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Generalized dynamic factor models and volatilities : estimation and forecasting

Barigozzi, Matteo; Hallin, Marc - 2015

Persistent link: https://www.econbiz.de/10011289224

Generalized dynamic factor models and volatilities : recovering the market volatility shocks

Barigozzi, Matteo; Hallin, Marc - In: The econometrics journal 19 (2016) 1, pp. 33-60

Persistent link: https://www.econbiz.de/10011487491

Generalized dynamic factor models and volatilities : estimation and forecasting

Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 201 (2017) 2, pp. 307-321

Persistent link: https://www.econbiz.de/10011920497

Time series in high dimensions : the general dynamic factor model

Hallin, Marc (ed.); Lippi, Marco (ed.); … - 2020

Persistent link: https://www.econbiz.de/10012002347

Networks, dynamic factors, and the volatility analysis of high-dimensional financial series

Barigozzi, Matteo; Hallin, Marc - 2015

Persistent link: https://www.econbiz.de/10011622692

Identification of global and national shocks in international financial markets via general dynamic factor models

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2017

Persistent link: https://www.econbiz.de/10011673310

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/10012584297

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019

Persistent link: https://www.econbiz.de/10012064799

Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals

Barigozzi, Matteo; Hallin, Marc - 2018

Persistent link: https://www.econbiz.de/10012064840

Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals

Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 216 (2020) 1, pp. 4-34

Persistent link: https://www.econbiz.de/10012439634