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		Working papers

	PRE-PRINTS (click on the title to download)
	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 High-dimensional factor GARCH: estimation and inference M. Barigozzi, G. Giudice 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