Barigozzi, Matteo

Item Type Year Departments File available

Article

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, 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

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

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

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

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

Conference or Workshop Item

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.

Online resource

Barigozzi, Matteo (2013). There is a significant divide in how countries of the Eurozone’s north and south react to changes in monetary policy.

Working paper

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, 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.

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.

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.

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).