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Generalized dynamic factor models and volatilities: Estimation and forecasting
with Marc Hallin
Journal of Econometrics , forthcoming
abstract
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A network analysis of the volatility of high-dimensional financial series
with Marc Hallin
Journal of the Royal Statistical Society - series C, forthcoming
abstract,
codes
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Identifying the independent sources of consumption variation
with Alessio Moneta
Journal of Applied Econometrics, 2016, 31, 420–449
abstract,
complementary appendix,
codes
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Generalized dynamic factor models and volatilities: Recovering the market volatility shocks
with Marc Hallin
The Econometrics Journal, 2016, 19, C33–C60
abstract
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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
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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
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The common component of firm growth
with Lucia Alessi and Marco Capasso
Structural Change and Economic Dynamics, 2013, 26, 73–82
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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
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Identifying the community structure of the international trade multi network
with Giorgio Fagiolo and Giuseppe Mangioni
Physica A, 2011, 390, 2051–2066
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Non–fundamentalness in structural econometric models: A review
with Lucia Alessi and Marco Capasso
International Statistical Review, 2011, 79, 16–47
abstract
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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
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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
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The multi–network of international trade: A commodity–specific analysis
with Giorgio Fagiolo and Diego Garlaschelli
Physical Review E, 2010, 81, 046104
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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
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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
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