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Matteo Barigozzi

Citations

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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco, 2022. "Factor Network Autoregressions," Papers 2208.02925, arXiv.org, revised Apr 2025.

    Mentioned in:

    1. Factor Network Autoregressions
      by Francis Diebold in No Hesitations on 2022-09-18 22:10:00
  2. Matteo Barigozzi & Christian Brownlees, 2015. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona School of Economics.

    Mentioned in:

    1. NBER/NSF Time-Series Conference: Retrospect and Prospect
      by Francis Diebold in No Hesitations on 2013-10-25 18:14:00
    2. Network Estimation for Time Series
      by Francis Diebold in No Hesitations on 2013-10-16 16:41:00

Working papers

  1. Matteo Barigozzi & Diego Fresoli & Esther Ruiz, 2026. "Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter," Papers 2601.04087, arXiv.org.

    Cited by:

    1. A. Monta~n'es & E. Ruiz, 2026. "Interpreting (and testing) factor loadings," Papers 2607.12568, arXiv.org.
    2. Bellocca, Gian Pietro Enzo & Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2026. "The empirical distribution of sequential LS factors in Multi-level Dynamic Factor Models," DES - Working Papers. Statistics and Econometrics. WS 49336, Universidad Carlos III de Madrid. Departamento de Estadística.

  2. Matteo Barigozzi & Claudio Lissona & Matteo Luciani, 2025. "Measuring the Euro Area Output Gap," Papers 2505.05536, arXiv.org, revised Nov 2025.

    Cited by:

    1. Alessandro Morico & Ovidijus Stauskas, 2025. "Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD-QD Dataset," Papers 2504.08455, arXiv.org, revised Nov 2025.
    2. Ilya Zverev & Nadezhda Kislyak, 2025. "Estimating the Output Gap of the Russian Economy: A Multivariate Approach Based on BVAR and the Beveridge-Nelson Filter," Russian Journal of Money and Finance, Bank of Russia, vol. 84(4), pages 22-46, December.
    3. İpek, Mahmut S. & Kısacıkoğlu, Burçin, 2026. "Estimating euro area output gap dynamics: Evidence from the updated Area-Wide Model Database," European Economic Review, Elsevier, vol. 181(C).

  3. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org, revised May 2025.

    Cited by:

    1. Luca Margaritella & Ovidijus Stauskas, 2024. "New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings," Papers 2409.20415, arXiv.org, revised Nov 2025.
    2. Anna Bykhovskaya & Vadim Gorin & Sasha Sodin, 2025. "How weak are weak factors? Uniform inference for signal strength in signal plus noise models," Papers 2507.18554, arXiv.org, revised Feb 2026.
    3. Ignacio Garr'on & C. Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2024. "International vulnerability of inflation," Papers 2410.20628, arXiv.org, revised Oct 2024.
    4. Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2024. "International vulnerability of inflation," DES - Working Papers. Statistics and Econometrics. WS 44814, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Philipp Gersing, 2024. "Actually, There is No Rotational Indeterminacy in the Approximate Factor Model," Papers 2408.11676, arXiv.org, revised Oct 2024.

  4. Matteo Barigozzi & Claudio Lissona & Lorenzo Tonni, 2024. "Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy," Papers 2410.05082, arXiv.org, revised Jun 2026.

    Cited by:

    1. Alessandro Morico & Ovidijus Stauskas, 2025. "Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD-QD Dataset," Papers 2504.08455, arXiv.org, revised Nov 2025.
    2. Jan Ditzen & Ovidijus Stauskas, 2025. "On Selection of Cross-Section Averages in Non-stationary Environments," Papers 2505.08615, arXiv.org, revised Oct 2025.
    3. Bobasu, Alina & Ciccarelli, Matteo & Notarpietro, Alessandro & Ambrocio, Gene & Auer, Simone & Bonfim, Diana & Bottero, Margherita & Brázdik, František & Buss, Ginters & Byrne, David & Casalis, André , 2025. "Monetary policy transmission: a reference guide through ESCB models and empirical benchmarks," Occasional Paper Series 377, European Central Bank.
    4. Agam Shah & Siddhant Sukhani & Huzaifa Pardawala & Saketh Budideti & Riya Bhadani & Rudra Gopal & Siddhartha Somani & Rutwik Routu & Michael Galarnyk & Soungmin Lee & Arnav Hiray & Akshar Ravichandran, 2025. "Words That Unite The World: A Unified Framework for Deciphering Central Bank Communications Globally," Papers 2505.17048, arXiv.org, revised Nov 2025.

  5. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.

    Cited by:

    1. Giovanni Ballarin & Lyudmila Grigoryeva & Yui Ching Li, 2025. "From Many Models, One: Macroeconomic Forecasting with Reservoir Ensembles," Papers 2512.13642, arXiv.org, revised Jan 2026.
    2. Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
    3. Casoli, Chiara & Manera, Matteo & Pedini, Luca & Valenti, Daniele, 2025. "“It’s not the heat, it’s the humidity!” New Climate Indices for Europe with a Multilevel Factor Model," FEEM Working Papers 376264, Fondazione Eni Enrico Mattei (FEEM).

  6. Matteo Barigozzi & Filippo Pellegrino, 2023. "Multidimensional dynamic factor models," Papers 2301.12499, arXiv.org.

    Cited by:

    1. Richiardi, Matteo & Bronka, Patryk & van de Ven, Justin, 2025. "Attenuation and reinforcement mechanisms over the life course," Journal of Economic Behavior & Organization, Elsevier, vol. 231(C).
    2. Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.

  7. Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2024.

    Cited by:

    1. Ma, Chenchen & Tu, Yundong, 2025. "When structural break meets threshold effect: Factor analysis under structural instabilities," Journal of Econometrics, Elsevier, vol. 249(PB).
    2. Matteo Barigozzi, 2022. "Principal Component Analysis for High-Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and Identification," Papers 2211.01921, arXiv.org, revised Sep 2026.

  8. Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco, 2022. "Factor Network Autoregressions," Papers 2208.02925, arXiv.org, revised Apr 2025.

    Cited by:

    1. Chiara Casoli & Luca Pedini, 2026. "Measuring spillovers and connectedness in gretl," Computational Statistics, Springer, vol. 41(1), pages 1-30, January.
    2. Marko Mlikota, 2022. "Dynamic Innovation Transmission Through Networks: Theory, Large $T$-Inference, and the Role of Input-Output Conversion in Business Cycles," Papers 2211.13610, arXiv.org, revised Sep 2026.
    3. Andrea Bastianin & Chiara Casoli & Marzio Galeotti, 2023. "The connectedness of Energy Transition Metals," Working Papers 2023.11, Fondazione Eni Enrico Mattei.
    4. Francis X. Diebold & Kamil Yilmaz, 2022. "On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness," Papers 2211.04184, arXiv.org, revised Jan 2023.

  9. Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021. "Inferential Theory for Generalized Dynamic Factor Models," Working Papers ECARES 2021-20, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Philipp Gersing, 2024. "A Distributed Lag Approach to the Generalised Dynamic Factor Model," Papers 2410.20885, arXiv.org, revised Jun 2026.
    2. Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
    3. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org, revised May 2025.
    4. Sangmyung Ha, 2026. "Determining the Structure of Dynamic Factor Models," Papers 2606.26142, arXiv.org, revised Aug 2026.
    5. Philipp Gersing, 2024. "On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model," Papers 2410.18159, arXiv.org, revised Jul 2025.

  10. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.

    Cited by:

    1. He, Yong & Li, Lingxiao & Liu, Dong & Zhou, Wen-Xin, 2025. "Huber Principal Component Analysis for large-dimensional factor models," Journal of Econometrics, Elsevier, vol. 249(PB).
    2. Gabriele Mingoli, 2024. "Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model," Tinbergen Institute Discussion Papers 24-072/III, Tinbergen Institute.
    3. Massimo Franchi & Iliyan Georgiev & Paolo Paruolo, 2024. "Canonical correlation analysis of stochastic trends via functional approximation," Papers 2411.19572, arXiv.org, revised Sep 2025.

  11. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models," Papers 1910.09841, arXiv.org.

    Cited by:

    1. Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
    2. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
    3. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    4. Luke Hartigan & Michelle Wright, 2021. "Financial Conditions and Downside Risk to Economic Activity in Australia," RBA Research Discussion Papers rdp2021-03, Reserve Bank of Australia.
    5. Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
    6. Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2024.
    7. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
    8. Serena Ng & Susannah Scanlan, 2023. "Constructing High Frequency Economic Indicators by Imputation," Papers 2303.01863, arXiv.org, revised Oct 2023.
    9. Poncela, Pilar & Ruiz, Esther, 2020. "A comment on the dynamic factor model with dynamic factors," Economics Discussion Papers 2020-7, Kiel Institute for the World Economy.
    10. Chiara Casoli & Riccardo Lucchetti, 2026. "A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters," Working Papers 2026.03, Fondazione Eni Enrico Mattei.
    11. Matteo Barigozzi & Angelo Cuzzola & Marco Grazzi & Daniele Moschella, 2021. "Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility," LEM Papers Series 2021/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    12. Matteo Barigozzi, 2023. "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers 2307.09864, arXiv.org, revised Jun 2024.
    13. Paolo Andreini & Cosimo Izzo & Giovanni Ricco, 2020. "Deep Dynamic Factor Models," Papers 2007.11887, arXiv.org, revised May 2023.
    14. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, vol. 14, pages 1-14.
    15. Hie Joo Ahn & Matteo Luciani, 2021. "Relative prices and pure inflation since the mid-1990s," Finance and Economics Discussion Series 2021-069, Board of Governors of the Federal Reserve System (U.S.).
    16. Fresoli, Diego & Poncela, Pilar & Ruiz, Esther, 2023. "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," Economics Letters, Elsevier, vol. 230(C).

  12. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Sep 2024.

    Cited by:

    1. Filippo Pellegrino, 2021. "Factor-augmented tree ensembles," Papers 2111.14000, arXiv.org, revised Jun 2023.
    2. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    3. Linton, Oliver B. & Tang, Haihan & Wu, Jianbin, 2025. "A large confirmatory dynamic factor model for stock market returns in different time zones," Journal of Econometrics, Elsevier, vol. 249(PB).
    4. Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics 2237, Faculty of Economics, University of Cambridge.
    5. Matteo Barigozzi & Luca Trapin, 2025. "Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering," Papers 2502.04112, arXiv.org, revised Jan 2026.
    6. Poncela, Pilar & Ruiz, Esther, 2020. "A comment on the dynamic factor model with dynamic factors," Economics Discussion Papers 2020-7, Kiel Institute for the World Economy.
    7. Hie Joo Ahn & Matteo Luciani, 2026. "Common and Idiosyncratic Inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 41(2), pages 156-168, March.
    8. Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2023. "Lessons from Nowcasting GDP across the World," International Finance Discussion Papers 1385, Board of Governors of the Federal Reserve System (U.S.).
    9. Junfan Mao & Zhigen Gao & Bing-Yi Jing & Jianhua Guo, 2024. "On the statistical analysis of high-dimensional factor models," Statistical Papers, Springer, vol. 65(8), pages 4991-5019, October.
    10. Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024. "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers 2407.06883, arXiv.org.
    11. Hie Joo Ahn & Matteo Luciani, 2021. "Relative prices and pure inflation since the mid-1990s," Finance and Economics Discussion Series 2021-069, Board of Governors of the Federal Reserve System (U.S.).

  13. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano, 2019. "Identification of global and local shocks in international financial markets via general dynamic factor models," LSE Research Online Documents on Economics 86932, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics Discussion Papers 2020-5, Kiel Institute for the World Economy.
    2. Riccardo Borghi & Eric Hillebrand & Jakob Mikkelsen & Giovanni Urga, 2018. "The dynamics of factor loadings in the cross-section of returns," CREATES Research Papers 2018-38, Department of Economics and Business Economics, Aarhus University.
    3. Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
    4. Berger Tino & Hienzsch Sebastian, 2025. "Which Global Cycle? A Stochastic Factor Selection Approach for Global Macro-Financial Cycles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 29(5), pages 541-559.
    5. Niţoi, Mihai & Pochea, Maria Miruna, 2022. "The nexus between bank connectedness and investors’ sentiment," Finance Research Letters, Elsevier, vol. 44(C).
    6. Thomas Lux & Duc Thi Luu & Boyan Yanovski, 2020. "An analysis of systemic risk in worldwide economic sentiment indices," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(4), pages 909-928, November.
    7. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    8. Linton, Oliver B. & Tang, Haihan & Wu, Jianbin, 2025. "A large confirmatory dynamic factor model for stock market returns in different time zones," Journal of Econometrics, Elsevier, vol. 249(PB).
    9. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    10. Mahdi Ghaemi Asl & David Roubaud, 2024. "Asymmetric interactions among cutting-edge technologies and pioneering conventional and Islamic cryptocurrencies: fresh evidence from intra-day-based good and bad volatilities," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-49, December.
    11. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
    12. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).

  14. Barigozzi, M. & Hallin, M. & Soccorsi, S. & Von Sachs, R., 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," LIDAM Discussion Papers ISBA 2019024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

    Cited by:

    1. Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021. "Inferential Theory for Generalized Dynamic Factor Models," Working Papers ECARES 2021-20, ULB -- Universite Libre de Bruxelles.
    2. Ouyang, Zisheng & Zhou, Xuewei & Lai, Yongzeng, 2023. "Global stock markets risk contagion: Evidence from multilayer connectedness networks in the frequency domain," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
    3. Ying Lun Cheung, 2024. "Identification of Time-Varying Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(1), pages 76-94, January.
    4. Longo, Luigi & Riccaboni, Massimo & Rungi, Armando, 2022. "A neural network ensemble approach for GDP forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    5. Baruník, Jozef & Ellington, Michael, 2024. "Persistence in financial connectedness and systemic risk," European Journal of Operational Research, Elsevier, vol. 314(1), pages 393-407.
    6. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
    7. Li, Shuping & Yao, Xiaoyang & Li, Jianfeng, 2026. "The impact of co-movements in international commodity idiosyncratic volatility on China’s financial market risk," Research in International Business and Finance, Elsevier, vol. 82(C).
    8. Ellington, Michael, 2022. "Fat tails, serial dependence, and implied volatility index connections," European Journal of Operational Research, Elsevier, vol. 299(2), pages 768-779.
    9. Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
    10. Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
    11. Wiesen, Thomas F.P. & Adekoya, Oluwasegun Babatunde & Oliyide, Johnson & Afatsao, Richard, 2024. "Does high volatility increase connectedness? A study of Asian equity markets," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    12. Erik Kole & Dick van Dijk, 2022. "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers 21-080/III, Tinbergen Institute, revised 11 Jan 2022.
    13. Rigana, Katerina & Wit, Ernst-Jan Camiel & Cook, Samantha, 2023. "A new way of measuring effects of financial crisis on contagion in currency markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
    14. Ren, Yinghua & Chen, Xin & Chen, Han & Zhu, Huiming, 2026. "Does inter-industry risk spillover network predict financial crisis? Evidence from a gated graph neural networks approach," The North American Journal of Economics and Finance, Elsevier, vol. 82(C).
    15. Marina Yu. Malkina, 2024. "Financial Contagion of the Commodity Markets from the Stock Market during Pandemic and New Sanctions Shocks," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 23(2), pages 452-475.
    16. Katerina Rigana & Ernst-Jan Camiel Wit & Samantha Cook, 2021. "Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market," Papers 2112.13127, arXiv.org.
    17. Ziyan Zhao & Qingfeng Liu, 2024. "Time-Varying Structural Approximate Dynamic Factor Model," Economic Growth Centre Working Paper Series 2401, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    18. Nankali, Shahab & Tafakori, Laleh & Jalili, Mahdi & Hu, Xiaolu, 2025. "Copula-based dynamic networks for forecasting stock market volatility," Finance Research Letters, Elsevier, vol. 85(PB).
    19. Ouyang, Zisheng & Zhou, Xuewei & Lu, Min & Liu, Ke, 2024. "Imported financial risk in global stock markets: Evidence from the interconnected network," Research in International Business and Finance, Elsevier, vol. 69(C).
    20. Jonas Krampe & Luca Margaritella, 2024. "Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?," Papers 2402.02482, arXiv.org, revised Mar 2025.
    21. Rajae Azrak & Guy Mélard, 2022. "Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches," Stats, MDPI, vol. 5(3), pages 1-21, August.
    22. Vidal-Llana, Xenxo & Uribe, Jorge M. & Guillén, Montserrat, 2023. "European stock market volatility connectedness: The role of country and sector membership," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    23. Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention," Working Papers 202401, University of Pretoria, Department of Economics.
    24. Marc Hallin, 2022. "Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series," Econometrics, MDPI, vol. 10(4), pages 1-9, December.
    25. Baruník, Jozef & Bevilacqua, Mattia & Faff, Robert, 2024. "Dynamic industry uncertainty networks and the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
    26. Jose Negrete Jr & Jaime Joel Ramos, 2026. "Emergence of Statistical Financial Factors by a Diffusion Process," Papers 2604.12197, arXiv.org, revised Aug 2026.
    27. Wu, Weichi & Zhou, Zhou & Hong, Yongmiao, 2026. "Inference for time-varying factor models under local stationarity," Journal of Econometrics, Elsevier, vol. 253(C).
    28. Xiaoye Jin, 2025. "Extreme Risk Connectedness in China’s Stock Market: Fresh Insights from Time-Varying General Dynamic Factor Models," Computational Economics, Springer;Society for Computational Economics, vol. 66(3), pages 1877-1909, September.
    29. Han Liu & Yongjing Wang & Haiyan Song & Ying Liu, 2023. "Measuring tourism demand nowcasting performance using a monotonicity test," Tourism Economics, , vol. 29(5), pages 1302-1327, August.
    30. Fu, Zhonghao & Gao, Shang & Su, Liangjun & Wang, Xia, 2026. "High-dimensional conditional factor model," Journal of Econometrics, Elsevier, vol. 254(PB).
    31. Junfan Mao & Zhigen Gao & Bing-Yi Jing & Jianhua Guo, 2024. "On the statistical analysis of high-dimensional factor models," Statistical Papers, Springer, vol. 65(8), pages 4991-5019, October.
    32. Romani, Ilenia Gaia, 2026. "A Country-Level Study of Exposure to Battery Price Fluctuations through Trade Networks," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri 404775, Agricultural and Applied Economics Association.
    33. Chen, Jia & Li, Degui & Li, Yu-Ning & Linton, Oliver, 2025. "Estimating time-varying networks for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 249(PC).
    34. Cheung, Ying Lun, 2024. "Avoiding jumps in the rotation matrix of time-varying factor models," Finance Research Letters, Elsevier, vol. 67(PB).
    35. Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.

  15. Matteo Barigozzi & Lorenzo Trapani, 2018. "Determining the dimension of factor structures in non-stationary large datasets," Papers 1806.03647, arXiv.org.

    Cited by:

    1. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    2. Lorenzo Trapani & Emily Whitehouse, 2020. "Sequential monitoring for cointegrating regressions," Papers 2003.12182, arXiv.org.

