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Working papers



PRE-PRINTS
(click on the title to download)

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

Non-stationary dynamic factor models for large datasets
this version   Mar 2018
with Marco Lippi and Matteo Luciani
codes


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


IN PROGRESS

Quasi maximum likelihood estimation of large approximate non-stationary dynamic factor models via the EM algorithm
preliminary version   Nov 2017   [Title: 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


Multiple string alignment
with Paolo Pin
ICTP mimeo