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Working papers

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Time-varying general dynamic factor models and the measurement of financial connectedness
this version   Feb 2019
with Marc Hallin and Stefano Soccorsi

Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
this version   Nov 2018
with Marc Hallin

Consistent estimation of high-dimensional factor models when the factor number is over-estimated
this version   Nov 2018
with Haeran Cho

Measuring US aggregate output and output gap using large datasets
this version   Aug 2018
with Matteo Luciani

Determining the dimension of factor structures in non-stationary large datasets
this version   Jun 2018
with Lorenzo Trapani

Sequential testing for structural stability in approximate factor models
this version   Mar 2018
with Lorenzo Trapani

Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
this version   Feb 2019
older version   Mar 2018 [Title: Non-stationary dynamic factor models for large datasets]
with Marco Lippi and Matteo Luciani

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


Quasi maximum likelihood estimation of large approximate dynamic factor models for stationary and non-stationary data
preliminary version   Nov 2017   [Title: Common factors, trends, and cycles in large datasets]
with Matteo Luciani


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

Multiple string alignment
with Paolo Pin
ICTP mimeo