  16. Campi, Mercedes & Dueñas, Marco & Barigozzi, Matteo & Fagiolo, Giorgio, 2018. "Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions," LSE Research Online Documents on Economics 90203, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Kaneko, Katsuyuki & Kajikawa, Yuya, 2025. "Quantitative model of firms’ weight using a gravity model in relative coordinates: Case study of photo film industry facing digital innovation," Journal of Informetrics, Elsevier, vol. 19(3).
    2. Mercedes Campi & Alessandro Nuvolari, 2020. "Intellectual property rights and agricultural development: evidence from a worldwide index of IPRS in agriculture (1961-2018)," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2020-51, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
    3. Sèna Kimm Gnangnon, 2025. "Aid for trade flows and the strength of patent right protection," International Economics and Economic Policy, Springer, vol. 22(2), pages 1-30, May.
    4. Gnangnon, Sèna Kimm, 2023. "Aid for Trade flows, Patent Rights Protection and Total Factor Productivity," EconStor Preprints 274650, ZBW - Leibniz Information Centre for Economics.
    5. Bazel-Shoham, Ofra & Lee, Sang Mook & Ahammad, Mohammad Faisal & Tarba, Shlomo Y. & Alon, Ilan, 2023. "IP protection and ownership in cross-border acquisitions," International Business Review, Elsevier, vol. 32(3).
    6. Yan Yan & Jiatao Li & Jingjing Zhang, 2022. "Protecting intellectual property in foreign subsidiaries: An internal network defense perspective," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 53(9), pages 1924-1944, December.
    7. Ahmad Arslan & Ofra Bazel-Shoham & Matthew Imes & Sang Mook Lee & Amir Shoham, 2023. "Protectionism and Cross-Border Mergers and Acquisitions Undertaken by US Multinational Enterprises: The Moderating Role of Intellectual Property Rights Protection," Management International Review, Springer, vol. 63(5), pages 697-730, October.

  17. Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," LSE Research Online Documents on Economics 88110, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Wang, Lu & Wu, Jianhong, 2022. "Estimation of high-dimensional factor models with multiple structural changes," Economic Modelling, Elsevier, vol. 108(C).
    2. Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei, 2021. "Nonparametric estimation of large covariance matrices with conditional sparsity," Journal of Econometrics, Elsevier, vol. 223(1), pages 53-72.
    3. Zhou, Ruichao & Wu, Jianhong, 2023. "Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion," Economics Letters, Elsevier, vol. 232(C).
    4. Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024. "Reprint of: The likelihood ratio test for structural changes in factor models," Journal of Econometrics, Elsevier, vol. 244(2).
    5. Fernandez, Julian, 2020. "Exchange Rate Uncertainty and the Interest Rate Parity," MPRA Paper 116010, University Library of Munich, Germany, revised 2022.
    6. Mengjia Yu & Xiaohui Chen, 2021. "Finite sample change point inference and identification for high‐dimensional mean vectors," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 83(2), pages 247-270, April.
    7. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
    8. Wang, Yalin & Yu, Long, 2025. "Robust factorization for high-dimensional matrix-variate observations," Journal of Multivariate Analysis, Elsevier, vol. 210(C).
    9. Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," LSE Research Online Documents on Economics 88110, London School of Economics and Political Science, LSE Library.
    10. Jiangtao Duan & Jushan Bai & Xu Han, 2021. "Quasi-maximum likelihood estimation of break point in high-dimensional factor models," Papers 2102.12666, arXiv.org, revised Mar 2021.
    11. Barigozzi, Matteo & Massacci, Daniele, 2025. "Modelling large dimensional datasets with Markov switching factor models," Journal of Econometrics, Elsevier, vol. 247(C).
    12. Sabri Boubaker & Zhenya Liu & Yifan Zhang, 2025. "Forecasting oil commodity spot price in a data-rich environment," Annals of Operations Research, Springer, vol. 345(2), pages 685-702, February.
    13. Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
    14. Qing Yang & Yu-Ning Li & Yi Zhang, 2020. "Change point detection for nonparametric regression under strongly mixing process," Statistical Papers, Springer, vol. 61(4), pages 1465-1506, August.
    15. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Sep 2024.
    16. Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024. "The likelihood ratio test for structural changes in factor models," Journal of Econometrics, Elsevier, vol. 238(2).
    17. Xialu Liu & Elynn Y. Chen, 2022. "Identification and estimation of threshold matrix‐variate factor models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1383-1417, September.
    18. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
    19. Cui, Junfeng & Wang, Guanghui & Zou, Changliang & Wang, Zhaojun, 2023. "Change-point testing for parallel data sets with FDR control," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
    20. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
    21. Jiangtao Duan & Jushan Bai & Xu Han, 2025. "Taxonomy and Estimation of Multiple Breakpoints in High-Dimensional Factor Models," Papers 2503.06645, arXiv.org, revised Apr 2026.
    22. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Working Papers halshs-02235543, HAL.
    23. Cho, Haeran & Kirch, Claudia, 2024. "Data segmentation algorithms: Univariate mean change and beyond," Econometrics and Statistics, Elsevier, vol. 30(C), pages 76-95.
    24. Xialu Liu & John Guerard & Rong Chen & Ruey Tsay, 2025. "Improving estimation of portfolio risk using new statistical factors," Annals of Operations Research, Springer, vol. 346(1), pages 245-261, March.
    25. Ma, Chenchen & Tu, Yundong, 2023. "Shrinkage estimation of multiple threshold factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1876-1892.
    26. Anastasiou, Andreas & Cribben, Ivor & Fryzlewicz, Piotr, 2022. "Cross-covariance isolate detect: a new change-point method for estimating dynamic functional connectivity," LSE Research Online Documents on Economics 112148, London School of Economics and Political Science, LSE Library.
    27. Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
    28. Zhou, Houlin & Zhu, Hanbing & Wang, Xuejun, 2026. "Change-point detection for multivariate nonparametric regression with deep neural networks," Computational Statistics & Data Analysis, Elsevier, vol. 218(C).
    29. Wu, Weichi & Zhou, Zhou & Hong, Yongmiao, 2026. "Inference for time-varying factor models under local stationarity," Journal of Econometrics, Elsevier, vol. 253(C).
    30. Ma, Chenchen & Tu, Yundong, 2023. "Group fused Lasso for large factor models with multiple structural breaks," Journal of Econometrics, Elsevier, vol. 233(1), pages 132-154.
    31. Li, Degui, 2024. "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, vol. 29(C), pages 16-30.
    32. Luoyao Yu & Xuehu Zhu, 2025. "Identification of distributional heterogeneity under maximum adjacent separation subspace," Statistical Papers, Springer, vol. 66(6), pages 1-33, October.
    33. Cho, Haeran & Korkas, Karolos K., 2022. "High-dimensional GARCH process segmentation with an application to Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 23(C), pages 187-203.
    34. Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
    35. Casini, Alessandro & Perron, Pierre, 2024. "Change-point analysis of time series with evolutionary spectra," Journal of Econometrics, Elsevier, vol. 242(2).
    36. Matteo Barigozzi, 2022. "Principal Component Analysis for High-Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and Identification," Papers 2211.01921, arXiv.org, revised Sep 2026.
    37. Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
    38. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers halshs-02235543, HAL.
    39. Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.

  18. Matteo Barigozzi & Matteo Luciani, 2018. "Do National Account Statistics Underestimate US Real Output Growth?," FEDS Notes 2018-01-09-1, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Kenneth E. Poole & Allison Forbes & Nichelle Williams, 2023. "Applied Regional Economic Research Can Improve Development Strategies and Drive Better Outcomes," Economic Development Quarterly, , vol. 37(1), pages 85-95, February.
    2. Zheng Liu & Mark M. Spiegel & Eric Tallman, 2018. "Is GDP Overstating Economic Activity?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

  19. Barigozzi, Matteo, 2018. "On the stability of euro area money demand and its implications for monetary policy," LSE Research Online Documents on Economics 87283, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers 2014-11, University of Connecticut, Department of Economics.
    2. Raouf Boucekkine & Mohammed Laksaci & Mohamed Touati-Tliba, 2021. "Long-run stability of money demand and monetary policy: the case of Algeria," Working Papers halshs-03120699, HAL.
    3. Conti, Antonio M., 2021. "Resurrecting the Phillips Curve in Low-Inflation Times," Economic Modelling, Elsevier, vol. 96(C), pages 172-195.
    4. Thomas F. P. Wiesen & Paul M. Beaumont, 2024. "A joint impulse response function for vector autoregressive models," Empirical Economics, Springer, vol. 66(4), pages 1553-1585, April.
    5. Jung, Alexander & Carcel Villanova, Hector, 2020. "The empirical properties of euro area M3, 1980-2017," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 37-49.
    6. Carlos Pateiro-Rodríguez & Federico Martín-Bermúdez & Esther Barros-Campello & Carlos Pateiro-López, 2025. "On the Weak Impact of Base Money on Broad Money in the Context of Unconventional Monetary Policy: Euro Area 2008–2024," Economies, MDPI, vol. 13(5), pages 1-24, May.
    7. William A. Barnett & Marcelle Chauvet & Danilo Leiva‐Leon & Liting Su, 2024. "The Credit‐Card‐Services Augmented Divisia Monetary Aggregates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1163-1202, August.

  20. Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals," Papers 1811.10045, arXiv.org, revised Jul 2019.

    Cited by:

    1. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
    2. Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
    3. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
    4. Gunawan, David & Kohn, Robert & Nott, David, 2021. "Variational Bayes approximation of factor stochastic volatility models," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1355-1375.
    5. Nummi, Patrik & Viitasaari, Lauri, 2024. "Necessary and sufficient conditions for continuity of hypercontractive processes and fields," Statistics & Probability Letters, Elsevier, vol. 208(C).
    6. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
    7. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    8. Li, Shuping & Yao, Xiaoyang & Li, Jianfeng, 2026. "The impact of co-movements in international commodity idiosyncratic volatility on China’s financial market risk," Research in International Business and Finance, Elsevier, vol. 82(C).
    9. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
    10. Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
    11. Wang, Yalin & Yu, Long, 2025. "Robust factorization for high-dimensional matrix-variate observations," Journal of Multivariate Analysis, Elsevier, vol. 210(C).
    12. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    13. Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
    14. Liao, Gaoke & Li, Yanling & Wang, Mengxin, 2024. "Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?," Energy Economics, Elsevier, vol. 129(C).
    15. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org, revised May 2025.
    16. Christian Mücher & Giorgio Calzolari & Roxana Halbleib, 2026. "Sequential estimation of multivariate factor stochastic volatility models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 110(1), pages 41-63, March.
    17. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    18. Marc Hallin, 2022. "Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series," Econometrics, MDPI, vol. 10(4), pages 1-9, December.
    19. Shahin Tavakoli & Gilles Nisol & Marc Hallin, 2023. "Factor models for high‐dimensional functional time series II: Estimation and forecasting," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 601-621, September.
    20. Bae, Juhee, 2024. "Factor-augmented forecasting in big data," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1660-1688.
    21. Ding, Yi & Engle, Robert & Li, Yingying & Zheng, Xinghua, 2025. "Multiplicative factor model for volatility," Journal of Econometrics, Elsevier, vol. 249(PB).
    22. Matteo Barigozzi, 2023. "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers 2307.09864, arXiv.org, revised Jun 2024.

  21. Barigozzi, Matteo & Hallin, Marc, 2017. "A network analysis of the volatility of high-dimensionalfinancial series," LSE Research Online Documents on Economics 67456, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Luca Barbaglia & Christophe Croux & Ines Wilms, 2017. "Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach," Papers 1708.02073, arXiv.org.
    2. Zheng, Tingguo & Zhang, Hongyin & Ye, Shiqi, 2024. "Monetary policies on green financial markets: Evidence from a multi-moment connectedness network," Energy Economics, Elsevier, vol. 136(C).
    3. Ge, S., 2020. "Text-Based Linkages and Local Risk Spillovers in the Equity Market," Cambridge Working Papers in Economics 20115, Faculty of Economics, University of Cambridge.
    4. Yaya Su & Zhehao Huang & Benjamin M. Drakeford, 2019. "Monetary Policy, Industry Heterogeneity and Systemic Risk—Based on a High Dimensional Network Analysis," Sustainability, MDPI, vol. 11(22), pages 1-15, November.
    5. Tingguo Zheng & Hongyin Zhang & Shiqi Ye, 2024. "Monetary Policies on Green Financial Markets: Evidence from a Multi-Moment Connectedness Network," Papers 2405.02575, arXiv.org, revised Oct 2024.
    6. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
    7. Niţoi, Mihai & Pochea, Maria Miruna, 2022. "The nexus between bank connectedness and investors’ sentiment," Finance Research Letters, Elsevier, vol. 44(C).
    8. Dominik Bertsche & Ralf Brüggemann & Christian Kascha, 2023. "Directed graphs and variable selection in large vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 223-246, March.
    9. Yong Tang & Jason Jie Xiong & Zi-Yang Jia & Yi-Cheng Zhang, 2018. "Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets," Complexity, Hindawi, vol. 2018, pages 1-31, November.
    10. Ahelegbey, Daniel Felix & Giudici, Paolo & Hashem, Shatha Qamhieh, 2021. "Network VAR models to measure financial contagion," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    11. Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," LSE Research Online Documents on Economics 88110, London School of Economics and Political Science, LSE Library.
    12. Herculano, Miguel C. & Lütkebohmert, Eva, 2023. "Investor sentiment and global economic conditions," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 134-152.
    13. Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
    14. Christian Gross & Pierre L. Siklos, 2018. "Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach," CQE Working Papers 7218, Center for Quantitative Economics (CQE), University of Muenster.
    15. Christis Katsouris, 2023. "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers 2305.11282, arXiv.org, revised Jul 2023.
    16. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
    17. Liao, Gaoke & Li, Yanling & Wang, Mengxin, 2024. "Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?," Energy Economics, Elsevier, vol. 129(C).
    18. Rigana, Katerina & Wit, Ernst-Jan Camiel & Cook, Samantha, 2023. "A new way of measuring effects of financial crisis on contagion in currency markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
    19. Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
    20. Katerina Rigana & Ernst-Jan Camiel Wit & Samantha Cook, 2021. "Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market," Papers 2112.13127, arXiv.org.
    21. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
    22. Barigozzi, Matteo & Brownlees, Christian T., 2018. "Nets: network estimation for time series," LSE Research Online Documents on Economics 90493, London School of Economics and Political Science, LSE Library.
    23. Mante Zelvyte & Jim E. Griffin, 2026. "A Multiplex Network Hawkes Model for Systemic Risk Measurement," Papers 2606.15755, arXiv.org.
    24. Sudarshan Kumar & Tiziana Di Matteo & Anindya S. Chakrabarti, 2020. "Disentangling shock diffusion on complex networks: Identification through graph planarity," Papers 2001.01518, arXiv.org.
    25. Groß, Christian, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: a network approach," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203645, Verein für Socialpolitik / German Economic Association.
    26. Jonas Krampe & Luca Margaritella, 2024. "Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?," Papers 2402.02482, arXiv.org, revised Mar 2025.
    27. Naeem, Muhammad Abubakr & Anwer, Zaheer & Khan, Ashraf & Paltrinieri, Andrea, 2024. "Do market conditions affect interconnectedness pattern of socially responsible equities?," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 611-630.
    28. Chen, Chuanglian & Zhou, Lichao & Sun, Chuanwang & Lin, Yuting, 2024. "Does oil future increase the network systemic risk of financial institutions in China?," Applied Energy, Elsevier, vol. 364(C).
    29. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
    30. Daniel Felix Ahelegbey & Luis Carvalho & Eric D. Kolaczyk, 2020. "A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series," DEM Working Papers Series 181, University of Pavia, Department of Economics and Management.
    31. Raffaele Mattera & Philipp Otto, 2023. "Network log-ARCH models for forecasting stock market volatility," Papers 2303.11064, arXiv.org.
    32. Yuefeng Han & Likai Chen & Wei Biao Wu, 2025. "Estimation of High-dimensional Nonlinear Vector Autoregressive Models," Papers 2511.18641, arXiv.org.
    33. Kumar, Sudarshan & Bansal, Avijit & Chakrabarti, Anindya S., 2019. "Ripples on financial networks," IIMA Working Papers WP 2019-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    34. Tian, Sihua & Li, Shaofang & Gu, Qinen, 2023. "Measurement and contagion modelling of systemic risk in China's financial sectors: Evidence for functional data analysis and complex network," International Review of Financial Analysis, Elsevier, vol. 90(C).
    35. Wang, Yu & Sun, Yiguo, 2025. "Idiosyncratic contagion between ETFs and stocks: A high dimensional network perspective," Journal of Financial Stability, Elsevier, vol. 78(C).
    36. Abdelsalam, Omneya & Ahelegbey, Daniel Felix & Essanaani, Yassine, 2024. "The nexus of conventional, religious and ethical indexes during crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 95(C).
    37. Krampe, J. & Paparoditis, E. & Trenkler, C., 2023. "Structural inference in sparse high-dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 234(1), pages 276-300.
    38. Kexin Zhang & Simon Trimborn, 2024. "Influential assets in Large-Scale Vector AutoRegressive Models," Tinbergen Institute Discussion Papers 24-080/III, Tinbergen Institute.
    39. Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023. "High-dimensional VARs with common factors," Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
    40. Pagnottoni, Paolo, 2023. "Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
    41. Etesami, Jalal & Habibnia, Ali & Kiyavash, Negar, 2017. "Econometric modeling of systemic risk: going beyond pairwise comparison and allowing for nonlinearity," LSE Research Online Documents on Economics 70769, London School of Economics and Political Science, LSE Library.
    42. Baek, Changryong & Gates, Katheleen M. & Leinwand, Benjamin & Pipiras, Vladas, 2021. "Two sample tests for high-dimensional autocovariances," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).
    43. Ge, Shuyi & Li, Shaoran & Linton, Oliver, 2023. "News-implied linkages and local dependency in the equity market," Journal of Econometrics, Elsevier, vol. 235(2), pages 779-815.

  22. Matteo Barigozzi & Lorenzo Trapani, 2017. "Sequential testing for structural stability in approximate factor models," Papers 1708.02786, arXiv.org, revised Mar 2020.

    Cited by:

    1. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
    2. Barigozzi, Matteo & Massacci, Daniele, 2025. "Modelling large dimensional datasets with Markov switching factor models," Journal of Econometrics, Elsevier, vol. 247(C).
    3. Lorenzo Trapani & Emily Whitehouse, 2020. "Sequential monitoring for cointegrating regressions," Papers 2003.12182, arXiv.org.
    4. Xin-Bing Kong & Yong-Xin Liu & Long Yu & Peng Zhao, 2022. "Matrix Quantile Factor Model," Papers 2208.08693, arXiv.org, revised Aug 2024.

  23. Dueñas, Marco & Mastrandrea, Rossana & Barigozzi, Matteo & Fagiolo, Giorgio, 2017. "Spatio-temporal patterns of the international merger and acquisition network," LSE Research Online Documents on Economics 84092, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. A. Baronchelli & T. Uberti, 2018. "Exports and FDI: comparing networks in the new millennium," Working Paper CRENoS 201813, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    2. Campi, Mercedes & Dueñas, Marco & Barigozzi, Matteo & Fagiolo, Giorgio, 2018. "Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions," LSE Research Online Documents on Economics 90203, London School of Economics and Political Science, LSE Library.
    3. Brózda-Wilamek Dominika, 2023. "The global cross-border mergers and acquisitions network between 1990 and 2021," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 59(4), pages 333-348, December.

  24. Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Caterina Schiavoni & Franz Palm & Stephan Smeekes & Jan van den Brakel, 2021. "A dynamic factor model approach to incorporate Big Data in state space models for official statistics," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(1), pages 324-353, January.
    2. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    3. Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Nicolas Woloszko, 2020. "Tracking activity in real time with Google Trends," OECD Economics Department Working Papers 1634, OECD Publishing.
    5. Woloszko, Nicolas, 2024. "Nowcasting with panels and alternative data: The OECD weekly tracker," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1302-1335.

