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Working papers



PRE-PRINTS
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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.v3   Sep 2023

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.v3   Dec 2023

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


IN PROGRESS

High-dimensional dynamic matrix factor models
M. Barigozzi, L. Trapin

Tail-robust factor modelling of high-dimensional tensor time series
M. Barigozzi, H. Cho, H. Maeng

Measuring the euro area output gap using large datasets
M. Barigozzi, C. Lissona

Large euro area and euro member countries datasets for macroeconomic research
M. Barigozzi, C. Lissona, L. Tonni