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Working papers



PRE-PRINTS
(click on the title to download)

An algebraic estimator for large spectral density matrices
this version   Apr 2021
with M. Farnè

Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm
this version   Nov 2020
with M. Luciani

Quasi maximum likelihood estimation of non-stationary large approximate dynamic factor models
this version   Oct 2019
with M. Luciani

Measuring the output gap using large datasets
this version   Nov 2020
with M. Luciani
codes


IN PROGRESS

Quasi maximum likelihood estimation of large dimensional Markov switching factor models
with D. Massacci

Inference on the number of common trends in multivariate time series with infinite variance
with G. Cavaliere, L. Trapani

Volatility and export diversification: a firm-level dynamic factor approach
with A. Cuzzola, M. Grazzi, D. Moschella



PERMANENT WORKING PAPERS

Common factors, trends, and cycles in large datasets
with M. Luciani
Board of Governors of the Federal Reserve System Finance and Economics Discussion Series 2017-111

Multiple string alignment
with P. Pin
ICTP mimeo