  25. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Di Iorio, Francesca & Fachin, Stefano, 2021. "Evaluating restricted common factor models for non-stationary data," Econometrics and Statistics, Elsevier, vol. 17(C), pages 64-75.
    2. Francisco Corona & Graciela González-Farías & Pedro Orraca, 2017. "A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-35, December.
    3. Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
    4. Ha, Jongrim & Kose, M. Ayhan & Ohnsorge, Franziska, 2023. "One-stop source: A global database of inflation," Journal of International Money and Finance, Elsevier, vol. 137(C).
    5. Maxime Leroux & Rachidi Kotchoni & Dalibor Stevanovic, 2017. "Forecasting economic activity in data-rich environment," EconomiX Working Papers 2017-5, University of Paris Nanterre, EconomiX.
    6. Cristiano Cantore & Filippo Ferroni & Hroon Mumtaz & Angeliki Theophilopoulou, 2022. "A tail of labour supply and a tale of monetary policy," Bank of England Staff Working Paper series 989, Bank of England.
    7. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Pedro Jose Piqueras Martinez, 2024. "Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity," Econometrics, MDPI, vol. 12(4), pages 1-14, December.
    8. Panagiotidis, Theodore & Printzis, Panagiotis, 2021. "Investment and uncertainty: Are large firms different from small ones?," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 302-317.
    9. Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Fiscal policy shocks and stock prices in the United States," European Economic Review, Elsevier, vol. 129(C).
    10. Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de Estadística.
    11. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Dynamic Factor Models, Cointegration, and Error Correction Mechanisms," Finance and Economics Discussion Series 2016-018, Board of Governors of the Federal Reserve System (U.S.).
    12. Hsiang-Hsi Liu & Chien-Kuo Tseng, 2022. "Common Components in Co-integrated System and Its Estimation and Application: Evidence from Five Stock Markets in Asia-Pacific Chinese Region," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 101-121.
    13. Casoli, Chiara & Lucchetti, Riccardo (Jack), "undated". "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
    14. Cristina Conflitti & Matteo Luciani, 2017. "Oil Price Pass-Through into Core Inflation," Finance and Economics Discussion Series 2017-085, Board of Governors of the Federal Reserve System (U.S.).
    15. Martina Hengge & Seton Leonard, 2017. "Factor Models for Non-Stationary Series: Estimates of Monthly U.S. GDP," IHEID Working Papers 13-2017, Economics Section, The Graduate Institute of International Studies.
    16. Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019. "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers 2019-23, Department of Economics and Business Economics, Aarhus University.
    17. Smeekes, Stephan & Wijler, Etienne, 2018. "Macroeconomic forecasting using penalized regression methods," International Journal of Forecasting, Elsevier, vol. 34(3), pages 408-430.
    18. Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
    19. Francisco Corona & Graciela Gonz'alez-Far'ias & Jes'us L'opez-P'erez, 2021. "A nowcasting approach to generate timely estimates of Mexican economic activity: An application to the period of COVID-19," Papers 2101.10383, arXiv.org.
    20. Francisco Corona & Gerardo Leyva & Graciela González-Farías & Edgar René Benavidez-Maruri, 2025. "Dating the Mexican Business Cycles Since 1980 by Disentangling the Monthly Economic Activity," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 21(1), pages 1-23, November.
    21. Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
    22. Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
    23. Tobias Hartl, 2020. "Macroeconomic Forecasting with Fractional Factor Models," Papers 2005.04897, arXiv.org.

  26. Barigozzi, Matteo & Moneta, Alessio, 2016. "Identifying the independent sources of consumption variation," LSE Research Online Documents on Economics 60979, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Christophe Faugère, 2021. "Connectalism: A new paradigm for human choice," Systems Research and Behavioral Science, Wiley Blackwell, vol. 38(6), pages 866-889, November.
    2. Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
    3. Liqiong Chen & Antonio F. Galvao & Suyong Song, 2021. "Quantile Regression with Generated Regressors," Econometrics, MDPI, vol. 9(2), pages 1-35, April.
    4. Tommaso Ciarli & Andre Lorentz & Marco Valente & Maria Savona, 2017. "Structural Changes and Growth Regime," Working Papers of BETA 2017-19, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.

  27. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.

    Cited by:

    1. Anghel, Dan Gabriel & Caraiani, Petre, 2024. "Monetary policy shocks and the high-frequency network connectedness of stock markets," International Review of Economics & Finance, Elsevier, vol. 96(PA).
    2. Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
    3. Massimiliano Affinito & Alberto Franco Pozzolo, 2017. "The interbank network across the global financial crisis: evidence from Italy," Temi di discussione (Economic working papers) 1118, Bank of Italy, Economic Research and International Relations Area.

  28. Matteo Barigozzi & Christian Brownlees, 2015. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona School of Economics.

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    1. Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar, 2022. "Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter," IDB Publications (Working Papers) 12236, Inter-American Development Bank.
    2. Liao, Yin & Pan, Zheyao, 2022. "Extreme risk connectedness among global major financial institutions: Links to globalization and emerging market fear," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    3. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
    4. Medeiros, Marcelo C. & Mendes, Eduardo F., 2016. "ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 191(1), pages 255-271.
    5. Muñoz Mendoza, Jorge A. & Veloso Ramos, Carmen L. & Delgado Fuentealba, Carlos L. & Cornejo Saavedra, Edinson E. & Sepúlveda Yelpo, Sandra M., 2024. "Stock, foreign exchange and commodity markets linkages: Implications for risk diversification and portfolio management," Global Finance Journal, Elsevier, vol. 63(C).
    6. Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2018. "Estimating global bank network connectedness," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 1-15, January.
    7. Paolo Giudici & Laura Parisi, 2016. "CoRisk: measuring systemic risk through default probability contagion," DEM Working Papers Series 116, University of Pavia, Department of Economics and Management.
    8. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
    9. Thomas Gehrig & Leopold Sögner & Arne Westerkamp, 2025. "Extending the demand system approach to asset pricing," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 39(1), pages 133-166, March.
    10. Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2016. "Credit risk interconnectedness: What does the market really know?," Discussion Papers 09/2016, Deutsche Bundesbank.
    11. Ben Craig & Martín Saldías, 2016. "Spatial Dependence and Data-Driven Networks of International Banks," IMF Working Papers 2016/184, International Monetary Fund.
    12. Siva R Venna & Satya Katragadda & Vijay Raghavan & Raju Gottumukkala, 2021. "River Stage Forecasting using Enhanced Partial Correlation Graph," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 35(12), pages 4111-4126, September.
    13. Ge, S., 2020. "Text-Based Linkages and Local Risk Spillovers in the Equity Market," Cambridge Working Papers in Economics 20115, Faculty of Economics, University of Cambridge.
    14. Sessi Tokpavi, 2013. "Testing for the Systemically Important Financial Institutions: a Conditional Approach," EconomiX Working Papers 2013-27, University of Paris Nanterre, EconomiX.
    15. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
    16. Mengting Li & Qifa Xu & Cuixia Jiang & Yezheng Liu, 2024. "The role of long‐ and short‐run correlation networks in international portfolio selection," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3147-3176, July.
    17. Xu, Qifa & Li, Mengting & Jiang, Cuixia, 2021. "Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    18. Paolo Giudici & Laura Parisi, 2015. "Modeling Systemic Risk with Correlated Stochastic Processes," DEM Working Papers Series 110, University of Pavia, Department of Economics and Management.
    19. Rodolfo C. Moura & Márcio P. Laurini, 2021. "Spillovers and jumps in global markets: A comparative analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5997-6013, October.
    20. Zac Chen & George Milunovich & Shuping Shi & Ben Wang, 2026. "Forecasting House Prices: The Role of Market Interconnectedness," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(4), pages 1847-1877, July.
    21. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
    22. Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series 188, University of Pavia, Department of Economics and Management.
    23. Badics, Milan Csaba & Huszar, Zsuzsa R. & Kotro, Balazs B., 2023. "The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    24. Foglia, Matteo & Addi, Abdelhamid & Wang, Gang-Jin & Angelini, Eliana, 2022. "Bearish Vs Bullish risk network: A Eurozone financial system analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    25. René Böheim & Philipp Stöllinger, 2020. "Decomposition of the Gender Wage Gap using the LASSO Estimator," Economics working papers 2020-03, Department of Economics, Johannes Kepler University Linz, Austria.
    26. Dominik Bertsche & Ralf Brüggemann & Christian Kascha, 2023. "Directed graphs and variable selection in large vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 223-246, March.
    27. Andrea Bastianin & Chiara Casoli & Evzen Kocenda & Xiao Li, 2026. "Extreme Connectedness among Energy Transition Metals and Commodity Markets," Working Papers 2026.13, Fondazione Eni Enrico Mattei.
    28. Alain Hecq & Marie Ternes & Ines Wilms, 2021. "Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions," Papers 2102.11780, arXiv.org, revised Mar 2022.
    29. Sun, Jiaojiao & Zhang, Chen & Zhu, Jing & Zhao, Jingsong, 2024. "Risk spillover mechanism among commercial banks and FinTech institutions throughout public health emergencies," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    30. Carlo Campajola & Fabrizio Lillo & Daniele Tantari, 2019. "Unveiling the relation between herding and liquidity with trader lead-lag networks," Papers 1909.10807, arXiv.org, revised Mar 2020.
    31. Foglia, Matteo & Angelini, Eliana, 2020. "From me to you: Measuring connectedness between Eurozone financial institutions," Research in International Business and Finance, Elsevier, vol. 54(C).
    32. Bibhas Adhikari, 2025. "Signed network models for portfolio optimization," Papers 2510.05377, arXiv.org.
    33. Chiara Casoli & Luca Pedini, 2026. "Measuring spillovers and connectedness in gretl," Computational Statistics, Springer, vol. 41(1), pages 1-30, January.
    34. Mengting Li & Qifa Xu & Cuixia Jiang & Qinna Zhao, 2023. "The role of tail network topological characteristic in portfolio selection: A TNA‐PMC model," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 37-57, March.
    35. Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022. "Risk spillovers and interconnectedness between systemically important institutions," Journal of Financial Stability, Elsevier, vol. 58(C).
    36. Bettendorf, Timo & Heinlein, Reinhold, 2019. "Connectedness between G10 currencies: Searching for the causal structure," Discussion Papers 06/2019, Deutsche Bundesbank.
    37. Ariana Paola Cortés Ángel & Mustafa Hakan Eratalay, 2022. "Deep diving into the S&P Europe 350 index network and its reaction to COVID-19," Journal of Computational Social Science, Springer, vol. 5(2), pages 1343-1408, November.
    38. Andrea Bastianin & Chiara Casoli & Marzio Galeotti, 2023. "The connectedness of Energy Transition Metals," Working Papers 2023.11, Fondazione Eni Enrico Mattei.
    39. Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
    40. Emanuele De Meo & Giacomo Tizzanini, 2021. "GDP‐network CoVaR: A tool for assessing growth‐at‐risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 50(2), July.
    41. Zhang, Xingmin & Zhang, Shuai & Lu, Liping, 2022. "The banking instability and climate change: Evidence from China," Energy Economics, Elsevier, vol. 106(C).
    42. Paola Cerchiello & Paolo Giudici, 2014. "Conditional graphical models for systemic risk measurement," DEM Working Papers Series 087, University of Pavia, Department of Economics and Management.
    43. Alves, Iván & Ferrari, Stijn & Franchini, Pietro & Héam, Jean-Cyprien & Jurca, Pavol & Langfield, Sam & Laviola, Sebastiano & Liedorp, Franka & Sánchez Serrano, Antonio & Tavolaro, Santiago & Vuilleme, 2013. "The structure and resilience of the European interbank market," ESRB Occasional Paper Series 3, European Systemic Risk Board.
    44. Nicola, Giancarlo & Cerchiello, Paola & Aste, Tomaso, 2020. "Information network modeling for U.S. banking systemic risk," LSE Research Online Documents on Economics 107563, London School of Economics and Political Science, LSE Library.
    45. Paolo Giudici & Laura Parisi, 2016. "Bail in or Bail out? The Atlante example from a systemic risk perspective," DEM Working Papers Series 124, University of Pavia, Department of Economics and Management.
    46. Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, Centre for Economic Policy Research.
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    48. Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    49. Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
    50. Sulas, Alessandro & Maringer, Dietmar & Paterlini, Sandra, 2025. "Systemic risk from overlapping portfolios: A multi-objective optimization framework," International Review of Financial Analysis, Elsevier, vol. 97(C).
    51. Agosto, Arianna & Ahelegbey, Daniel Felix & Giudici, Paolo, 2020. "Tree Networks to assess Financial Contagion," MPRA Paper 107066, University Library of Munich, Germany.
    52. Timo Bettendorf & Reinhold Heinlein, 2023. "Connectedness between G10 currencies: Searching for the causal structure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3938-3959, October.
    53. Xiaohang Wang & Ling Xin & Philip L. H. Yu, 2025. "Matrix Autoregressive Time Series With Reduced‐Rank and Sparse Structural Constraints," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(8), pages 2442-2458, December.
    54. Zhou, Xuewei & Ouyang, Zisheng & Lu, Min & Ouyang, Zhongzhe, 2024. "Multilayer network analysis of idiosyncratic volatility connectedness: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
    55. Aldasoro, Iñaki & Angeloni, Ignazio, 2013. "Input-output-based measures of systemic importance," SAFE Working Paper Series 29, Leibniz Institute for Financial Research SAFE.
    56. Kamil Yilmaz, 2018. "Bank Volatility Connectedness in South East Asia," Koç University-TUSIAD Economic Research Forum Working Papers 1807, Koc University-TUSIAD Economic Research Forum.
    57. Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
    58. Brownlees, Christian & Hans, Christina & Nualart, Eulalia, 2021. "Bank credit risk networks: Evidence from the Eurozone," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 585-599.
    59. Mikhail Stolbov & Daniil Parfenov, 2023. "Credit risk linkages in the international banking network, 2000–2019," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-38, September.
    60. Natalia Bailey & Sean Holly & N. Hashem Pesaran, 2013. "A Two Stage Approach to Spatiotemporal Analysis with Strong and weak cross Sectional Dependence," Cambridge Working Papers in Economics 1362, Faculty of Economics, University of Cambridge.
    61. Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
    62. Daniela Scidá, 2023. "Structural VAR and financial networks: A minimum distance approach to spatial modeling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 49-68, January.
    63. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021. "Time-varying general dynamic factor models and the measurement of financial connectedness," Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
    64. Felix Brunner & Ruben Hipp, 2023. "Estimating large‐dimensional connectedness tables: The great moderation through the lens of sectoral spillovers," Quantitative Economics, Econometric Society, vol. 14(3), pages 1021-1058, July.
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    67. Ahelegbey, Daniel Felix & Giudici, Paolo, 2022. "NetVIX — A network volatility index of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
    68. Zitian Gao & Yihao Xiao, 2024. "Enhancing Startup Success Predictions in Venture Capital: A GraphRAG Augmented Multivariate Time Series Method," Papers 2408.09420, arXiv.org, revised Mar 2025.
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    93. Chabé-Ferret, Sylvain & Reynaud, Arnaud & Tène, Eva, 2021. "Water Quality, Policy Diffusion Effects and Farmers’ Behavior," TSE Working Papers 21-1229, Toulouse School of Economics (TSE).
    94. Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023. "High-dimensional VARs with common factors," Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
    95. Chen, Jia & Li, Degui & Li, Yu-Ning & Linton, Oliver, 2025. "Estimating time-varying networks for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 249(PC).
    96. Ge, Shuyi & Li, Shaoran & Linton, Oliver, 2023. "News-implied linkages and local dependency in the equity market," Journal of Econometrics, Elsevier, vol. 235(2), pages 779-815.

  29. Matteo Barigozzi & Marc Hallin, 2015. "Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting," Working Papers ECARES ECARES 2015-22, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
    2. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
    3. Ma, Yan-Ran & Zhang, Dayong & Ji, Qiang & Pan, Jiaofeng, 2019. "Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?," Energy Economics, Elsevier, vol. 81(C), pages 536-544.
    4. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics Discussion Papers 2020-5, Kiel Institute for the World Economy.
    5. Kris Boudt & Dries Cornilly & Tim Verdonck, 2019. "Nearest Comoment Estimation With Unobserved Factors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/970, Ghent University, Faculty of Economics and Business Administration.
    6. Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
    7. Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
    8. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
    9. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    10. Andreou, Elena & Ghysels, Eric, 2021. "Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors," Journal of Econometrics, Elsevier, vol. 220(2), pages 366-398.
    11. Tingting Lan & Liuguo Shao & Hua Zhang & Caijun Yuan, 2023. "The impact of pandemic on dynamic volatility spillover network of international stock markets," Empirical Economics, Springer, vol. 65(5), pages 2115-2144, November.
    12. Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
    13. Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls, 2018. "On the robustness of the principal volatility components," Textos para discussão 474, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    14. Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
    15. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    16. Osman Dou{g}an & Raffaele Mattera & Philipp Otto & Suleyman Tac{s}p{i}nar, 2024. "A Dynamic Spatiotemporal and Network ARCH Model with Common Factors," Papers 2410.16526, arXiv.org.
    17. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
    18. Cipollini, Fabrizio & Gallo, Giampiero M., 2019. "Modeling Euro STOXX 50 volatility with common and market-specific components," Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
    19. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org, revised May 2025.
    20. Christian Mücher & Giorgio Calzolari & Roxana Halbleib, 2026. "Sequential estimation of multivariate factor stochastic volatility models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 110(1), pages 41-63, March.
    21. Duc Thi Luu, 2022. "Portfolio Correlations in the Bank-Firm Credit Market of Japan," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 529-569, August.
    22. Li, Yu-Ning & Chen, Jia & Linton, Oliver, 2026. "Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model," Journal of Econometrics, Elsevier, vol. 254(PA).
    23. Sudarshan Kumar & Tiziana Di Matteo & Anindya S. Chakrabarti, 2020. "Disentangling shock diffusion on complex networks: Identification through graph planarity," Papers 2001.01518, arXiv.org.
    24. Jiageng Huang & Fei Wang, 2026. "Past and future: measurement, characteristics, and early warning of risk spillover between Chinese industry markets," Risk Management, Palgrave Macmillan, vol. 28(3), pages 1-30, September.
    25. Gaoke Liao & Peng Hou & Xiaoyan Shen & Khaldoon Albitar, 2021. "The impact of economic policy uncertainty on stock returns: The role of corporate environmental responsibility engagement," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4386-4392, July.
    26. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    27. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
    28. Marc Hallin, 2022. "Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series," Econometrics, MDPI, vol. 10(4), pages 1-9, December.
    29. Krupskii, Pavel & Joe, Harry, 2020. "Flexible copula models with dynamic dependence and application to financial data," Econometrics and Statistics, Elsevier, vol. 16(C), pages 148-167.
    30. Shahin Tavakoli & Gilles Nisol & Marc Hallin, 2023. "Factor models for high‐dimensional functional time series II: Estimation and forecasting," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 601-621, September.
    31. Bae, Juhee, 2024. "Factor-augmented forecasting in big data," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1660-1688.
    32. Kumar, Sudarshan & Bansal, Avijit & Chakrabarti, Anindya S., 2019. "Ripples on financial networks," IIMA Working Papers WP 2019-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    33. Ding, Yi & Engle, Robert & Li, Yingying & Zheng, Xinghua, 2025. "Multiplicative factor model for volatility," Journal of Econometrics, Elsevier, vol. 249(PB).
    34. Peter Chinloy & Matthew Imes, 2025. "The endogeneity of profitability and investment," Review of Quantitative Finance and Accounting, Springer, vol. 65(2), pages 691-726, August.
    35. Marc Hallin & Gilles Nisol & Shahin Tavakoli, 2023. "Factor models for high‐dimensional functional time series I: Representation results," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 578-600, September.
    36. M. E. Bontempi & I. Mammi, 2012. "A strategy to reduce the count of moment conditions in panel data GMM," Working Papers wp843, Dipartimento Scienze Economiche, Universita' di Bologna.
    37. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2020. "Research on China's financial systemic risk contagion under jump and heavy-tailed risk," International Review of Financial Analysis, Elsevier, vol. 72(C).
    38. Junfan Mao & Zhigen Gao & Bing-Yi Jing & Jianhua Guo, 2024. "On the statistical analysis of high-dimensional factor models," Statistical Papers, Springer, vol. 65(8), pages 4991-5019, October.
    39. Jari Miettinen & Markus Matilainen & Klaus Nordhausen & Sara Taskinen, 2020. "Extracting Conditionally Heteroskedastic Components using Independent Component Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 293-311, March.
    40. Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
    41. Xinyu Song, 2019. "Large Volatility Matrix Prediction with High-Frequency Data," Papers 1907.01196, arXiv.org, revised Sep 2019.
    42. Valentina Aprigliano & Lorenzo Bencivelli, 2013. "Ita-coin: a new coincident indicator for the Italian economy," Temi di discussione (Economic working papers) 935, Bank of Italy, Economic Research and International Relations Area.
    43. Lübbers, Johannes & Posch, Peter N., 2016. "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 28-40.

