Search Results - person:"Barigozzi, Matteo"

Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm

Barigozzi, Matteo; Luciani, Matteo - 2024 - This version: October 23, 2024

Persistent link: https://www.econbiz.de/10015136017

Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm

Barigozzi, Matteo; Luciani, Matteo - 2024 - This version: September 26, 2024

Persistent link: https://www.econbiz.de/10015123794

Factoring in the micro : a transaction-level dynamic factor approach to the decomposition of export volatility

Barigozzi, Matteo; Cuzzola, Angelo; Grazzi, Marco; … - 2025

Persistent link: https://www.econbiz.de/10015395848

Measuring the Euro Area output gap

Barigozzi, Matteo; Lissona, Claudio; Luciani, Matteo - 2024 - Last update: October 29, 2024

Persistent link: https://www.econbiz.de/10015271310

The dynamic, the static, and the weak factor models and the analysis of high-dimensional time series

Barigozzi, Matteo; Hallin, Marc - 2024

Persistent link: https://www.econbiz.de/10015050256

FNETS : factor-adjusted network estimation and forecasting for high-dimensional time series

Barigozzi, Matteo; Cho, Haeran; Owens, Dom - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 890-902

Persistent link: https://www.econbiz.de/10015053503

Dynamic factor models: a genealogy

Barigozzi, Matteo; Hallin, Marc - 2023

Persistent link: https://www.econbiz.de/10014391458

Measuring the output gap using large datasets

Barigozzi, Matteo; Luciani, Matteo - In: The review of economics and statistics 105 (2023) 6, pp. 1500-1514

Persistent link: https://www.econbiz.de/10014462208

Inferential theory for generalized dynamic factor models

Barigozzi, Matteo; Hallin, Marc; Luciani, Matteo; … - In: Journal of econometrics 239 (2024) 2, pp. 1-41

Persistent link: https://www.econbiz.de/10015074449

Factoring in the micro: A transaction-level dynamic factor approach to the decomposition of export volatility

Barigozzi, Matteo; Cuzzola, Angelo; Grazzi, Marco; … - 2021

This paper analyzes the sources of export volatility estimating a dynamic factor model on transaction-level data. Using an exhaustive dataset covering all French export transactions over the period 1993-2017, we reconstruct the latent factor space associated to global and destination-specific...

Persistent link: https://www.econbiz.de/10012651882