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Research


RESEARCH INTERESTS

Time Series, Dynamic Factor Models, Networks, Volatility


WORKING PAPERS
(click on the title to download)

On the consequences of power-law behavior in partial correlation network models     this version   Jan 2017
with Christian Brownlees and Gabor Lugosi

Simultaneous multiple change–point and factor analysis for high-dimensional time series     this version   Dec 2016
with Haeran Cho and Piotr Fryzlewicz
codes


Non-stationary dynamic factor models for large datasets     this version   Mar 2016
with Marco Lippi and Matteo Luciani, FEDS 2016-024, Board of Governors of the Federal Reserve System
codes


Dynamic factor models, cointegration, and error correction mechanisms     this version   Jan 2017
with Marco Lippi and Matteo Luciani

NETS: Network estimation for time series     this version   Mar 2016
with Christian Brownlees
codes


The international mergers and acquisitions network: Space and time analysis     this version   Feb 2017
with Marco Dueñas, Giorgio Fagiolo, and Rossana Mastrandrea

Do intellectual property rights influence cross-border mergers and acquisitions?     this version  Oct 2016
with Mercedes Campi, Marco Dueñas, and Giorgio Fagiolo


PROJECTS IN PROGRESS

Sequential testing for structural stability in approximate factor models
with Lorenzo Trapani


PERMANENT WORKING PAPERS

Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
with Lucia Alessi and Marco Capasso
European Central Bank working paper, 2009, No 1115


On the stability of euro area money demand and its implications for monetary policy
with Antonio Conti
complementary appendix


Multiple string alignment
with Paolo Pin
ICTP mimeo