  30. Matteo Barigozzi & Marc Hallin, 2014. "Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks," Working Papers ECARES ECARES 2014-52, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
    2. Ma, Yan-Ran & Zhang, Dayong & Ji, Qiang & Pan, Jiaofeng, 2019. "Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?," Energy Economics, Elsevier, vol. 81(C), pages 536-544.
    3. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics Discussion Papers 2020-5, Kiel Institute for the World Economy.
    4. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
    5. Yu, Senyuan & Li, Jianfeng & Tao, Zhensheng & Yao, Xiaoyang & Wang, Hui, 2025. "The risk connectedness between international crude oil market and Chinese asset markets: From the perspective of common and idiosyncratic information," International Review of Financial Analysis, Elsevier, vol. 108(PA).
    6. Liu, Yixuan & Kirch, Claudia & Lee, Jeong Eun & Meyer, Renate, 2024. "A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 199(C).
    7. Kris Boudt & Dries Cornilly & Tim Verdonck, 2019. "Nearest Comoment Estimation With Unobserved Factors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/970, Ghent University, Faculty of Economics and Business Administration.
    8. Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021. "Quantile Factor Models," Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
    9. Bouri, Elie & Gabauer, David & Gupta, Rangan & Tiwari, Aviral Kumar, 2021. "Volatility connectedness of major cryptocurrencies: The role of investor happiness," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    10. Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
    11. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
    12. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    13. Li, Shuping & Yao, Xiaoyang & Li, Jianfeng, 2026. "The impact of co-movements in international commodity idiosyncratic volatility on China’s financial market risk," Research in International Business and Finance, Elsevier, vol. 82(C).
    14. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
    15. Ma, Yan-Ran & Ji, Qiang & Wu, Fei & Pan, Jiaofeng, 2021. "Financialization, idiosyncratic information and commodity co-movements," Energy Economics, Elsevier, vol. 94(C).
    16. Demetrescu, Matei & Hacıoğlu Hoke, Sinem, 2019. "Predictive regressions under asymmetric loss: Factor augmentation and model selection," International Journal of Forecasting, Elsevier, vol. 35(1), pages 80-99.
    17. Barigozzi, Matteo & Hallin, Marc, 2017. "A network analysis of the volatility of high-dimensionalfinancial series," LSE Research Online Documents on Economics 67456, London School of Economics and Political Science, LSE Library.
    18. Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
    19. Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls, 2018. "On the robustness of the principal volatility components," Textos para discussão 474, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    20. Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
    21. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    22. Osman Dou{g}an & Raffaele Mattera & Philipp Otto & Suleyman Tac{s}p{i}nar, 2024. "A Dynamic Spatiotemporal and Network ARCH Model with Common Factors," Papers 2410.16526, arXiv.org.
    23. Stevenson Bolivar & Rong Chen & Yuefeng Han, 2025. "Threshold Tensor Factor Model in CP Form," Papers 2511.19796, arXiv.org.
    24. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
    25. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.
    26. Cipollini, Fabrizio & Gallo, Giampiero M., 2019. "Modeling Euro STOXX 50 volatility with common and market-specific components," Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
    27. Giannoulakis, Michael, 2025. "Non-Performing Loans determinants: A new behavioural approach," Greenwich Papers in Political Economy 51102, University of Greenwich, Greenwich Political Economy Research Centre.
    28. Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023. "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
    29. Zhou, Xuewei & Ouyang, Zisheng & Lu, Min & Ouyang, Zhongzhe, 2024. "Multilayer network analysis of idiosyncratic volatility connectedness: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
    30. Christian Mücher & Giorgio Calzolari & Roxana Halbleib, 2026. "Sequential estimation of multivariate factor stochastic volatility models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 110(1), pages 41-63, March.
    31. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022. "Next generation models for portfolio risk management: An approach using financial big data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
    32. Ruofan Yu & Rong Chen & Han Xiao & Yuefeng Han, 2024. "Dynamic Matrix Factor Models for High Dimensional Time Series," Papers 2407.05624, arXiv.org.
    33. Matteo Barigozzi & Luca Trapin, 2025. "Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering," Papers 2502.04112, arXiv.org, revised Jan 2026.
    34. Barigozzi, Matteo & Brownlees, Christian T., 2018. "Nets: network estimation for time series," LSE Research Online Documents on Economics 90493, London School of Economics and Political Science, LSE Library.
    35. Li, Yu-Ning & Chen, Jia & Linton, Oliver, 2026. "Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model," Journal of Econometrics, Elsevier, vol. 254(PA).
    36. Jialing Han & Yu-Ning Li, 2025. "Approximate Factor Model with S-vine Copula Structure," Papers 2508.11619, arXiv.org.
    37. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2022. "Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1049-1064, September.
    38. Yunus Emre Ergemen, 2022. "Parametric Estimation of Long Memory in Factor Models," CREATES Research Papers 2022-10, Department of Economics and Business Economics, Aarhus University.
    39. Pourkhanali, Armin & Tafakori, Laleh & Bee, Marco, 2023. "Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect," International Review of Financial Analysis, Elsevier, vol. 89(C).
    40. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    41. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
    42. Marc Hallin, 2022. "Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series," Econometrics, MDPI, vol. 10(4), pages 1-9, December.
    43. Shahin Tavakoli & Gilles Nisol & Marc Hallin, 2023. "Factor models for high‐dimensional functional time series II: Estimation and forecasting," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 601-621, September.
    44. Ding, Yi & Engle, Robert & Li, Yingying & Zheng, Xinghua, 2025. "Multiplicative factor model for volatility," Journal of Econometrics, Elsevier, vol. 249(PB).
    45. Marc Hallin & Gilles Nisol & Shahin Tavakoli, 2023. "Factor models for high‐dimensional functional time series I: Representation results," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 578-600, September.
    46. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2020. "Research on China's financial systemic risk contagion under jump and heavy-tailed risk," International Review of Financial Analysis, Elsevier, vol. 72(C).
    47. Andreou, E. & Gagliardini, P. & Ghysels, E. & Rubin, M., 2025. "Spanning latent and observable factors," Journal of Econometrics, Elsevier, vol. 248(C).
    48. Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024. "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers 202415, University of California at Riverside, Department of Economics.
    49. Jari Miettinen & Markus Matilainen & Klaus Nordhausen & Sara Taskinen, 2020. "Extracting Conditionally Heteroskedastic Components using Independent Component Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 293-311, March.
    50. Karmous, Aida & Boubaker, Heni & Belkacem, Lotfi, 2019. "A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    51. Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
    52. Xinyu Song, 2019. "Large Volatility Matrix Prediction with High-Frequency Data," Papers 1907.01196, arXiv.org, revised Sep 2019.
    53. Lübbers, Johannes & Posch, Peter N., 2016. "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 28-40.
    54. Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
    55. Shin, Minseok & Kim, Donggyu & Wang, Yazhen & Fan, Jianqing, 2025. "Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations," Journal of Econometrics, Elsevier, vol. 252(PA).

  31. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014. "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive 2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.

    Cited by:

    1. Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.
    2. Cipollini, Fabrizio & Gallo, Giampiero M. & Otranto, Edoardo, 2021. "Realized volatility forecasting: Robustness to measurement errors," International Journal of Forecasting, Elsevier, vol. 37(1), pages 44-57.
    3. Giampiero M. Gallo & Edoardo Otranto, 2017. "Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach," Econometrics Working Papers Archive 2017_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    4. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
    5. Fabrizio Cipollini & Giampiero M. Gallo, 2021. "Multiplicative Error Models: 20 years on," Papers 2107.05923, arXiv.org.
    6. Alessandra Amendola & Vincenzo Candila & Fabrizio Cipollini & Giampiero M. Gallo, 2020. "Doubly Multiplicative Error Models with Long- and Short-run Components," Papers 2006.03458, arXiv.org.
    7. Van Nieuwerburgh, Stijn & Lustig, Hanno & Kelly, Bryan & Herskovic, Bernard, 2017. "Firm Volatility in Granual Networks," CEPR Discussion Papers 12284, Centre for Economic Policy Research.
    8. Matteo Barigozzi & Marc Hallin, 2014. "Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks," Working Papers ECARES ECARES 2014-52, ULB -- Universite Libre de Bruxelles.
    9. KALNINA, Ilze & TEWOU, Kokouvi, 2015. "Cross-sectional dependence in idiosyncratic volatility," Cahiers de recherche 2015-04, Universite de Montreal, Departement de sciences economiques.
    10. Paul G. Egan & Anthony J. Leddin, 2016. "Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index," Asian Development Review, MIT Press, vol. 33(1), pages 74-110, March.
    11. Marko Mlikota, 2022. "Dynamic Innovation Transmission Through Networks: Theory, Large $T$-Inference, and the Role of Input-Output Conversion in Business Cycles," Papers 2211.13610, arXiv.org, revised Sep 2026.
    12. Zhang, Xingmin & Zhang, Shuai & Lu, Liping, 2022. "The banking instability and climate change: Evidence from China," Energy Economics, Elsevier, vol. 106(C).
    13. Zheng, Dengjin & Gao, Jingtian & Zhang, Wei & Kwon, Jiwon, 2025. "When real estate trembles: Spillover effects on stock price volatility under China’s “Three Red Lines” policy," Finance Research Letters, Elsevier, vol. 86(PB).
    14. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
    15. Cipollini, Fabrizio & Gallo, Giampiero M., 2019. "Modeling Euro STOXX 50 volatility with common and market-specific components," Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
    16. Everett Grant & Julieta Yung, 2025. "Analysis of Upstream, Downstream, and Common Firm Shocks Using a Large Factor‐Augmented Vector Autoregressive Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(2), pages 111-130, March.
    17. Barigozzi, Matteo & Brownlees, Christian T., 2018. "Nets: network estimation for time series," LSE Research Online Documents on Economics 90493, London School of Economics and Political Science, LSE Library.
    18. Duc Thi Luu, 2022. "Portfolio Correlations in the Bank-Firm Credit Market of Japan," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 529-569, August.
    19. Philip L. H. Yu & W. K. Li & F. C. Ng, 2017. "The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 513-527, October.
    20. Mohammed Yousef Mai, 2015. "Science Teachers' Attitudes towards Using ICT and Mobile Learning Technologies in Malaysian Schools," European Journal of Interdisciplinary Studies Articles, Revistia Research and Publishing, vol. 1, September.
    21. Pietro Coretto & Michele La Rocca & Giuseppe Storti, 2020. "Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters," JRFM, MDPI, vol. 13(4), pages 1-23, March.
    22. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
    23. Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021. "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers 21-057/III, Tinbergen Institute.
    24. Le, Trung Hai & Do, Hung Xuan & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Covid-19 pandemic and tail-dependency networks of financial assets," Finance Research Letters, Elsevier, vol. 38(C).
    25. Jozef Barun'ik & Tobias Kley, 2015. "Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables," Papers 1510.06946, arXiv.org, revised Dec 2018.

  32. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
    2. Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Martina Hengge & Seton Leonard, 2017. "Factor Models for Non-Stationary Series: Estimates of Monthly U.S. GDP," IHEID Working Papers 13-2017, Economics Section, The Graduate Institute of International Studies.
    4. Smeekes, Stephan & Wijler, Etienne, 2018. "Macroeconomic forecasting using penalized regression methods," International Journal of Forecasting, Elsevier, vol. 34(3), pages 408-430.
    5. Stefano Soccorsi, 2016. "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
    6. Carlo A. Favero & Alessandro Melone, 2019. "Asset Pricing vs Asset Expected Returning in Factor Models," Working Papers 651, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    7. Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).

