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Working papers



PRE-PRINTS
(click on the title to download)

Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility
this version   Jun 2021
with A. Cuzzola, M. Grazzi, D. Moschella

An algebraic estimator for large spectral density matrices
this version   Apr 2021
with M. Farnè

Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm
this version   Nov 2020
with M. Luciani

Quasi maximum likelihood estimation of non-stationary large approximate dynamic factor models
this version   Oct 2019
with M. Luciani


IN PROGRESS

Quasi maximum likelihood estimation of large dimensional Markov switching factor models
with D. Massacci

Inference in heavy-tailed non-stationary multivariate time series
with G. Cavaliere, L. Trapani

Inferential theory for generalized dynamic factor models
with M. Hallin, M. Luciani, P. Zaffaroni

Joint modelling of dynamic factor and sparse autoregressive structures in high-dimensional time series
with H. Cho, D. Owens



PERMANENT WORKING PAPERS

Common factors, trends, and cycles in large datasets
with M. Luciani
Board of Governors of the Federal Reserve System Finance and Economics Discussion Series 2017-111

Multiple string alignment
with P. Pin
ICTP mimeo