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Publications

IN JOURNALS

  1. Spatio-temporal patterns of the international merger and acquisition network
    with Marco Dueñas, Rossana Mastrandrea, and Giorgio Fagiolo
    Scientific Reports , forthcoming

  2. Generalized dynamic factor models and volatilities: Estimation and forecasting
    with Marc Hallin
    Journal of Econometrics , 2017, forthcoming
    abstract

  3. A network analysis of the volatility of high-dimensional financial series
    with Marc Hallin
    Journal of the Royal Statistical Society - series C, 2017, 66(3), 581–605
    abstract, codes

  4. Identifying the independent sources of consumption variation
    with Alessio Moneta
    Journal of Applied Econometrics, 2016, 31, 420–449
    abstract, complementary appendix, codes

  5. Generalized dynamic factor models and volatilities: Recovering the market volatility shocks
    with Marc Hallin
    The Econometrics Journal, 2016, 19, C33–C60
    abstract

  6. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
    with Christian Brownlees, Giampiero Gallo, and David Veredas
    Journal of Econometrics, 2014, 182, 364–384
    abstract, extended version

  7. Do euro area countries respond asymmetrically to the common monetary policy?
    with Antonio Conti and Matteo Luciani
    Oxford Bulletin of Economics and Statistics, 2014, 76, 693–714
    abstract, complementary appendix, codes

  8. The common component of firm growth
    with Lucia Alessi and Marco Capasso
    Structural Change and Economic Dynamics, 2013, 26, 73–82

  9. The distribution of household consumption-expenditure budget shares
    with Lucia Alessi, Marco Capasso, and Giorgio Fagiolo
    Structural Change and Economic Dynamics, 2012, 23, 69–91

  10. Identifying the community structure of the international trade multi network
    with Giorgio Fagiolo and Giuseppe Mangioni
    Physica A, 2011, 390, 2051–2066

  11. Non–fundamentalness in structural econometric models: A review
    with Lucia Alessi and Marco Capasso
    International Statistical Review, 2011, 79, 16–47
    abstract

  12. Immigrant's legal status, permanence in the destination country, and the distribution of consumption expenditure
    with Biagio Speciale
    Applied Economics Letters, 2011, 18, 1341–1347

  13. Improved penalization for determining the number of factors in approximate static factor models
    with Lucia Alessi and Marco Capasso
    Statistics and Probability Letters, 2010, 80, 1806–1813
    abstract, codes

  14. The multi–network of international trade: A commodity–specific analysis
    with Giorgio Fagiolo and Diego Garlaschelli
    Physical Review E, 2010, 81, 046104

  15. On the distributional properties of household consumption expenditures. The case of Italy
    with Lucia Alessi, Marco Capasso, and Giorgio Fagiolo
    Empirical Economics, 2010, 38, 717–741

  16. On approximating the distributions of goodness–of–fit test statistics based on the empirical distribution function. The case of unknown parameters
    with Lucia Alessi, Marco Capasso, and Giorgio Fagiolo
    Advances in Complex Systems, 2009, 12, 157–167


IN CONFERENCE PROCEEDINGS

  1. Community structure in the multi–network of international trade
    with Giorgio Fagiolo, Giuseppe Mangioni
    in Complex Networks. Communications in Computer and Information Science, 2011, 116, 163–175
    Springer, Berlin Heidelberg

  2. Dynamic factor models for forecasting and structural identification
    in Mathematisches Forschunginstitut Oberwolfach (MFO) Reports, 2010, 7(1), 179–216
    European Mathematical Society