  33. Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Corsetti, G. & Duarte, J. B. & Mann, S., 2018. "One Money, Many Markets - A Factor Model Approach to Monetary Policy in the Euro Area with High-Frequency Identification," Cambridge Working Papers in Economics 1816, Faculty of Economics, University of Cambridge.
    2. Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2026. "When Credit Growth Diverges: Common Dynamics and Regional Heterogeneity in Italy," GREDEG Working Papers 2026-13, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    3. Afonso S. Moura & Lorenz Emter & Nico Zorell & Ralph Setzer, 2024. "Monetary policy and growth-at-risk: the role of institutional quality," Working Papers w202414, Banco de Portugal, Economics and Research Department.
    4. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
    5. Christophe Blot & Jerôme Creel & Bruno Ducoudré & Xavier Timeau, 2015. "Back to fiscal consolidation in Europe and its dual tradeoff : now of later, through spending cuts or tax hikes," Documents de Travail de l'OFCE 2015-11, Observatoire Francais des Conjonctures Economiques (OFCE).
    6. Kerssenfischer, Mark, 2017. "The effects of US monetary policy shocks: Applying external instrument identification to a dynamic factor model," Discussion Papers 08/2017, Deutsche Bundesbank.
    7. Cavallo, Antonella & Ribba, Antonio, 2015. "Common macroeconomic shocks and business cycle fluctuations in Euro area countries," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 377-392.
    8. Harald Badinger & Stefan Schiman, 2020. "Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates," Department of Economics Working Papers wuwp300, Vienna University of Economics and Business, Department of Economics.
    9. Bagnai, Alberto & Granville, Brigitte & Mongeau Ospina, Christian A., 2017. "Withdrawal of Italy from the euro area: Stochastic simulations of a structural macroeconometric model," Economic Modelling, Elsevier, vol. 64(C), pages 524-538.
    10. Gomes-Pereira, Francisco, 2024. "Balance sheet expansionary policies in the euro area: Macroeconomic impacts and a vulnerable versus non-vulnerable comparison," The Journal of Economic Asymmetries, Elsevier, vol. 30(C).
    11. Nikolay Hristov & Oliver Hülsewig & Thomas Siemsen & Timo Wollmershäuser, 2019. "Restoring euro area monetary transmission: Which role for government bond rates?," Empirical Economics, Springer, vol. 57(3), pages 991-1021, September.
    12. Thomas Lux & Duc Thi Luu & Boyan Yanovski, 2020. "An analysis of systemic risk in worldwide economic sentiment indices," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(4), pages 909-928, November.
    13. Norhana Endut & James Morley & Pao-Lin Tien, 2018. "The changing transmission mechanism of US monetary policy," Empirical Economics, Springer, vol. 54(3), pages 959-987, May.
    14. Martin Mandler & Michael Scharnagl & Ute Volz, 2022. "Heterogeneity in Euro Area Monetary Policy Transmission: Results from a Large Multicountry BVAR Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 627-649, March.
    15. Potjagailo, Galina & Wolters, Maik H., 2019. "Global financial cycles since 1880," Kiel Working Papers 2122, Kiel Institute for the World Economy.
    16. Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2019. "Synchronization Patterns in the European Union," Documents de Travail de l'OFCE 2019-18, Observatoire Francais des Conjonctures Economiques (OFCE).
    17. Jackson, Laura E. & Owyang, Michael T. & Zubairy, Sarah, 2018. "Debt and stabilization policy: Evidence from a Euro Area FAVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 67-91.
    18. Anna Pustovalova & Timur Magzhanov & Ashot Mirzoyan, 2025. "Econometric Estimation of the Monetary Policy Effect on the Debt Burden at the Industry Level in Russia," Russian Journal of Money and Finance, Bank of Russia, vol. 84(4), pages 3-21, December.
    19. Georgiadis, Georgios & Jančoková, Martina, 2017. "Financial globalisation, monetary policy spillovers and macro-modelling: tales from 1001 shocks," Working Paper Series 2082, European Central Bank.
    20. Gabe de Bondt, 2017. "Confidence and monetary policy transmission," EcoMod2017 10197, EcoMod.
    21. Katerina Arnostova & Tomas Adam & Oxana Babecka Kucharcukova & Jan Babecky & Vojtech Belling & Sona Benecka & Jan Bruha & Martin Gurtler & Tibor Hledik & Tomas Holub & Eva Hromadkova & Lubos Komarek &, 2017. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2017," Occasional Publications - Edited Volumes, Czech National Bank, Research and Statistics Department, number as17 edited by Katerina Arnostova & Lucie Matejkova.
    22. Gefang, Deborah & Hall, Stephen G. & Tavlas, George S. & Wang, Yongli, 2025. "Does one size fit all? The country-specific effects of ECB monetary policy," European Economic Review, Elsevier, vol. 175(C).
    23. Ayla OguÅŸ Binatli & Niloufer Sohrabji, 2019. "Monetary Policy Transmission in the Euro Zone," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 5(1), pages 79-92, January.
    24. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Dynamic Factor Models, Cointegration, and Error Correction Mechanisms," Finance and Economics Discussion Series 2016-018, Board of Governors of the Federal Reserve System (U.S.).
    25. Conti, Antonio M., 2021. "Resurrecting the Phillips Curve in Low-Inflation Times," Economic Modelling, Elsevier, vol. 96(C), pages 172-195.
    26. Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2018. "One Money, Many Markets," Discussion Papers 1805, Centre for Macroeconomics (CFM).
    27. Hanisch, Max, 2019. "US monetary policy and the euro area," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 77-96.
    28. Stefano Neri & Tiziano Ropele, 2015. "The macroeconomic effects of the sovereign debt crisis in the euro area," Temi di discussione (Economic working papers) 1007, Bank of Italy, Economic Research and International Relations Area.
    29. Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    30. Bobasu, Alina & Ciccarelli, Matteo & Notarpietro, Alessandro & Ambrocio, Gene & Auer, Simone & Bonfim, Diana & Bottero, Margherita & Brázdik, František & Buss, Ginters & Byrne, David & Casalis, André , 2025. "Monetary policy transmission: a reference guide through ESCB models and empirical benchmarks," Occasional Paper Series 377, European Central Bank.
    31. Xing, Xiaoyun & Wang, Mingsong & Wang, Yougui & Stanley, H. Eugene, 2020. "Credit creation under multiple banking regulations: The impact of balance sheet diversity on money supply," Economic Modelling, Elsevier, vol. 91(C), pages 720-735.
    32. Gründler, Daniel & Scharler, Johann, 2025. "Bank lending standards and monetary transmission in the euro area," Economics Letters, Elsevier, vol. 254(C).
    33. Simona Hašková & Marek Vochozka, 2018. "Duality in Cyclical Trends in European Union Confirmed," SAGE Open, , vol. 8(1), pages 21582440177, January.
    34. Lukas Berend & Jan Pruser, 2024. "The Transmission of Monetary Policy via Common Cycles in the Euro Area," Papers 2410.05741, arXiv.org, revised Nov 2024.
    35. Hanisch, Max & Kempa, Bernd, 2017. "The international transmission channels of US supply and demand shocks: Evidence from a non-stationary dynamic factor model for the G7 countries," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 70-88.
    36. Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2026. "When Credit Growth Diverges: Common Dynamics and Regional Heterogeneity in Italy," Working Papers 2026.15, Fondazione Eni Enrico Mattei.
    37. Roy, Ripon & Bashar, Omar H.N.M. & Bhattacharya, Prasad Sankar, 2023. "The cross-industry effects of monetary policy: New evidence from Bangladesh," Economic Modelling, Elsevier, vol. 127(C).
    38. Leo Krippner & Sandra Eickmeier & Julia von Borstel, 2015. "The interest rate pass-through in the euro area during the sovereign debt crisis," Reserve Bank of New Zealand Discussion Paper Series DP2015/03, Reserve Bank of New Zealand.
    39. Barbieri, Claudio & Guerini, Mattia & Napoletano, Mauro, 2026. "When Credit Growth Diverges: Common Dynamics and Regional Heterogeneity in Italy," FEEM Working Papers 399465, Fondazione Eni Enrico Mattei (FEEM).
    40. Akbari Dehbaghi, Simin & Arman, Seyed Aziz & Ahangari, Majid, 2020. "The Impact of Domestic and Foreign Monetary Policy on Iran's economy: Global Modeling," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(2), pages 151-180, April.
    41. Tomas Adam & Oxana Babecka Kucharcukova & Jan Babecky & Vojtech Belling & Sona Benecka & Jan Bruha & Kamil Galuscak & Tomas Holub & Eva Hromadkova & Lubos Komarek & Zlatuse Komarkova & Kamila Kulhava , 2015. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2015," Occasional Publications - Edited Volumes, Czech National Bank, Research and Statistics Department, number as15 edited by Kamila Kulhava & Lucie Matejkova.
    42. Theron Shumba & Sophia Mukorera, 2023. "Monetary Policy Implications on Macroeconomic Performance in the Common Monetary Area: A Panel-SVAR Framework," Economies, MDPI, vol. 11(5), pages 1-18, May.
    43. Petrovska Magdalena & Tonovska Jasna & Nikolov Miso & Sulejmani Artan, 2022. "Evaluating Monetary Policy Effectiveness in North Macedonia: Evidence from a Bayesian Favar Framework," South East European Journal of Economics and Business, Paradigm, vol. 17(2), pages 67-82, December.
    44. Glocker, Christian & Wegmüller, Philipp, 2024. "Energy price surges and inflation: Fiscal policy to the rescue?," Journal of International Money and Finance, Elsevier, vol. 149(C).
    45. Potjagailo, Galina, 2017. "Spillover effects from Euro area monetary policy across Europe: A factor-augmented VAR approach," Journal of International Money and Finance, Elsevier, vol. 72(C), pages 127-147.
    46. Jung, Alexander & Carcel Villanova, Hector, 2020. "The empirical properties of euro area M3, 1980-2017," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 37-49.
    47. Florian Huber & Michael Pfarrhofer & Philipp Piribauer, 2020. "A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 911-926, September.
    48. Matteo Barigozzi & Claudio Lissona & Lorenzo Tonni, 2024. "Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy," Papers 2410.05082, arXiv.org, revised Jun 2026.
    49. Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2020. "One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area," IMF Working Papers 2020/108, International Monetary Fund.
    50. Katerina Arnostova & Oxana Babecka Kucharcukova & Jan Babecky & Vojtech Belling & Sona Benecka & Jan Bruha & Martin Gurtler & Tomas Holub & Eva Hromadkova & Lubos Komarek & Zlatuse Komarkova & Petr Kr, 2016. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2016," Occasional Publications - Edited Volumes, Czech National Bank, Research and Statistics Department, number as16 edited by Katerina Arnostova & Lucie Matejkova.
    51. Andrea Colabella, 2019. "Do the ECB’s monetary policies benefit emerging market economies? A GVAR analysis on the crisis and post-crisis period," Temi di discussione (Economic working papers) 1207, Bank of Italy, Economic Research and International Relations Area.
    52. Hanisch, Max, 2017. "The effectiveness of conventional and unconventional monetary policy: Evidence from a structural dynamic factor model for Japan," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 110-134.
    53. Destefanis, Sergio & Fragetta, Matteo & Gasteiger, Emanuel, 2021. "Does one size fit all in the Euro Area? Some counterfactual evidence," ECON WPS - Working Papers in Economic Theory and Policy 05/2019, TU Wien, Institute of Statistics and Mathematical Methods in Economics, Economics Research Unit, revised 2021.
    54. Neri, Stefano & Nobili, Andrea & Conti, Antonio M., 2017. "Low inflation and monetary policy in the euro area," Working Paper Series 2005, European Central Bank.
    55. Marco Flaccadoro, 2022. "Exchange rate pass-through in small, open, commodity-exporting economies: lessons from Canada," Temi di discussione (Economic working papers) 1368, Bank of Italy, Economic Research and International Relations Area.
    56. Anna Pestova, 2020. "“Credit view” on monetary policy in Russia," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 72-88.
    57. Michael Pfarrhofer & Anna Stelzer, 2019. "High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks," Papers 1912.03158, arXiv.org, revised Dec 2024.
    58. Christophe Blot & Marion Cochard & Jérôme Creel & Bruno Ducoudre & Danielle Schweisguth & Xavier Timbeau, 2014. "Fiscal Consolidation, Public Debt and Output Dynamics in the Euro Area: lessons from a simple model with time-varying fiscal multipliers," Post-Print hal-03429902, HAL.
    59. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2020. "Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors," Econometrics, MDPI, vol. 8(1), pages 1-23, February.
    60. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
    61. Ute Volz & Martin Mandler & Michael Scharnagl, 2016. "Heterogeneity in Euro Area Monetary Policy Transmission: Results from a large Multi-Country BVAR," EcoMod2016 9609, EcoMod.
    62. Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2016. "The impact of ECB policies on Euro area investment," Sciences Po Economics Publications (main) hal-03459319, HAL.
    63. Nave, Juan M. & Ruiz, Javier, 2025. "Stock market sensitivities to European monetary policy," The Journal of Economic Asymmetries, Elsevier, vol. 32(C).
    64. Karim Triki, 2016. "Expenditure-based Consolidation: Experiences and Outcomes – Workshop proceedings," European Economy - Discussion Papers 026, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    65. Krokida, Styliani-Iris & Makrychoriti, Panagiota & Spyrou, Spyros, 2020. "Monetary policy and herd behavior: International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 386-417.
    66. Andrea Colabella, 2021. "Do ECB's Monetary Policies Benefit EMEs? A GVAR Analysis on the Global Financial and Sovereign Debt Crises and Postcrises Period," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 472-494, April.
    67. Potjagailo, Galina, 2016. "Spillover effects from euro area monetary policy across the EU: A factor-augmented VAR approach," Kiel Working Papers 2033, Kiel Institute for the World Economy.
    68. Max Hanisch, 2017. "US Monetary Policy and the Euro Area," Discussion Papers of DIW Berlin 1701, DIW Berlin, German Institute for Economic Research.
    69. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
    70. Matteo Farnè & Angelos T. Vouldis, 2021. "Banks’ business models in the euro area: a cluster analysis in high dimensions," Annals of Operations Research, Springer, vol. 305(1), pages 23-57, October.
    71. Geiger, Martin & Gründler, Daniel & Scharler, Johann, 2023. "Monetary policy shocks and consumer expectations in the euro area," Journal of International Economics, Elsevier, vol. 140(C).
    72. Zhu, Bing & Betzinger, Michael & Sebastian, Steffen, 2017. "Housing market stability, mortgage market structure, and monetary policy: Evidence from the euro area," Journal of Housing Economics, Elsevier, vol. 37(C), pages 1-21.
    73. Alberto Caruso, 2016. "The Impact of Macroeconomic News on the Euro-Dollar Exchange Rate," Working Papers ECARES ECARES 2016-32, ULB -- Universite Libre de Bruxelles.
    74. Hou, Jianghuai & Wang, Fang & Zhang, Ji, 2025. "How trade drives fluctuations in macroeconomics in China – A multi-level dynamic factor approach," China Economic Review, Elsevier, vol. 91(C).

  34. Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2011. "Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model," European Economy - Economic Papers 2008 - 2015 441, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.

    Cited by:

    1. Bhattacharya, Rudrani & Tripathi, Shruti & Chowdhury, Sahana Roy, 2019. "Financial structure, institutional quality and monetary policy transmission: A Meta-Analysis," Working Papers 19/274, National Institute of Public Finance and Policy.
    2. Catherine Prettner & Klaus Prettner, 2012. "After Two Decades of Integration: How Interdependent are Eastern European Economies and the Euro Area?," EcoMod2012 4421, EcoMod.
    3. Prettner, Catherine & Prettner, Klaus, 2014. "How interdependent are Eastern European economies and the Euro area?," University of Göttingen Working Papers in Economics 187, University of Goettingen, Department of Economics.
    4. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    5. Konstantins Benkovskis & Andrejs Bessonovs & Martin Feldkircher & Julia Wörz, 2011. "The Transmission of Euro Area Monetary Shocks to the Czech Republic, Poland and Hungary: Evidence from a FAVAR Model," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 8-36.

  35. Matteo Barigozzi & Alessio Moneta, 2011. "The Rank of a System of Engel Curves. How Many Common Factors?," Papers on Economics and Evolution 2011-01, Philipps University Marburg, Department of Geography.

    Cited by:

    1. Andreas Chai, 2017. "Tackling Keynes’ question: a look back on 15 years of Learning To Consume," Journal of Evolutionary Economics, Springer, vol. 27(2), pages 251-271, April.

  36. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".

    Cited by:

    1. Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016. "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283.
    2. Fady Barsoum, 2013. "The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach," Working Paper Series of the Department of Economics, University of Konstanz 2013-15, Department of Economics, University of Konstanz.
    3. Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi, 2013. "Jump tails, extreme dependencies, and the distribution of stock returns," Journal of Econometrics, Elsevier, vol. 172(2), pages 307-324.
    4. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
    5. Bernard Herskovic & Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2013. "Firm Volatility in Granular Networks," NBER Working Papers 19466, National Bureau of Economic Research, Inc.

  37. Matteo Barigozzi & Antonio Conti, 2010. "On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis," Working Papers ECARES ECARES 2010-022, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Favero, Carlo A. & De Santis, Roberto A & Roffia, Barbara, 2012. "Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability," CEPR Discussion Papers 8957, Centre for Economic Policy Research.
    2. Chen-Huan Shieh & Shou-Hsiang Liu & Chung-Ching Lee, 2017. "How Stable is the Money Demand in Taiwan?," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(5), pages 54-64, 05-2017.
    3. Ralph Setzer & Guntram Wolff, 2013. "Money demand in the euro area: new insights from disaggregated data," International Economics and Economic Policy, Springer, vol. 10(2), pages 297-315, June.

  38. Matteo Barigozzi & Giorgio Fagiolo & Giuseppe Mangioni, 2010. "Identifying the Community Structure of the International-Trade Multi Network," LEM Papers Series 2010/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

    Cited by:

    1. Zhu, Bo & Liu, Jiahao & Lin, Renda & Chevallier, Julien, 2021. "Cross-border systemic risk spillovers in the global oil system: Does the oil trade pattern matter?," Energy Economics, Elsevier, vol. 101(C).
    2. Yuichi Ikeda & Hiroshi Iyetomi, 2018. "Trade Network Reconstruction and Simulation with Changes in Trade Policy," Papers 1806.00605, arXiv.org.
    3. A. Baronchelli & T. Uberti, 2018. "Exports and FDI: comparing networks in the new millennium," Working Paper CRENoS 201813, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    4. Russo, Margherita & Alboni, Fabrizio & Sanginés, Jorge Carreto & De Domenico, Manlio & Mangioni, Giuseppe & Righi, Simone & Simonazzi, Annamaria, 2023. "Regionalisation and cross-region integration. Twin dynamics in the automotive international trade networks," Structural Change and Economic Dynamics, Elsevier, vol. 67(C), pages 98-114.
    5. Sun, Mei & Li, Juan & Gao, Cuixia & Han, Dun, 2017. "Identifying regime shifts in the US electricity market based on price fluctuations," Applied Energy, Elsevier, vol. 194(C), pages 658-666.
    6. Julian Maluck & Reik V Donner, 2015. "A Network of Networks Perspective on Global Trade," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-24, July.
    7. Michela Chessa & Arnaud Persenda & Dominique Torre, 2023. "Brexit and Canadadvent: An application of graphs and hypergraphs to recent international trade agreements," Post-Print hal-04194464, HAL.
    8. Gao, Chenjie & Teng, Xiangyi & Liu, Yilu & Liu, Jing, 2025. "A bilevel-optimization-driven evolutionary algorithm for community detection in multilayer networks with significant topological differences," Chaos, Solitons & Fractals, Elsevier, vol. 200(P1).
    9. Yan Li & Xuehan Liang & Sizhe Guan & Qingbo Huang, 2024. "Evolution and Motivation of the Value-Added Trade Pattern of Producer Services Based on a Complex Network," Mathematics, MDPI, vol. 12(23), pages 1-28, December.
    10. Rodrigo Mesa-Arango & Badri Narayanan & Satish V. Ukkusuri, 2019. "The Impact of International Crises on Maritime Transportation Based Global Value Chains," Networks and Spatial Economics, Springer, vol. 19(2), pages 381-408, June.
    11. Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2011. "Null Models of Economic Networks: The Case of the World Trade Web," Papers 1112.2895, arXiv.org, revised Sep 2012.
    12. Ehsan Ardjmand & William A. Young II & Najat E. Almasarwah, 2021. "Detecting Community Structures Within Complex Networks Using a Discrete Unconscious Search Algorithm," International Journal of Operations Research and Information Systems (IJORIS), IGI Global Scientific Publishing, vol. 12(2), pages 15-32, April.
    13. Zhong, Weiqiong & An, Haizhong & Gao, Xiangyun & Sun, Xiaoqi, 2014. "The evolution of communities in the international oil trade network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 42-52.
    14. Xiaopeng Wang & Chengyi Tu & Shuhao Chen & Sicheng Wang & Ying Fan & Samir Suweis & Paolo D'Odorico, 2024. "Quantifying Global Food Trade: A Net Caloric Content Approach to Food Trade Network Analysis," Papers 2411.18856, arXiv.org, revised Dec 2024.
    15. Yuichi Ikeda, 2020. "An Interacting Agent Model of Economic Crisis," Papers 2001.11843, arXiv.org.
    16. Juan Lucio & Raúl Mínguez & Asier Minondo & Francisco Requena, 2016. "Networks and the Dynamics of Firms' Export Portfolio: Evidence for Mexico," The World Economy, Wiley Blackwell, vol. 39(5), pages 708-736, May.
    17. Hao, Xiaoqing & An, Haizhong & Jiang, Meihui & Sun, Xiaoqi, 2024. "Supply shock propagation in the multi-layer network of global steel product chain: Additive effect of trade and production," Resources Policy, Elsevier, vol. 89(C).
    18. Zhong, Weiqiong & An, Haizhong & Shen, Lei & Fang, Wei & Gao, Xiangyun & Dong, Di, 2017. "The roles of countries in the international fossil fuel trade: An emergy and network analysis," Energy Policy, Elsevier, vol. 100(C), pages 365-376.
    19. Yujing Wang & Fu Ren & Ruoxin Zhu & Qingyun Du, 2020. "An Exploratory Analysis of Networked and Spatial Characteristics of International Natural Resource Trades (2000–2016)," Sustainability, MDPI, vol. 12(18), pages 1-34, September.
    20. Nobi, Ashadun & Lee, Tae Ho & Lee, Jae Woo, 2020. "Structure of trade flow networks for world commodities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    21. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
    22. Carlo Piccardi, 2011. "Finding and Testing Network Communities by Lumped Markov Chains," PLOS ONE, Public Library of Science, vol. 6(11), pages 1-13, November.
    23. Yuichi Ikeda & Hiroshi Iyetomi, 2018. "Trade network reconstruction and simulation with changes in trade policy," Evolutionary and Institutional Economics Review, Springer, vol. 15(2), pages 495-513, December.
    24. Fu, Xin & Yang, Yu & Dong, Wen & Wang, Changjian & Liu, Yi, 2017. "Spatial structure, inequality and trading community of renewable energy networks: A comparative study of solar and hydro energy product trades," Energy Policy, Elsevier, vol. 106(C), pages 22-31.
    25. Hoppe, K. & Rodgers, G.J., 2015. "A microscopic study of the fitness-dependent topology of the world trade network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 64-74.
    26. Jayles, Bertrand & Cheong, Siew Ann & Herrmann, Hans J., 2022. "Modeling the resilience of social networks to lockdowns regarding the dynamics of meetings," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 602(C).
    27. Stefania Vitali & Stefano Battiston, 2014. "The Community Structure of the Global Corporate Network," PLOS ONE, Public Library of Science, vol. 9(8), pages 1-13, August.
    28. Wu, Jianshe & Li, Xiaoxiao & Jiao, Licheng & Wang, Xiaohua & Sun, Bo, 2013. "Minimum spanning trees for community detection," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2265-2277.
    29. Marco Grassia & Giuseppe Mangioni & Stefano Schiavo & Silvio Traverso, 2020. "(Unintended) Consequences of export restrictions on medical goods during the Covid-19 pandemic," Papers 2007.11941, arXiv.org.
    30. Adelaide Baronchelli & Teodora Erika Uberti, 2021. "International Economic Integration: Comparing Exports and FDI Networks in the New Millennium," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(11), pages 1-30, November.
    31. John J Bartholdi & Pisit Jarumaneeroj & Amar Ramudhin, 2016. "A new connectivity index for container ports," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 18(3), pages 231-249, September.
    32. Paolo Bartesaghi & Gian Paolo Clemente & Rosanna Grassi, 2020. "Community structure in the World Trade Network based on communicability distances," Papers 2001.06356, arXiv.org, revised Jul 2020.
    33. Paolo Bartesaghi & Gian Paolo Clemente & Rosanna Grassi, 2022. "Community structure in the World Trade Network based on communicability distances," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 405-441, April.
    34. Ali Kharrazi & Brian D. Fath & Harald Katzmair, 2016. "Advancing Empirical Approaches to the Concept of Resilience: A Critical Examination of Panarchy, Ecological Information, and Statistical Evidence," Sustainability, MDPI, vol. 8(9), pages 1-17, September.
    35. Yuichi IKEDA & Hideaki AOYAMA & Hiroshi IYETOMI & Takayuki MIZUNO & Takaaki OHNISHI & Yohei SAKAMOTO & Tsutomu WATANABE, 2016. "Econophysics Point of View of Trade Liberalization: Community dynamics, synchronization, and controllability as example of collective motions," Discussion papers 16026, Research Institute of Economy, Trade and Industry (RIETI).
    36. Sun, Qingru & Gao, Xiangyun & Zhong, Weiqiong & Liu, Nairong, 2017. "The stability of the international oil trade network from short-term and long-term perspectives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 345-356.
    37. Yamada, Eri & Balland, Pierre-Alexandre & Kawakami, Tetsu & Nemoto, Jiro, 2025. "The structure and dynamics of the auto parts industry: Product space and complexity perspectives," Structural Change and Economic Dynamics, Elsevier, vol. 73(C), pages 472-485.
    38. Gao, Cuixia & Sun, Mei & Shen, Bo, 2015. "Features and evolution of international fossil energy trade relationships: A weighted multilayer network analysis," Applied Energy, Elsevier, vol. 156(C), pages 542-554.
    39. Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Structure of global buyer-supplier networks and its implications for conflict minerals regulations," Papers 1505.02274, arXiv.org.
    40. Qing Guan & Haizhong An & Xiaoqing Hao & Xiaoliang Jia, 2016. "The Impact of Countries’ Roles on the International Photovoltaic Trade Pattern: The Complex Networks Analysis," Sustainability, MDPI, vol. 8(4), pages 1-16, March.
    41. Suhua Ou & Qingshan Yang & Jian Liu, 2024. "The global production pattern of the semiconductor industry: an empirical research based on trade network," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-13, December.
    42. Xu, Helian & Cheng, Long, 2019. "The study of the influence of common humanistic relations on international services trade-from the perspective of multi-networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 642-651.
    43. Marco Duenas & Giorgio Fagiolo, 2011. "Modeling the International-Trade Network: A Gravity Approach," LEM Papers Series 2011/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    44. Nicole Palan & Nadia Simoes & Nuno Crespo, 2019. "Measuring Fifty Years of Trade Globalization," Graz Economics Papers 2019-14, University of Graz, Department of Economics.
    45. Jalili, Mahdi, 2017. "Spike phase synchronization in multiplex cortical neural networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 325-333.
    46. Zhong, Weiqiong & An, Haizhong & Shen, Lei & Dai, Tao & Fang, Wei & Gao, Xiangyun & Dong, Di, 2017. "Global pattern of the international fossil fuel trade: The evolution of communities," Energy, Elsevier, vol. 123(C), pages 260-270.
    47. Khomami, Mohammad Mehdi Daliri & Meybodi, Mohammad Reza & Rezvanian, Alireza, 2024. "Exploring social networks through stochastic multilayer graph modeling," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
    48. Kyle F Davis & Paolo D'Odorico & Francesco Laio & Luca Ridolfi, 2013. "Global Spatio-Temporal Patterns in Human Migration: A Complex Network Perspective," PLOS ONE, Public Library of Science, vol. 8(1), pages 1-8, January.
    49. Li, Yuke & Wu, Tianhao & Marshall, Nicholas & Steinerberger, Stefan, 2017. "Extracting geography from trade data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 205-212.
    50. Alessandro Chessa & Irene Crimaldi & Massimo Riccaboni & Luca Trapin, 2014. "Cluster Analysis of Weighted Bipartite Networks: A New Copula-Based Approach," PLOS ONE, Public Library of Science, vol. 9(10), pages 1-12, October.
    51. Wenlong Yang & Wentian Shi & Weidong Guo, 2026. "Evolution and proximity analysis of oil and natural gas trade networks among the Belt and Road Initiative countries," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 13(1), pages 1-18, December.
    52. Wang, Xiaopeng & Tu, Chengyi & Chen, Shuhao & Wang, Sicheng & Fan, Ying & Suweis, Samir & D'Odorico, Paolo, 2025. "Quantifying global food trade: A net caloric content approach to food trade network analysis," Agricultural Systems, Elsevier, vol. 230(C).
    53. Fraňková, Eva & Fousek, Jan & Kala, Lukáš & Labohý, Jan, 2014. "Transaction network analysis for studying Local Exchange Trading Systems (LETS): Research potentials and limitations," Ecological Economics, Elsevier, vol. 107(C), pages 266-275.
    54. Lovrić, Marko & Da Re, Riccardo & Vidale, Enrico & Pettenella, Davide & Mavsar, Robert, 2018. "Social network analysis as a tool for the analysis of international trade of wood and non-wood forest products," Forest Policy and Economics, Elsevier, vol. 86(C), pages 45-66.
    55. Carlo Piccardi & Lucia Tajoli, 2015. "Are Preferential Agreements Significant for the World Trade Structure? A Network Community Analysis," Kyklos, Wiley Blackwell, vol. 68(2), pages 220-239, May.
    56. Xia, Qifan & Du, Debin & Cao, Wanpeng & Li, Xiya, 2023. "Who is the core? Reveal the heterogeneity of global rare earth trade structure from the perspective of industrial chain," Resources Policy, Elsevier, vol. 82(C).
    57. LI, Yang & Luo, Jingqiu & Jiang, Yongmu, 2021. "Policy uncertainty spillovers and financial risk contagion in the Asia-Pacific network," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    58. Yang, Yu & Poon, Jessie P.H. & Liu, Yi & Bagchi-Sen, Sharmistha, 2015. "Small and flat worlds: A complex network analysis of international trade in crude oil," Energy, Elsevier, vol. 93(P1), pages 534-543.
    59. Nicolò Musmeci & Vincenzo Nicosia & Tomaso Aste & Tiziana Di Matteo & Vito Latora, 2017. "The Multiplex Dependency Structure of Financial Markets," Complexity, Hindawi, vol. 2017, pages 1-13, September.
    60. Hao, Xiaoqing & An, Haizhong, 2022. "Comparative study on transmission mechanism of supply shortage risk in the international trade of iron ore, pig iron and crude steel," Resources Policy, Elsevier, vol. 79(C).
    61. Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Structure of global buyer-supplier networks and its implications for conflict minerals regulations," CARF F-Series CARF-F-362, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    62. Rosanna Grassi & Paolo Bartesaghi & Stefano Benati & Gian Paolo Clemente, 2021. "Multi-Attribute Community Detection in International Trade Network," Networks and Spatial Economics, Springer, vol. 21(3), pages 707-733, September.
    63. Liu, Linqing & Shen, Mengyun & Sun, Da & Yan, Xiaofei & Hu, Shi, 2022. "Preferential attachment, R&D expenditure and the evolution of international trade networks from the perspective of complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).

