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Research



WORKING PAPERS
(click on the title to download)

Identification of global and national shocks in international financial markets via general dynamic factor models
this version   Mar 2017
with Marc Hallin and Stefano Soccorsi

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

Simultaneous multiple change–point and factor analysis for high-dimensional time series
this version
  May 2017
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   Jan 2017
with Christian Brownlees
codes


Spatio-temporal patterns of the international merger and acquisition network
this version   Mar 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

Common factors, trends and cycles in large datasets
with Matteo Luciani


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