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  1. NETS: Network estimation for time series
    with Christian Brownlees
    Journal of Applied Econometrics, 2019, available online
    abstract, codes, complementary appendix

  2. Power-law partial correlation network models
    with Christian Brownlees, and Gábor Lugosi
    Electronic Journal of Statistics, 2018, 12, 2905-2929

  3. Simultaneous multiple change-point and factor analysis for high-dimensional time series
    with Haeran Cho, and Piotr Fryzlewicz
    Journal of Econometrics, 2018, 206, 187-225
    abstract, codes, complementary appendix

  4. On the stability of euro area money demand and its implications for monetary policy
    with Antonio Conti
    Oxford Bulletin of Economics and Statistics, 2018, 80, 755-787
    abstract, complementary appendix

  5. Identification of global and local shocks in international financial markets via general dynamic factor models
    with Marc Hallin and Stefano Soccorsi
    Journal of Financial Econometrics, 2018, available online
    abstract, codes

  6. Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions
    with Mercedes Campi, Marco Dueñas, and Giorgio Fagiolo
    The Journal of International Trade & Economic Development , 2018, available online

  7. Spatio-temporal patterns of the international merger and acquisition network
    with Marco Dueñas, Rossana Mastrandrea, and Giorgio Fagiolo
    Scientific Reports , 2017, 7, 10789

  8. Generalized dynamic factor models and volatilities: Estimation and forecasting
    with Marc Hallin
    Journal of Econometrics , 2017, 201, 307–321
    abstract, codes

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

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

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

  12. 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

  13. 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

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

  15. 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

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

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

  18. 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

  19. 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

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

  21. 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

  22. 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


  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