  39. Barigozzi, Matteo & Alessi, Lucia & Capasso, Marco & Fagiolo, Giorgio, 2009. "The distribution of households consumption-expenditure budget shares," Working Paper Series 1061, European Central Bank.

    Cited by:

    1. Adam Ruschka & Martin Janíčko & Helena Chytilová, 2025. "Dynamic Panel Estimation of the Deaton Paradox," Central European Business Review, Prague University of Economics and Business, vol. 2025(1), pages 75-104.
    2. Schraml, Christopher & Eggenschwiler, Matthias & Rudolph, Thomas, 2025. "Inspiring Customers Early: How Social Online Touchpoints in the Pre-Purchase Phase Drive Customer Inspiration and Purchase Decisions," OSF Preprints x7dsy_v1, Center for Open Science.
    3. Yu, Jian & Shi, Xunpeng & Cheong, Tsun Se, 2021. "Distribution dynamics of China's household consumption upgrading," Structural Change and Economic Dynamics, Elsevier, vol. 58(C), pages 193-203.
    4. Kaldasch, Joachim, 2012. "Evolutionary Model of the Personal Income Distribution," MPRA Paper 37865, University Library of Munich, Germany.
    5. Mien, Toh Siaw & Said, Rusmawati, 2018. "A Cross-sectional Household Analysis of Household Consumption Patterns: An Indirect Approach to Identify the Possible Factors of Personal Bankruptcy," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 52(3), pages 231-246.
    6. Stefano Marchetti & Caterina Giusti & Monica Pratesi, 2016. "The use of Twitter data to improve small area estimates of households’ share of food consumption expenditure in Italy [Die Nutzung von Twitter Daten um die Small Area Schätzungen vom Ausgabenanteil für Lebensmittel von Haushalten in Italien zu ver," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 10(2), pages 79-93, October.
    7. Valentin Voytenkov & Olga Demidova, 2023. "Impact of COVID-19 on household consumption in Russia," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), vol. 72, pages 73-99.
    8. Ioannis Kostakis & Dimitrios Paparas & Anna Saiti & Stamatina Papadaki, 2020. "Food Consumption within Greek Households: Further Evidence from a National Representative Sample," Economies, MDPI, vol. 8(1), pages 1-18, February.
    9. Khoiriyah, Nikmatul & Forgenie, David & Iriany, Atiek, 2023. "Estimating Household Price and Income Elasticities for Animal-Sourced Food: The Case of Bengkulu Province, Indonesia," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 15(3), September.

  40. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
    2. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
    3. Jiang, Yu & Guo, Yongji & Zhang, Yihao, 2017. "Forecasting China's GDP growth using dynamic factors and mixed-frequency data," Economic Modelling, Elsevier, vol. 66(C), pages 132-138.
    4. Enrique López E. & Fernando Tenjo Galarza & Diego H. Rodr�guez H., 2012. "El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 30(69), pages 195-256.
    5. Juan José Echavarría & Andrés González & Enrique López & Norberto Rodíguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Borradores de Economia 728, Banco de la Republica de Colombia.
    6. Shahin Tavakoli & Gilles Nisol & Marc Hallin, 2023. "Factor models for high‐dimensional functional time series II: Estimation and forecasting," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 601-621, September.
    7. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    8. Travaglini, Guido, 2011. "Principal Components and Factor Analysis. A Comparative Study," MPRA Paper 35486, University Library of Munich, Germany.
    9. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.
    10. Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.
    11. Xisong Jin, 2018. "How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation," BCL working papers 118, Central Bank of Luxembourg.

  41. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2009. "Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors," Working Paper Series 1115, European Central Bank.

    Cited by:

    1. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
    2. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
    3. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
    4. Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David, 2011. "Market liquidity as dynamic factors," Journal of Econometrics, Elsevier, vol. 163(1), pages 42-50, July.
    5. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    6. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
    7. Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
    8. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    9. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1), pages 557-567.
    10. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities estimation and forecasting," LSE Research Online Documents on Economics 67455, London School of Economics and Political Science, LSE Library.
    11. Mohammed Yousef Mai, 2015. "Science Teachers' Attitudes towards Using ICT and Mobile Learning Technologies in Malaysian Schools," European Journal of Interdisciplinary Studies Articles, Revistia Research and Publishing, vol. 1, September.
    12. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    13. Shahin Tavakoli & Gilles Nisol & Marc Hallin, 2023. "Factor models for high‐dimensional functional time series II: Estimation and forecasting," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 601-621, September.
    14. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.

  42. Matteo Barigozzi & Giorgio Fagiolo & Diego Garlaschelli, 2009. "Multinetwork of international trade: A commodity-specific analysis," Papers 0908.1879, arXiv.org, revised Jun 2010.

    Cited by:

    1. Marco Duenas & Giorgio Fagiolo, 2013. "Global Trade Imbalances: A Network Approach," LEM Papers Series 2013/12, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    2. Yuichi Ikeda & Hiroshi Iyetomi, 2018. "Trade Network Reconstruction and Simulation with Changes in Trade Policy," Papers 1806.00605, arXiv.org.
    3. A. Baronchelli & T. Uberti, 2018. "Exports and FDI: comparing networks in the new millennium," Working Paper CRENoS 201813, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    4. Michael Lebacher & Paul W. Thurner & Göran Kauermann, 2021. "Censored regression for modelling small arms trade volumes and its ‘Forensic’ use for exploring unreported trades," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 909-933, August.
    5. Aldasoro, Iñaki & Alves, Iván, 2015. "Multiplex interbank networks and systemic importance: An application to European data," SAFE Working Paper Series 102, Leibniz Institute for Financial Research SAFE.
    6. Julian Maluck & Reik V Donner, 2015. "A Network of Networks Perspective on Global Trade," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-24, July.
    7. Arcagni, Alberto & Cerqueti, Roy & Grassi, Rosanna, 2024. "Higher-order assortativity for directed weighted networks and Markov chains," European Journal of Operational Research, Elsevier, vol. 316(1), pages 215-227.
    8. Wang, Bi & Su, Qin & Chin, Kwai Sang, 2021. "Vulnerability assessment of China–Europe Railway Express multimodal transport network under cascading failures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 584(C).
    9. Zhang, Xiaohang & Cui, Huiyuan & Zhu, Ji & Du, Yu & Wang, Qi & Shi, Wenhua, 2017. "Measuring the dissimilarity of multiplex networks: An empirical study of international trade networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 380-394.
    10. Franco Ruzzenenti & Andreas Joseph & Elisa Ticci & Pietro Vozzella & Giampaolo Gabbi, 2015. "Interactions between financial and environmental networks in OECD countries," Papers 1501.04992, arXiv.org, revised Apr 2015.
    11. Roland Lantner & Didier Lebert, 2013. "Dominance, dependence and interdependence in linear structures. A theoretical model and an application to the international trade flows," Post-Print halshs-00825477, HAL.
    12. Rodrigo Mesa-Arango & Badri Narayanan & Satish V. Ukkusuri, 2019. "The Impact of International Crises on Maritime Transportation Based Global Value Chains," Networks and Spatial Economics, Springer, vol. 19(2), pages 381-408, June.
    13. Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2011. "Null Models of Economic Networks: The Case of the World Trade Web," Papers 1112.2895, arXiv.org, revised Sep 2012.
    14. Gianfranco Giulioni & Edmondo Di Giuseppe & Massimiliano Pasqui & Piero Toscano & Francesco Miglietta, 2018. "Investigating Wheat Price with a Multi-Agent Model," Papers 1807.10537, arXiv.org.
    15. Barigozzi, Matteo & Hallin, Marc, 2017. "A network analysis of the volatility of high-dimensionalfinancial series," LSE Research Online Documents on Economics 67456, London School of Economics and Political Science, LSE Library.
    16. Zhong, Weiqiong & An, Haizhong & Gao, Xiangyun & Sun, Xiaoqi, 2014. "The evolution of communities in the international oil trade network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 42-52.
    17. Martinčić-Ipšić, Sanda & Margan, Domagoj & Meštrović, Ana, 2016. "Multilayer network of language: A unified framework for structural analysis of linguistic subsystems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 117-128.
    18. Yuichi Ikeda, 2020. "An Interacting Agent Model of Economic Crisis," Papers 2001.11843, arXiv.org.
    19. Valère Fourel & Héam, J-C. & Dilyar Salakhova & Tavolaro, S., 2013. "Domino Effects when Banks Hoard Liquidity: The French network," Working papers 432, Banque de France.
    20. Arvis, Jean-Francois, 2013. "How many dimensions do we trade in ? product space geometry and latent comparative advantage," Policy Research Working Paper Series 6478, The World Bank.
    21. Shi, Qing & Sun, Xiaoqi & Xu, Man & Wang, Mengjiao, 2022. "The multiplex network structure of global cobalt industry chain," Resources Policy, Elsevier, vol. 76(C).
    22. Shen, Xinran & Lovrić, Marko, 2022. "Structural determinants of global trade in graphic paper and pulp products," Forest Policy and Economics, Elsevier, vol. 134(C).
    23. C'elestin Coquid'e & Leonardo Ermann & Jos'e Lages & D. L. Shepelyansky, 2019. "Influence of petroleum and gas trade on EU economies from the reduced Google matrix analysis of UN COMTRADE data," Papers 1903.01820, arXiv.org.
    24. Pietro Vozzella & Franco Ruzzenenti & Giampaolo Gabbi, 2019. "Energy and Environmental Flows: Do Most Financialised Countries within the Mediterranean Area Export Unsustainability?," Sustainability, MDPI, vol. 11(13), pages 1-15, July.
    25. Grazzini, Jakob & Spelta, Alessandro, 2022. "An empirical analysis of the global input–output network and its evolution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
    26. Algimantas Laurinavicius & Asma Salman & Mohamed Elsayed Abdelsalam Ghanem & Antanas Laurinavicius & Mohammed Ahmar Uddin, 2025. "Worldwide Nickel Ore Trade, Its Stability and the Characteristics: A Fresh Policy Analysis," Advances in Decision Sciences, Asia University, Taiwan, vol. 29(3), pages 85-118, September.
    27. Bartesaghi, Paolo & Clemente, Gian Paolo & Grassi, Rosanna, 2023. "Clustering coefficients as measures of the complex interactions in a directed weighted multilayer network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 610(C).
    28. Leonardo Ermann & Dima L. Shepelyansky, 2015. "Google matrix analysis of the multiproduct world trade network," Papers 1501.03371, arXiv.org.
    29. Paolo Bartesaghi & Gian Paolo Clemente & Rosanna Grassi, 2022. "Clustering coefficients as measures of the complex interactions in a directed weighted multilayer network," Papers 2206.06309, arXiv.org, revised Dec 2022.
    30. Nobi, Ashadun & Lee, Tae Ho & Lee, Jae Woo, 2020. "Structure of trade flow networks for world commodities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    31. Angela Abbate & Luca De Benedictis & Giorgio Fagiolo & Lucia Tajoli, 2012. "The International Trade Network in Space and Time," LEM Papers Series 2012/17, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    32. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
    33. C'elestin Coquid'e & Jos'e Lages & Dima L. Shepelyansky, 2020. "Crisis contagion in the world trade network," Papers 2002.07100, arXiv.org.
    34. Zhuo-Ming Ren & An Zeng & Yi-Cheng Zhang, 2020. "Bridging nestedness and economic complexity in multilayer world trade networks," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 7(1), pages 1-8, December.
    35. Yuichi Ikeda & Hiroshi Iyetomi, 2018. "Trade network reconstruction and simulation with changes in trade policy," Evolutionary and Institutional Economics Review, Springer, vol. 15(2), pages 495-513, December.
    36. Deepika Srivastava & M. Rahul, 2024. "Network analysis of trade and FDI," SN Business & Economics, Springer, vol. 4(1), pages 1-27, January.
    37. Hu, Xiaoqian & Wang, Chao & Lim, Ming K. & Chen, Wei-Qiang, 2020. "Characteristics of the global copper raw materials and scrap trade systems and the policy impacts of China's import ban," Ecological Economics, Elsevier, vol. 172(C).
    38. N. Foti & S. Pauls & Daniel N. Rockmore, 2011. "Stability of the World Trade Web over Time - An Extinction Analysis," Papers 1104.4380, arXiv.org, revised May 2011.
    39. Hoppe, K. & Rodgers, G.J., 2015. "A microscopic study of the fitness-dependent topology of the world trade network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 64-74.
    40. Luca Salvatici & Silvia Nenci, 2017. "New features, forgotten costs and counterfactual gains of the international trading system," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 44(4), pages 592-633.
    41. C'elestin Coquid'e & Jos'e Lages & Dima L. Shepelyansky, 2023. "Prospects of BRICS currency dominance in international trade," Papers 2305.00585, arXiv.org.
    42. Vittorio Carlei & Francesca Affortunato & Alessandro Marra & Marco Brogi, 2019. "Does centrality of importing countries affect export prices in the global trade?," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(1), pages 529-551, January.
    43. De Benedictis, L. & Nenci, S. & Santoni, G. & Tajoli, L. & Vicarelli, C., 2013. "Network Analysis of World Trade using the BACI-CEPII dataset," Working papers 471, Banque de France.
    44. Knoll, Susanne & Padula, Antonio Domingos & Crespolini dos Santos, Mariane & Pumi, Guilherme & Zhou, Shudong & Zhong, Funing & Jardim Barcellos, Julio Otavio, 2018. "Information flow in the Sino-Brazilian beef trade," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 21(01).
    45. Adelaide Baronchelli & Teodora Erika Uberti, 2021. "International Economic Integration: Comparing Exports and FDI Networks in the New Millennium," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(11), pages 1-30, November.
    46. Wang, Yang & Li, Xinlong & Yao, Jing & Zhang, Wei, 2025. "The evolutionary fairness dynamics on multiplex networks with information reliability and time delays," Chaos, Solitons & Fractals, Elsevier, vol. 198(C).
    47. Peiteng Shi & Jiang Zhang & Bo Yang & Jingfei Luo, 2014. "Hierarchicality of Trade Flow Networks Reveals Complexity of Products," Papers 1401.3103, arXiv.org.
    48. Zhu, Nina & Wang, Yuqing & Yang, Shuwen & Lyu, Lixing & Gong, Kunyao & Huang, Xinyue & Huang, Siyi, 2024. "Structure characteristics and formation mechanism of the RCEP manufacturing trade network: An ERGM analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 635(C).
    49. Bartesaghi, Paolo & Clemente, Gian Paolo & Grassi, Rosanna & Luu, Duc Thi, 2022. "The multilayer architecture of the global input-output network and its properties," Journal of Economic Behavior & Organization, Elsevier, vol. 204(C), pages 304-341.
    50. Marlies Hanna Schütz & Nicole Palan, 2016. "Restructuring of the international clothing and textile trade network: the role of Italy and Portugal," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 5(1), pages 1-29, December.
    51. Marlies Schütz & Nicole Palan, 2015. "Restructuring the International Textile Production and Trade Network. The Role of Italy and Portugal," FIW Working Paper series 156, FIW.
    52. Gao, Cuixia & Sun, Mei & Shen, Bo, 2015. "Features and evolution of international fossil energy trade relationships: A weighted multilayer network analysis," Applied Energy, Elsevier, vol. 156(C), pages 542-554.
    53. Paolo Giudici & Bihong Huang & Alessandro Spelta, 2018. "Trade Networks and Economic Fluctuations in Asia," ADBI Working Papers 832, Asian Development Bank Institute.
    54. Gianfranco Giulioni & Edmondo Di Giuseppe & Piero Toscano & Francesco Miglietta & Massimiliano Pasqui, 2019. "A Novel Computational Model of the Wheat Global Market with an Application to the 2010 Russian Federation Case," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 22(3), pages 1-4.
    55. Marco Duenas & Giorgio Fagiolo, 2011. "Modeling the International-Trade Network: A Gravity Approach," LEM Papers Series 2011/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    56. Kyu-Min Lee & Kwang-Il Goh, 2016. "Strength of weak layers in cascading failures on multiplex networks: case of the international trade network," Papers 1603.05181, arXiv.org, revised May 2016.
    57. Ma, Yu & Wang, Minxi & Li, Xin, 2022. "Analysis of the characteristics and stability of the global complex nickel ore trade network," Resources Policy, Elsevier, vol. 79(C).
    58. Luu, Duc Thi & Lux, Thomas, 2018. "Multilayer overlaps and correlations in the bank-firm credit network of Spain," Economics Working Papers 2018-04, Christian-Albrechts-University of Kiel, Department of Economics.
    59. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    60. Hong, Liu & Yan, Yongze & Ouyang, Min & Tian, Hui & He, Xiaozheng, 2017. "Vulnerability effects of passengers' intermodal transfer distance preference and subway expansion on complementary urban public transportation systems," Reliability Engineering and System Safety, Elsevier, vol. 158(C), pages 58-72.
    61. Mario Maggioni & Teodora Uberti, 2011. "Networks and geography in the economics of knowledge flows," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(5), pages 1031-1051, August.
    62. Michael Lebacher & Paul W. Thurner & Göran Kauermann, 2021. "A dynamic separable network model with actor heterogeneity: An application to global weapons transfers," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(1), pages 201-226, January.
    63. Khomami, Mohammad Mehdi Daliri & Meybodi, Mohammad Reza & Rezvanian, Alireza, 2024. "Exploring social networks through stochastic multilayer graph modeling," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
    64. Barigozzi, Matteo & Fagiolo, Giorgio & Mangioni, Giuseppe, 2011. "Identifying the community structure of the international-trade multi-network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2051-2066.
    65. Hao Xu & Niu Niu & Dongmei Li & Chengjie Wang, 2024. "A Dynamic Evolutionary Analysis of the Vulnerability of Global Food Trade Networks," Sustainability, MDPI, vol. 16(10), pages 1-17, May.
    66. Ceriotti, C. & Della Torre, M. & Grassetti, F. & Marazzina, D., 2023. "Should I have closed? A multiplex network approach for the short-term economic effect of Covid-19 containment measures in the EU," Socio-Economic Planning Sciences, Elsevier, vol. 90(C).
    67. Peiteng Shi & Jiang Zhang & Bo Yang & Jingfei Luo, 2014. "Hierarchicality of Trade Flow Networks Reveals Complexity of Products," PLOS ONE, Public Library of Science, vol. 9(6), pages 1-10, June.
    68. Ziang Huang & Huashan Chen, 2025. "Across Time and (Product) Space: A Capability-Centric Model of Relatedness and Economic Complexity," Papers 2508.21616, arXiv.org, revised Apr 2026.
    69. Pablo Lara-Martínez & Bibiana Obregón-Quintana & C F Reyes-Manzano & Irene López-Rodríguez & Lev Guzmán-Vargas, 2022. "A multiplex analysis of phonological and orthographic networks," PLOS ONE, Public Library of Science, vol. 17(9), pages 1-19, September.
    70. Kim, Min Jae & Kim, Sehyun & Jo, Yong Hwan & Kim, Soo Yong, 2011. "Dependence structure of the commodity and stock markets, and relevant multi-spread strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3842-3854.
    71. Marc Cortés Rufé & Yihao Yu & Jordi Martí Pidelaserra, 2025. "Systemic Risk in the Lithium and Copper Value Chains: A Network-Based Analysis Using Euclidean Distance and Graph Theory," Commodities, MDPI, vol. 4(4), pages 1-30, October.
    72. Lovrić, Marko & Da Re, Riccardo & Vidale, Enrico & Pettenella, Davide & Mavsar, Robert, 2018. "Social network analysis as a tool for the analysis of international trade of wood and non-wood forest products," Forest Policy and Economics, Elsevier, vol. 86(C), pages 45-66.
    73. Roland Lantner & Didier Lebert, 2013. "Dominance, dependence and interdependence in linear structures. A theoretical model and an application to the international trade flows," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00825477, HAL.
    74. Célestin Coquidé & José Lages & Dima Shepelyansky, 2020. "Interdependence of sectors of economic activities for world countries from the reduced Google matrix analysis of WTO data," Post-Print hal-02132487, HAL.
    75. V. Kandiah & H. Escaith & D. L. Shepelyansky, 2015. "Contagion effects in the world network of economic activities," Papers 1507.03278, arXiv.org.
    76. Roland Lantner & Didier Lebert, 2013. "Dominance, dependence and interdependence in linear structures. A theoretical model and an application to the international trade flows," Documents de travail du Centre d'Economie de la Sorbonne 13043, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    77. Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
    78. Di Vece, Marzio & Garlaschelli, Diego & Squartini, Tiziano, 2023. "Reconciling econometrics with continuous maximum-entropy network models," Chaos, Solitons & Fractals, Elsevier, vol. 166(C).
    79. Yang, Yu & Poon, Jessie P.H. & Liu, Yi & Bagchi-Sen, Sharmistha, 2015. "Small and flat worlds: A complex network analysis of international trade in crude oil," Energy, Elsevier, vol. 93(P1), pages 534-543.
    80. V. Kandiah & H. Escaith & D. L. Shepelyansky, 2015. "Google matrix of the world network of economic activities," Papers 1504.06773, arXiv.org.
    81. Yanni Huang & Taha Hossein Rashidi & Lauren Gardner, 2018. "Modelling the global maritime container network," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 20(3), pages 400-420, September.
    82. Jie Jian & Aaron Schein, 2026. "Bayesian Poisson-Randomized Gamma Tensor Factorization with Application to International Trade Flows," Papers 2606.17267, arXiv.org.
    83. Mika J. Straka & Guido Caldarelli & Tiziano Squartini & Fabio Saracco, 2017. "From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks," Papers 1710.10143, arXiv.org.
    84. Li, Liqiang & Liu, Jing, 2020. "The aggregation of multiplex networks based on the similarity of networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    85. Jeroen van Lidth de Jeude & Riccardo Di Clemente & Guido Caldarelli & Fabio Saracco & Tiziano Squartini, 2019. "Reconstructing Mesoscale Network Structures," Complexity, Hindawi, vol. 2019, pages 1-13, January.

