|
Tail-robust factor modelling of vector and tensor time series in high-dimensions
M. Barigozzi, H. Cho, H. Maeng
arXiv:2407.09390.v1
Jul 2024
The dynamic, the static, and the weak factors and the analysis of high-dimensional time series
M. Barigozzi, M. Hallin
arXiv:2407.10653.v1
Jul 2024
General spatio-temporal factor models for high-dimensional random fields on a lattice
M. Barigozzi, D. La Vecchia, H. Liu
arXiv:2312.02591.v1
Dec 2023
Asymptotic equivalence of principal component and quasi maximum likelihood estimators in large approximate factor models
M. Barigozzi
arXiv:2307.09864.v5
Jun 2024
Factor network autoregressions
M. Barigozzi, G. Cavaliere, G. Moramarco
arXiv:2208.02925.v3 Aug 2023
Statistical inference for large-dimensional tensor factor models by iterative projection
M. Barigozzi, Y. He, L. Li, L. Trapani
arXiv:2206.09800.v2 Apr 2023
Robust tensor factor analysis
M. Barigozzi, Y. He, L. Li, L. Trapani
arXiv:2303.18163.v2 Aug 2023
Modelling large dimensional datasets with Markov switching factor models
M. Barigozzi, D. Massacci
arXiv:2210.09828.v4 Jun 2024
Hierarchical DCC-HEAVY model for high-dimensional covariance matrices
E. Dzuverovic, M. Barigozzi
arXiv:2305.08488.v1 May 2023
Multidimensional dynamic factor models
M. Barigozzi, F. Pellegrino
arXiv:2301.12499.v1 Jan 2023
Factoring in the micro: a transaction-level
dynamic factor approach to the decomposition of export volatility
M. Barigozzi, A. Cuzzola, M. Grazzi, D. Moschella
LEM working paper 2021/22 Jun 2021
Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm
M. Barigozzi, M. Luciani
arXiv:1910.03821.v4
Feb 2022
Quasi maximum likelihood estimation of non-stationary large approximate dynamic factor models
M. Barigozzi, M. Luciani
arXiv:1910.09841.v1 Oct 2019
|
