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Research



WORKING PAPERS
(click on the title to download)

Sequential testing for structural stability in approximate factor models
this version   Jul 2017
with Lorenzo Trapani

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
  Jan 2018
with Haeran Cho and Piotr Fryzlewicz
codes


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

NETS: Network estimation for time series
this version   Jan 2018
with Christian Brownlees
codes


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

Determining the dimension of factor structures in non-stationary large datasets
with Lorenzo Trapani

Measuring aggregate output and the output gap using 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