  43. Matteo Barigozzi & Biagio Speciale, 2009. "Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure," Working Papers ECARES 2009_019, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Adamopoulou, Effrosyni & Kaya, Ezgi, 2019. "Not Just a Work Permit: EU Citizenship and the Consumption Behavior of Documented and Undocumented Immigrants," IZA Discussion Papers 12642, IZA Network @ LISER.

  44. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008. "A robust criterion for determining the number of static factors in approximate factor models," Working Paper Series 903, European Central Bank.

    Cited by:

    1. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2012. "Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008," Working Paper Series 1459, European Central Bank.
    2. Alain Kabundi & Tumisang Loate & Nicola Viegi, 2020. "Spillovers of the Conventional and Unconventional Monetary Policy from the US to South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 88(4), pages 435-471, December.
    3. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
    4. Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
    5. GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
    6. Gao, Quansheng & Hu, Chengjun, 2009. "Dynamic mortality factor model with conditional heteroskedasticity," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 410-423, December.
    7. Christian Menden & Christian R. Proaño, 2017. "Dissecting the financial cycle with dynamic factor models," IMK Working Paper 183-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    8. Fernando Tenjo Galarza & Enrique López E. & Diego H. Rodríguez H., 2012. "El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(69), pages 195-256, December.
    9. Dzhamilya Abuzyarova & Veronika Belousova & Zhaklin Krayushkina & Yulia Lonshcikova & Ekaterina Nikiforova & Nikolay Chichkanov, 2019. "The Role of Human Capital in Science, Technology and Innovation," Foresight and STI Governance, National Research University Higher School of Economics, vol. 13(2), pages 107-119.
    10. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    11. Matteo Luciani, 2013. "Monetary Policy, and the Housing Market: A Structural Factor Analysis," ULB Institutional Repository 2013/153324, ULB -- Universite Libre de Bruxelles.
    12. Mohan Subbiah & Frank J Fabozzi, 2016. "Equity style allocation: A nonparametric approach," Journal of Asset Management, Palgrave Macmillan, vol. 17(3), pages 141-164, May.
    13. Pallara, Kevin, 2016. "The dynamic effects of government spending: a FAVAR approach," MPRA Paper 92283, University Library of Munich, Germany.
    14. Le, Vu & Wang, Qing, 2014. "Robust thresholding for Diffusion Index forecast," Economics Letters, Elsevier, vol. 125(1), pages 52-56.
    15. Alain Kabundi & Francisco Nadal De Simone, 2011. "France in the global economy: a structural approximate dynamic factor model analysis," Empirical Economics, Springer, vol. 41(2), pages 311-342, October.
    16. Juan José Echavarría & Andrés González & Enrique López & Norberto Rodíguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Borradores de Economia 728, Banco de la Republica de Colombia.
    17. Vedolin, Andrea, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics 43091, London School of Economics and Political Science, LSE Library.
    18. Ali Babikir & Henry Mwambi, 2016. "Evaluating the combined forecasts of the dynamic factor model and the artificial neural network model using linear and nonlinear combining methods," Empirical Economics, Springer, vol. 51(4), pages 1541-1556, December.

  45. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008. "A review of nonfundamentalness and identification in structural VAR models," Working Paper Series 922, European Central Bank.

    Cited by:

    1. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    2. Lanne, Markku & Saikkonen, Pentti, 2009. "Noncausal vector autoregression," Bank of Finland Research Discussion Papers 18/2009, Bank of Finland.
    3. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Working Papers 07/2012, University of Verona, Department of Economics.
    4. Giorgio Fagiolo & Andrea Roventini, 2008. "On the Scientific Status of Economic Policy: A Tale of Alternative Paradigms," LEM Papers Series 2008/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    5. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
    6. Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," Papers 2306.14653, arXiv.org, revised Jan 2024.
    7. Marco Forti & Felipe Wolk Teixeira, 2026. "Infinite-dimensional dynamic factor model for the integration of international factors into small open economy DSGE models," Economics Bulletin, AccessEcon, vol. 46(2), pages 828-862.
    8. Fève, Patrick & Jidoud, Ahmat, 2012. "Identifying News Shocks from SVARs," TSE Working Papers 12-287, Toulouse School of Economics (TSE).
    9. Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro, 2009. "Dynamic macroeconomic effects of public capital: evidence from regional Italian data," Temi di discussione (Economic working papers) 733, Bank of Italy, Economic Research and International Relations Area.
    10. Marco Forti & Alessandro Spelta, 2026. "Infinite-dimensional dynamic factor model for the integration of international factors into small open economy DSGE models," Economics Bulletin, AccessEcon, vol. 46(2), pages 828-862.
    11. Johannes Hermanus Kemp, 2020. "Empirical estimates of fiscal multipliers for South Africa," WIDER Working Paper Series wp-2020-91, World Institute for Development Economic Research (UNU-WIDER).

  46. Marco Capasso & Lucia Alessi & Matteo Barigozzi & Giorgio Fagiolo, 2007. "On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters," LEM Papers Series 2007/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

    Cited by:

    1. Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2010. "On the distributional properties of household consumption expenditures: the case of Italy," Empirical Economics, Springer, vol. 38(3), pages 717-741, June.
    2. Dennis Frestad & Fred Espen Benth & Steen Koekebakker, 2010. "Modeling Term Structure Dynamics in the Nordic Electricity Swap Market," The Energy Journal, , vol. 31(2), pages 53-86, April.
    3. Giuricich, Mario Nicoló & Burnecki, Krzysztof, 2019. "Modelling of left-truncated heavy-tailed data with application to catastrophe bond pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 498-513.
    4. Iván Blanco & Juan Ignacio Peña & Rosa Rodríguez, 2018. "Modelling Electricity Swaps with Stochastic Forward Premium Models," The Energy Journal, , vol. 39(2), pages 1-34, March.
    5. Lunardi, José T. & Miccichè, Salvatore & Lillo, Fabrizio & Mantegna, Rosario N. & Gallegati, Mauro, 2014. "Do firms share the same functional form of their growth rate distribution? A statistical test," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 140-164.
    6. Matthias Duschl & Thomas Brenner, 2013. "Characteristics of regional industry-specific employment growth rates' distributions," Papers in Regional Science, Wiley Blackwell, vol. 92(2), pages 249-270, June.

  47. Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "On the distributional properties of household consumption expenditures. The case of Italy," LEM Papers Series 2007/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

    Cited by:

    1. Barigozzi, Matteo & Moneta, Alessio, 2016. "Identifying the independent sources of consumption variation," LSE Research Online Documents on Economics 60979, London School of Economics and Political Science, LSE Library.
    2. Barigozzi, Matteo & Alessi, Lucia & Capasso, Marco & Fagiolo, Giorgio, 2009. "The distribution of households consumption-expenditure budget shares," Working Paper Series 1061, European Central Bank.
    3. Ellis Scharfenaker, 2019. "Implications of Quantal Response Statistical Equilibrium," Working Paper Series, Department of Economics, University of Utah 2019_07, University of Utah, Department of Economics.
    4. Chatterjee, Arnab & Chakrabarti, Anindya S. & Ghosh, Asim & Chakraborti, Anirban & Nandi, Tushar K., 2016. "Invariant features of spatial inequality in consumption: The case of India," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 169-181.
    5. Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2019. "Exploiting ergodicity in forecasts of corporate profitability," BERG Working Paper Series 147, Bamberg University, Bamberg Economic Research Group.
    6. Matteo Barigozzi & Lucia Alessi & Marco Capasso & Giorgio Fagiolo, 2008. "The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households," Papers on Economics and Evolution 2008-09, Philipps University Marburg, Department of Geography.
    7. Alfarano, Simone & Milaković, Mishael & Irle, Albrecht & Kauschke, Jonas, 2012. "A statistical equilibrium model of competitive firms," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 136-149.
    8. Mundt, Philipp & Oh, Ilfan, 2019. "Asymmetric competition, risk, and return distribution," Economics Letters, Elsevier, vol. 179(C), pages 29-32.
    9. Jan Schulz & Daniel M. Mayerhoffer, 2022. "A Network Approach to Consumption," Papers 2203.14259, arXiv.org, revised Apr 2022.
    10. David S. Bieri & Casey J. Dawkins, 2019. "Amenities, affordability, and housing vouchers," Journal of Regional Science, Wiley Blackwell, vol. 59(1), pages 56-82, January.
    11. Matteo Barigozzi & Biagio Speciale, 2009. "Immigrant’s legal status, permanence in the destination country and the distribution of consumption expenditure," Working Papers ECARES 2009_019, ULB -- Universite Libre de Bruxelles.

Articles

  1. Matteo Barigozzi & Marc Hallin, 2026. "The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 47(1), pages 201-219, January.
    See citations under working paper version above.
  2. Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco, 2025. "Factor Network Autoregressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 43(4), pages 1105-1118, October.
    See citations under working paper version above.
  3. Barigozzi, Matteo & Massacci, Daniele, 2025. "Modelling large dimensional datasets with Markov switching factor models," Journal of Econometrics, Elsevier, vol. 247(C).
    See citations under working paper version above.
  4. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2024. "Inference in Heavy-Tailed Nonstationary Multivariate Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 565-581, January.
    See citations under working paper version above.
  5. Matteo Barigozzi & Haeran Cho & Dom Owens, 2024. "FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 890-902, July.

    Cited by:

    1. Jan Ditzen & Erkal Ersoy & Haoyang Li & Francesco Ravazzolo, 2026. "Forecasting Oil Consumption: The Statistical Review of World Energy Meets Machine Learning," Papers 2602.01963, arXiv.org.
    2. Elie Bouri & Matteo Foglia & Sayar Karmakar & Rangan Gupta, 2024. "Return-Volatility Nexus in the Digital Asset Class: A Dynamic Multilayer Connectedness Analysis," Working Papers 202432, University of Pretoria, Department of Economics.
    3. Donggyu Kim & Minseok Shin, 2024. "Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure," Working Papers 202418, University of California at Riverside, Department of Economics.
    4. Younghoon Kim & Changryong Baek, 2026. "Latent community paths in VAR-type models via dynamic directed spectral co-clustering," Papers 2604.12563, arXiv.org.
    5. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org, revised May 2025.
    6. Harrison Katz & Robert E. Weiss, 2025. "Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 14(3), pages 1-1, October.
    7. Harrison Katz & Robert E. Weiss, 2025. "Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study," Papers 2504.05489, arXiv.org, revised Feb 2026.
    8. Luca Margaritella & Ovidijus Stauskas, 2024. "New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings," Papers 2409.20415, arXiv.org, revised Nov 2025.
    9. Zhang, Xiaoqi & Du, Peilin & Zheng, Yanqiao & Zhang, Zexuan & Yao, Jiayi, 2025. "Knowledge-based multiplex network reconstruction and influential substructure identification of stock time series: An application to the Chinese A-share market," Finance Research Letters, Elsevier, vol. 75(C).
    10. Beyhum, Jad & Striaukas, Jonas, 2024. "Testing for sparse idiosyncratic components in factor-augmented regression models," Journal of Econometrics, Elsevier, vol. 244(1).
    11. Chen, Jia & Li, Degui & Li, Yu-Ning & Linton, Oliver, 2025. "Estimating time-varying networks for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 249(PC).

  6. Matteo Barigozzi & Matteo Farnè, 2024. "An Algebraic Estimator for Large Spectral Density Matrices," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 498-510, January.

    Cited by:

    1. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org, revised May 2025.

  7. Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
    See citations under working paper version above.
  8. Matteo Barigozzi & Matteo Luciani, 2023. "Measuring the Output Gap using Large Datasets," The Review of Economics and Statistics, MIT Press, vol. 105(6), pages 1500-1514, November.

