), 230-256. https://doi.org/10.1080/09638199.2018.1518477
  • Barigozzi, Matteo, Cho, Haeran, Fryzlewicz, Piotr (2018). Simultaneous multiple change-point and factor analysis for high-dimensional time series. Journal of Econometrics, 206(1), 187-225. https://doi.org/10.1016/j.jeconom.2018.05.003
  • Barigozzi, Matteo (2018). On the stability of euro area money demand and its implications for monetary policy. Oxford Bulletin of Economics and Statistics, 80(4), 755-787. https://doi.org/10.1111/obes.12239
  • Dueñas, Marco, Mastrandrea, Rossana, Barigozzi, Matteo, Fagiolo, Giorgio (2017). Spatio-temporal patterns of the international merger and acquisition network. Scientific Reports, 7(10789). https://doi.org/10.1038/s41598-017-10779-z
  • Barigozzi, Matteo, Hallin, Marc (2017). Generalized dynamic factor models and volatilities estimation and forecasting. Journal of Econometrics, 201(2), 307-321. https://doi.org/10.1016/j.jeconom.2017.08.010
  • Barigozzi, Matteo, Hallin, Marc (2017). A network analysis of the volatility of high-dimensionalfinancial series. Journal of the Royal Statistical Society. Series C: Applied Statistics, https://doi.org/10.1111/rssc.12177
  • Barigozzi, Matteo, Moneta, Alessio (2016). Identifying the independent sources of consumption variation. Journal of Applied Economics, 31(2), 420-449. https://doi.org/10.1002/jae.2441
  • Barigozzi, Matteo, Hallin, Mark (2015). Generalized dynamic factor models and volatilities: recovering the market volatility shocks. Econometrics Journal, 19(1), C33-C60. https://doi.org/10.1111/ectj.12047
  • Barigozzi, Matteo, Gallo, Giampiero M., Brownlees, Christian T., Veredas, David (2014). Disentangling systematic and idiosyncratic dynamics in panels of volatility measures. Journal of Econometrics, 182(2), 364-384. https://doi.org/10.1016/j.jeconom.2014.05.017
  • Barigozzi, Matteo, Conti, Antonio M., Luciani, Matteo (2013). Do Euro area countries respond asymmetrically to the common monetary policy? Oxford Bulletin of Economics and Statistics, 76(5), 693-714. https://doi.org/10.1111/obes.12038
  • Alessi, Lucia, Barigozzi, Matteo, Capasso, Marco (2013). The common component of firm growth. Structural Change and Economic Dynamics, 26, 73-82. https://doi.org/10.1016/j.strueco.2012.11.002
  • Barigozzi, Matteo, Conti, Antonio (2012). Understanding Euro area money demand. The Authors.
  • Barigozzi, Matteo, Halbleib-Chiriac, Roxana, Veredas, David (2012). Which model to match? (Working paper 4). European Center for Advanced Research in Economics and Statistics.
  • Barigozzi, Matteo, Conti, Antonio, Luciani, Matteo (2012). Do Euro area countries respond asymmetrically to the common monetary policy? The Authors.
  • Barigozzi, Matteo, Speciale, Biagio (2011). Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure. Applied Economics Letters, 18(14), 1341-1347. https://doi.org/10.1080/13504851.2010.537618
  • Barigozzi, Matteo, Fagiolo, Giorgio, Mangioni, Giuseppe (2011). Identifying the community structure of the international-trade multi-network. Physica A: Statistical Mechanics and Its Applications, 390(11), 2051-2066. https://doi.org/10.1016/j.physa.2011.02.004
  • Alessi, Lucia, Barigozzi, Matteo, Capasso, Marco (2011). Nonfundamentalness in structural econometric models: a review. International Statistical Review, 79(1), 16-47. https://doi.org/10.1111/j.1751-5823.2011.00131.x
  • Barigozzi, Matteo, Moneta, Alessio (2011). The rank of a system of Engel curves: how many common factors? (Papers on economics and evolution 1101). Max Planck Institute of Economics.
  • Alessi, Lucia, Barigozzi, Matteo, Capasso, Marco (2010). Improved penalization for determining the number of factors in approximate factor models. Statistics and Probability Letters, 80(23-24), 1806-1813. https://doi.org/10.1016/j.spl.2010.08.005
  • Barigozzi, Matteo, Fagiolo, Giorgio, Mangioni, Giuseppe (2010). Identifying the community structure of the international-trade multi network. (LEM working paper series 2010/15). Sant'Anna School of Advanced Studies.
  • Barigozzi, Matteo, Brownlees, Christian T., Gallo, Giampiero M., Veredas, David (2010). Disentangling systematic and idiosyncratic risk for large panels of assets. (ECARES working paper 2010‐019). Université Libre de Bruxelles.
  • Fagiolo, Giorgio, Alessi, Lucia, Barigozzi, Matteo, Capasso, Marco (2010). On distributional properties of household consumption expenditures: the case of Italy. Empirical Economics, 38(3), 717-741. https://doi.org/10.1007/s00181-009-0287-5
  • Barigozzi, Matteo, Fagiolo, Giorgio, Garlaschelli, Diego (2010). Multinetwork of international trade: a commodity-specific analysis. Physical Review E, 81(4), 1-23. https://doi.org/10.1103/PhysRevE.81.046104
  • Barigozzi, Matteo (2010-01-17 - 2010-01-23) Dynamic factor models for forecasting and structural identification [Paper]. Mini-workshop: semiparametric modelling of multivariate economic time series with chaning dynamics.
  • Barigozzi, Matteo, Conti, Antonio M. (2010). On the sources of Euro area money demand stability: a time-varying cointegration analysis. (ECARES working paper 2010‐022). Université Libre de Bruxelles.
  • Alessi, Lucia, Barigozzi, Matteo, Capasso, Marco (2009). Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors. (European Central Bank working paper series). European Central Bank.
  • Barigozzi, Matteo, Alessi, Lucia, Capasso, Marco, Fagiolo, Giorgio (2009). The distribution of consumption-expenditure budget shares: evidence from Italian households. (European Central Bank working paper series 1061). European Central Bank.
  • Capasso, Marco, Alessi, Lucia, Barigozzi, Matteo, Fagiolo, Giorgio (2009). On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: the case of unknown parameters. Advances in Complex Systems, 12(2), 157-167. https://doi.org/10.1142/S0219525909002131
  • Alessi, Lucia, Barigozzi, Matteo, Capasso, Marco (2007). Generalized dynamic factor model + GARCH: exploiting multivariant information for univariate prediction. (LEM working paper series 2006/13). Laboratory of Economics and Management (LEM).