    Cited by:

    1. Mohammad R. Jahan-Parvar & Charles Knipp & Pawel J. Szerszen, 2024. "Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components," Finance and Economics Discussion Series 2024-100, Board of Governors of the Federal Reserve System (U.S.).
    2. Kamber, Güneş & Morley, James & Wong, Benjamin, 2025. "Trend-cycle decomposition in the presence of large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 173(C).
    3. Matteo Barigozzi & Claudio Lissona & Matteo Luciani, 2024. "Measuring the Euro Area Output Gap," Finance and Economics Discussion Series 2024-099, Board of Governors of the Federal Reserve System (U.S.).
    4. Alessandro Barbarino & Travis J. Berge & Andrea Stella, 2024. "The stability and economic relevance of output gap estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(6), pages 1065-1081, September.
    5. Hie Joo Ahn & Matteo Luciani, 2026. "Common and Idiosyncratic Inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 41(2), pages 156-168, March.
    6. Błażej, Mirosław & Górajski, Mariusz & Ulrichs, Magdalena, 2025. "Microdata-based output gap estimation using business tendency surveys," Journal of Economic Dynamics and Control, Elsevier, vol. 174(C).
    7. Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024. "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers 2407.06883, arXiv.org.
    8. Emmanouil Sofianos & Christos Alexakis & Periklis Gogas & Theophilos Papadimitriou, 2025. "Machine learning forecasting in the macroeconomic environment: the case of the US output gap," Economic Change and Restructuring, Springer, vol. 58(1), pages 1-19, February.

  9. Matteo Barigozzi & Lorenzo Trapani, 2022. "Testing for Common Trends in Nonstationary Large Datasets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1107-1122, June.

    Cited by:

    1. Daniele Massacci & Lucio Sarno & Lorenzo Trapani & Pierluigi Vallarino, 2025. "A general randomized test for Alpha," Papers 2507.17599, arXiv.org, revised May 2026.
    2. Morten {O}rregaard Nielsen & Won-Ki Seo & Dakyung Seong, 2023. "Inference on common trends in functional time series," Papers 2312.00590, arXiv.org, revised Jul 2026.
    3. Kong, Xinbing & Zhang, Tong, 2026. "Estimation and inference for large-dimensional generalized matrix factor models," Journal of Econometrics, Elsevier, vol. 253(C).
    4. Massimo Franchi & Iliyan Georgiev & Paolo Paruolo, 2024. "Canonical correlation analysis of stochastic trends via functional approximation," Papers 2411.19572, arXiv.org, revised Sep 2025.
    5. Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.

  10. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021. "Time-varying general dynamic factor models and the measurement of financial connectedness," Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
    See citations under working paper version above.
  11. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.

    Cited by:

    1. Takumah, Wisdom & Ujah, Nacasius, 2025. "Defense spending and asset prices: The role of cointegration and high-dimensional macroeconomic data," Economic Analysis and Policy, Elsevier, vol. 87(C), pages 2346-2359.
    2. Cristiano Cantore & Filippo Ferroni & Hroon Mumtaz & Angeliki Theophilopoulou, 2022. "A tail of labour supply and a tale of monetary policy," Bank of England Staff Working Paper series 989, Bank of England.
    3. Marco Brianti & Mario Forni & Luca Gambetti & Antonio Granese, 2026. "Nonlinear Business-Cycle Anatomy," Working Papers wp1221, Dipartimento Scienze Economiche, Universita' di Bologna.
    4. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
    5. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
    6. Gianluca Cubadda, 2024. "VAR models with an index structure: A survey with new results," Papers 2412.11278, arXiv.org, revised Sep 2025.
    7. Donato Ceci & Andrea Silvestrini, 2023. "Nowcasting the state of the Italian economy: The role of financial markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1569-1593, November.
    8. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    9. Matteo Barigozzi & Claudio Lissona & Matteo Luciani, 2024. "Measuring the Euro Area Output Gap," Finance and Economics Discussion Series 2024-099, Board of Governors of the Federal Reserve System (U.S.).
    10. Casoli, Chiara & Lucchetti, Riccardo (Jack), "undated". "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
    11. Granese, Antonio, 2026. "Two main business cycle shocks are better than one," Journal of Economic Dynamics and Control, Elsevier, vol. 182(C).
    12. Li, Yu-Ning & Chen, Jia & Linton, Oliver, 2026. "Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model," Journal of Econometrics, Elsevier, vol. 254(PA).
    13. Gabriele Mingoli, 2024. "Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model," Tinbergen Institute Discussion Papers 24-072/III, Tinbergen Institute.
    14. Margaris, Aristotelis, 2024. "Monetary policy and house price heterogeneity: Evidence from the U.K," Economics Letters, Elsevier, vol. 244(C).
    15. Drossidis, Theo & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2024. "The distributional effects of oil supply news shocks," Economics Letters, Elsevier, vol. 240(C).
    16. Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.
    17. Shahriyar Aliyev & Evžen Kočenda, 2023. "ECB monetary policy and commodity prices," Review of International Economics, Wiley Blackwell, vol. 31(1), pages 274-304, February.
    18. Haroon Mumtaz & Roman Sustek, 2023. "Global house prices since 1950," Discussion Papers 2307, Centre for Macroeconomics (CFM).
    19. Li, Dake & Plagborg-Møller, Mikkel & Wolf, Christian K., 2024. "Local projections vs. VARs: Lessons from thousands of DGPs," Journal of Econometrics, Elsevier, vol. 244(2).
    20. Mirela Sorina Miescu & Giorgio Motta & Dario Pontiggia & Raffaele Rossi, 2023. "The Expansionary Effects Of Housing Credit Supply Shocks," Working Papers 399832231, Lancaster University Management School, Economics Department.
    21. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
    22. Hie Joo Ahn & Matteo Luciani, 2021. "Relative prices and pure inflation since the mid-1990s," Finance and Economics Discussion Series 2021-069, Board of Governors of the Federal Reserve System (U.S.).
    23. Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
    24. Takumah, Wisdom, 2023. "Fiscal Policy and Asset Prices in a Dynamic Factor Model with Cointegrated Factors," MPRA Paper 117897, University Library of Munich, Germany, revised 10 Jul 2023.
    25. Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.

  12. Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
    See citations under working paper version above.
  13. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2020. "Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors," Econometrics, MDPI, vol. 8(1), pages 1-23, February.

    Cited by:

    1. Feng, Zongbao & Chen, Weiya & Liu, Yang & Chen, Hongyu & Skibniewski, Mirosław J., 2023. "Long-term equilibrium relationship analysis and energy-saving measures of metro energy consumption and its influencing factors based on cointegration theory and an ARDL model," Energy, Elsevier, vol. 263(PD).
    2. Sergej Gričar & Štefan Bojnec, 2021. "Technical Analysis of Tourism Price Process in the Eurozone," JRFM, MDPI, vol. 14(11), pages 1-25, October.
    3. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
    4. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
    5. Gianluca Cubadda, 2024. "VAR models with an index structure: A survey with new results," Papers 2412.11278, arXiv.org, revised Sep 2025.
    6. Donato Ceci & Andrea Silvestrini, 2023. "Nowcasting the state of the Italian economy: The role of financial markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1569-1593, November.
    7. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    8. Casoli, Chiara & Lucchetti, Riccardo (Jack), "undated". "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
    9. Tibor Szendrei & Katalin Varga, 2020. "FISS - A Factor-based Index of Systemic Stress in the Financial System," Russian Journal of Money and Finance, Bank of Russia, vol. 79(1), pages 3-34, March.
    10. Li, Yu-Ning & Chen, Jia & Linton, Oliver, 2026. "Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model," Journal of Econometrics, Elsevier, vol. 254(PA).
    11. Gabriele Mingoli, 2024. "Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model," Tinbergen Institute Discussion Papers 24-072/III, Tinbergen Institute.
    12. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
    13. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.

  14. Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
    See citations under working paper version above.
  15. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models," Journal of Financial Econometrics, Oxford University Press, vol. 17(3), pages 462-494.
    See citations under working paper version above.
  16. Mercedes Campi & Marco Dueñas & Matteo Barigozzi & Giorgio Fagiolo, 2019. "Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 28(2), pages 230-256, February.
    See citations under working paper version above.
  17. Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
    See citations under working paper version above.
  18. Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 206(1), pages 187-225.
    See citations under working paper version above.
  19. Matteo Barigozzi & Antonio M. Conti, 2018. "On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(4), pages 755-787, August.
    See citations under working paper version above.
  20. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
    See citations under working paper version above.
  21. Matteo Barigozzi & Marc Hallin, 2017. "A network analysis of the volatility of high dimensional financial series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(3), pages 581-605, April.
    See citations under working paper version above.
  22. Matteo Barigozzi & Alessio Moneta, 2016. "Identifying the Independent Sources of Consumption Variation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 420-449, March.
    See citations under working paper version above.
  23. Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
    See citations under working paper version above.
  24. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
    See citations under working paper version above.
  25. Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2014. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 693-714, October.
    See citations under working paper version above.
  26. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2013. "The common component of firm growth," Structural Change and Economic Dynamics, Elsevier, vol. 26(C), pages 73-82.

    Cited by:

    1. Juan Federico & Joan-Lluis Capelleras, 2015. "The heterogeneous dynamics between growth and profits: the case of young firms," Small Business Economics, Springer, vol. 44(2), pages 231-253, February.
    2. Fornaro, Paolo, 2016. "Predicting Finnish economic activity using firm-level data," International Journal of Forecasting, Elsevier, vol. 32(1), pages 10-19.
    3. Stella, Andrea, 2015. "Firm dynamics and the origins of aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 71-88.
    4. Yang, Jing & Lu, Danning & Shi, Jianxun, 2026. "Agglomeration externalities of high-growth firms: the case of the manufacturing sector in China," Structural Change and Economic Dynamics, Elsevier, vol. 76(C), pages 1-19.

  27. Barigozzi, Matteo & Alessi, Lucia & Capasso, Marco & Fagiolo, Giorgio, 2012. "The distribution of household consumption-expenditure budget shares," Structural Change and Economic Dynamics, Elsevier, vol. 23(1), pages 69-91.
    See citations under working paper version above.
  28. Matteo Barigozzi & Biagio Speciale, 2011. "Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure," Applied Economics Letters, Taylor & Francis Journals, vol. 18(14), pages 1341-1347.
    See citations under working paper version above.
  29. Barigozzi, Matteo & Fagiolo, Giorgio & Mangioni, Giuseppe, 2011. "Identifying the community structure of the international-trade multi-network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2051-2066.
    See citations under working paper version above.
  30. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2011. "Non‐Fundamentalness in Structural Econometric Models: A Review," International Statistical Review, International Statistical Institute, vol. 79(1), pages 16-47, April.

    Cited by:

    1. Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
    2. Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
    3. Nektarios A. Michail & Christos S. Savva & Demetris Koursaros, 2017. "Size Effects of Fiscal Policy and Business Confidence in the Euro Area," IJFS, MDPI, vol. 5(4), pages 1-15, November.
    4. Ellahie, Atif & Ricco, Giovanni, 2017. "Government purchases reloaded: Informational insufficiency and heterogeneity in fiscal VARs," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 13-27.
    5. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers 21/13, Institute for Fiscal Studies.
    6. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
    7. Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," MPRA Paper 74922, University Library of Munich, Germany, revised 04 Nov 2016.
    8. Antonio Aguirre & Ignacio N. Lobato, 2024. "Evidence of non-fundamentalness in OECD capital stocks," Empirical Economics, Springer, vol. 67(2), pages 761-772, August.
    9. Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
    10. J. Baron & Julia Schmidt, 2014. "Technological Standardization, Endogenous Productivity and Transitory Dynamics," Working papers 503, Banque de France.
    11. Martin Hodula & Lukas Pfeifer, 2018. "The Impact of Credit Booms and Economic Policy on Labour Productivity: A Sectoral Analysis," ACTA VSFS, University of Finance and Administration, vol. 12(1), pages 10-42.
    12. Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    13. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel [The sectoral effects of monetary policy in Hungary: a structural factor]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
    14. Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
    15. Lof, Matthijs, 2011. "Noncausality and Asset Pricing," MPRA Paper 30519, University Library of Munich, Germany.
    16. Féve, Patrick & Jidoud, Ahmat, 2012. "Identifying News Shocks from SVARs," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 919-932.
    17. Granese, Antonio, 2026. "Two main business cycle shocks are better than one," Journal of Economic Dynamics and Control, Elsevier, vol. 182(C).
    18. Angelini, Giovanni & Sorge, Marco M., 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    19. Alessio Moneta & Doris Entner & Patrik O. Hoyer & Alex Coad, 2013. "Causal Inference by Independent Component Analysis: Theory and Applications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 705-730, October.
    20. Weifeng Jin, 2023. "Quantile Autoregression-based Non-causality Testing," Papers 2301.02937, arXiv.org.
    21. Stefano Soccorsi, 2016. "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
    22. Iskrev, Nikolay, 2019. "On the sources of information about latent variables in DSGE models," European Economic Review, Elsevier, vol. 119(C), pages 318-332.
    23. Nikolay Iskrev, 2021. "Spectral decomposition of the information about latent variables in dynamic macroeconomic models," Working Papers w202105, Banco de Portugal, Economics and Research Department.
    24. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    25. Hecq, Alain & Issler, João Victor & Telg, Sean, 2017. "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper 80767, University Library of Munich, Germany.
    26. Berner, Anne & Bruns, Stephan & Moneta, Alessio & Stern, David I., 2022. "Do energy efficiency improvements reduce energy use? Empirical evidence on the economy-wide rebound effect in Europe and the United States," Energy Economics, Elsevier, vol. 110(C).
    27. Marco M. Sorge, 2013. "On the Fundamentalness of Nonfundamentalness in DSGE Models," CSEF Working Papers 340, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    28. Nyholm, Juho, 2017. "Residual-based diagnostic tests for noninvertible ARMA models," MPRA Paper 81033, University Library of Munich, Germany.
    29. Kang, Jihye & Kim, Soyoung, 2022. "Government spending news and surprise shocks: It’s the timing and persistence," Journal of Macroeconomics, Elsevier, vol. 73(C).
    30. Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.
    31. Lobato, Ignacio N. & Velasco, Carlos, 2018. "Efficiency improvements for minimum distance estimation of causal and invertible ARMA models," Economics Letters, Elsevier, vol. 162(C), pages 150-152.
    32. Fanelli, Luca & Sorge, Marco M., 2017. "Indeterminate forecast accuracy under indeterminacy," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 57-70.
    33. Lanne, Markku & Saikkonen, Pentti, 2013. "Noncausal Vector Autoregression," Econometric Theory, Cambridge University Press, vol. 29(3), pages 447-481, June.
    34. Paul Levine & Joseph Pearlman & Stephen Wright & Bo Yang, 2023. "Imperfect Information and Hidden Dynamics," School of Economics Discussion Papers 1223, School of Economics, University of Surrey.
    35. Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.
    36. Luca Fanelli & Marco M. Sorge, 2015. "Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?," CSEF Working Papers 402, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    37. Gianluca Cubadda & Francesco Giancaterini & Stefano Grassi, 2025. "Sequential Monte Carlo for Noncausal Processes," Papers 2501.03945, arXiv.org.
    38. Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015. "Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?," Research Memorandum 035, Maastricht University, Graduate School of Business and Economics (GSBE).
    39. Lof, Matthijs & Nyberg, Henri, 2017. "Noncausality and the commodity currency hypothesis," Energy Economics, Elsevier, vol. 65(C), pages 424-433.
    40. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    41. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2013. "The common component of firm growth," Structural Change and Economic Dynamics, Elsevier, vol. 26(C), pages 73-82.

  31. Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2010. "On the distributional properties of household consumption expenditures: the case of Italy," Empirical Economics, Springer, vol. 38(3), pages 717-741, June.
    See citations under working paper version above.
  32. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2010. "Improved penalization for determining the number of factors in approximate factor models," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1806-1813, December.

    Cited by:

    1. González Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2021. "Expecting the unexpected: economic growth under stress," DES - Working Papers. Statistics and Econometrics. WS 32148, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Leu, Shawn C.-Y. & Robertson, Mari L., 2021. "Mortgage credit volumes and monetary policy after the Great Recession," Economic Modelling, Elsevier, vol. 94(C), pages 483-500.
    3. Francisco Corona & Graciela González-Farías & Pedro Orraca, 2017. "A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-35, December.
    4. Oguzhan Cepni & I. Ethem Guney & Norman R. Swanson, 2020. "Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 18-36, January.
    5. Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
    6. Javier Emmanuel Anguiano Pita & Antonio Ruiz Porras, 2020. "Market dynamics and integration of the financial markets of the NAFTA countries," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 92, pages 67-100, Enero-Jun.
    7. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
    8. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
    9. Hallin, Marc & Lippi, Marco, 2013. "Factor models in high-dimensional time series—A time-domain approach," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2678-2695.
    10. Nathan Bedock & Dalibor Stevanović, 2017. "An empirical study of credit shock transmission in a small open economy," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(2), pages 541-570, May.
    11. Bada, O. & Kneip, A. & Liebl, D. & Mensinger, T. & Gualtieri, J. & Sickles, R.C., 2022. "A wavelet method for panel models with jump discontinuities in the parameters," Journal of Econometrics, Elsevier, vol. 226(2), pages 399-422.
    12. Matteo Barigozzi & Lorenzo Trapani, 2018. "Determining the dimension of factor structures in non-stationary large datasets," Papers 1806.03647, arXiv.org.
    13. Kappler, Marcus & Schleer, Frauke, 2017. "A financially stressed euro area," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, vol. 11, pages 1-37.
    14. Fernando Nascimento de Oliveira & Wagner Piazza Gaglianone, 2019. "Expectations Anchoring Indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term," Working Papers Series 497, Central Bank of Brazil, Research Department.
    15. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
    16. Andrew S. Duncan & Alain Kabundi, 2014. "Global Financial Crises and Time-Varying Volatility Comovement in World Equity Markets," South African Journal of Economics, Economic Society of South Africa, vol. 82(4), pages 531-550, December.
    17. Barigozzi, Matteo & Moneta, Alessio, 2016. "Identifying the independent sources of consumption variation," LSE Research Online Documents on Economics 60979, London School of Economics and Political Science, LSE Library.
    18. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
    19. Rangan Gupta & Faaiqa Hartley, 2013. "The Role of Asset Prices in Forecasting Inflation and Output in South Africa," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 12(3), pages 239-291, December.
    20. Olivier Fortin-Gagnon & Maxime Leroux & Dalibor Stevanovic & Stephane Surprenant, 2020. "A Large Canadian Database for Macroeconomic Analysis," Working Papers 20-07, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    21. Jiti Gao & Guangming Pan & Yanrong Yang & Bo Zhang, 2019. "Estimation of Cross-Sectional Dependence in Large Panels," Papers 1904.06843, arXiv.org.
    22. Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2020. "Macroeconomic forecasting using approximate factor models with outliers," International Journal of Forecasting, Elsevier, vol. 36(2), pages 267-291.
    23. Zakaria Moussa, 2016. "How big is the comeback? Japanese exchange rate pass-through assessed by time-varying FAVAR," Post-Print hal-03714934, HAL.
    24. Philipp Gersing, 2024. "A Distributed Lag Approach to the Generalised Dynamic Factor Model," Papers 2410.20885, arXiv.org, revised Jun 2026.
    25. Matteo Luciani, 2012. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES ECARES 2012-035, ULB -- Universite Libre de Bruxelles.
    26. Seung C. Ahn & Alex R. Horenstein, 2017. "Asset Pricing and Excess Returns over the Market Return," Working Papers 2017-12, University of Miami, Department of Economics.
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