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M. Barigozzi · SciRah

Researcher profile · Semantic Scholar

M. Barigozzi

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M. Barigozzi — researcher profile on SciRah

h-index: 22
Works: 86
Citations: 2,367

Most-cited papers

Improved penalization for determining the number of factors in approximate factor models
L. Alessi, M. Barigozzi, M. Capasso
2010360 citations
Semantic Scholar
Multinetwork of international trade: a commodity-specific analysis.
M. Barigozzi, G. Fagiolo, D. Garlaschelli
2009Physical review. E, Statistical, nonlinear, and soft matter physics217 citations Open access
Semantic Scholar
NETS: Network estimation for time series
M. Barigozzi, Christian T. Brownlees
2019Journal of applied econometrics199 citations Open access
Semantic Scholar
Identifying the Community Structure of the International-Trade Multi Network
M. Barigozzi, G. Fagiolo, G. Mangioni
2010arXiv.org183 citations Open access
Semantic Scholar
Simultaneous multiple change-point and factor analysis for high-dimensional time series
M. Barigozzi, Haeran Cho, P. Fryzlewicz
2016Journal of Econometrics111 citations Open access
Semantic Scholar
Non‐Fundamentalness in Structural Econometric Models: A Review
L. Alessi, M. Barigozzi, M. Capasso
201192 citations
Semantic Scholar
A network analysis of the volatility of high dimensional financial series
M. Barigozzi, M. Hallin
201781 citations Open access
Semantic Scholar
A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models
L. Alessi, M. Barigozzi, M. Capasso
200872 citations
Semantic Scholar
Generalized dynamic factor models and volatilities: recovering the market volatility shocks
M. Barigozzi, M. Hallin
201669 citations Open access
Semantic Scholar
Series 2019 / 006 Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness
M. Barigozzi, M. Hallin, Stefano Soccorsi
201968 citations
Semantic Scholar
A Review of Nonfundamentalness and Identification in Structural VAR Models
L. Alessi, M. Barigozzi, M. Capasso
200858 citations
Semantic Scholar
Non-Stationary Dynamic Factor Models for Large Datasets
M. Barigozzi, M. Lippi, Matteo Luciani
201651 citations Open access
Semantic Scholar
Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common factors
L. Alessi, M. Barigozzi, M. Capasso
2009Social Science Research Network51 citations Open access
Semantic Scholar
Generalized dynamic factor models and volatilities: estimation and forecasting
M. Barigozzi, M. Hallin
201750 citations Open access
Semantic Scholar
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors
M. Barigozzi, M. Lippi, Matteo Luciani
2016Journal of Econometrics43 citations Open access
Semantic Scholar
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
M. Barigozzi, Christian T. Brownlees, G. Gallo, D. Veredas
201043 citations Open access
Semantic Scholar
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
M. Barigozzi, Haeran Cho, Dominic Owens
2022Journal of Business & Economic Statistics39 citations Open access
Semantic Scholar
Measuring the Output Gap using Large Datasets
M. Barigozzi, Matteo Luciani
2021Review of Economics and Statistics34 citations Open access
Semantic Scholar
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
M. Barigozzi, M. Lippi, Matteo Luciani
201530 citations Open access
Semantic Scholar
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
M. Barigozzi, Matteo Luciani
2019Finance and Economics Discussion Series29 citations Open access
Semantic Scholar
Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
M. Barigozzi, M. Hallin
2018Journal of Econometrics28 citations Open access
Semantic Scholar
Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series
L. Alessi, M. Barigozzi, M. Capasso
200723 citations
Semantic Scholar
Testing for Common Trends in Nonstationary Large Datasets
M. Barigozzi, Lorenzo Trapani
2021Journal of business & economic statistics22 citations Open access
Semantic Scholar
Community Structure in the Multi-network of International Trade
M. Barigozzi, G. Fagiolo, G. Mangioni
2010Workshop on Complex Networks22 citations
Semantic Scholar
Consistent estimation of high-dimensional factor models when the factor number is over-estimated
M. Barigozzi, Haeran Cho
2018Electronic Journal of Statistics21 citations Open access
Semantic Scholar
The multi-network of international trade : A commodity-specific analysis
M. Barigozzi
200921 citations
Semantic Scholar
Spatio-Temporal Patterns of the International Merger and Acquisition Network
Marco Dueñas, R. Mastrandrea, M. Barigozzi, G. Fagiolo
2017Scientific Reports20 citations Open access
Semantic Scholar
Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models
M. Barigozzi, M. Hallin, Stefano Soccorsi
201919 citations Open access
Semantic Scholar
Sequential testing for structural stability in approximate factor models
M. Barigozzi, Lorenzo Trapani
2017Stochastic Processes and their Applications18 citations Open access
Semantic Scholar
Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
M. Barigozzi, M. Lippi, Matteo Luciani
2020Econometrics17 citations Open access
Semantic Scholar
On the distributional properties of household consumption expenditures: the case of Italy
G. Fagiolo, L. Alessi, M. Barigozzi, M. Capasso
200717 citations Open access
Semantic Scholar
Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
M. Barigozzi, M. Hallin
201516 citations Open access
Semantic Scholar
Statistical inference for large-dimensional tensor factor model by iterative projections
M. Barigozzi, Yong He, Lingxiao Li, Lorenzo Trapani
2022Journal of Multivariate Analysis14 citations Open access
Semantic Scholar
Inference in Heavy-Tailed Nonstationary Multivariate Time Series
M. Barigozzi, Giuseppe Cavaliere, Lorenzo Trapani
2021Journal of the American Statistical Association14 citations Open access
Semantic Scholar
A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
L. Alessi, M. Barigozzi, M. Capasso
200914 citations
Semantic Scholar
Inferential theory for generalized dynamic factor models
M. Barigozzi, M. Hallin, Matteo Luciani, P. Zaffaroni
2023Journal of Econometrics13 citations Open access
Semantic Scholar
Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model
M. Barigozzi, A. Conti, Matteo Luciani
201112 citations
Semantic Scholar
An Algebraic Estimator for Large Spectral Density Matrices
M. Barigozzi, M. Farnè
2021Journal of the American Statistical Association11 citations Open access
Semantic Scholar
Identifying the independent sources of consumption variation
M. Barigozzi, Alessio Moneta
201611 citations Open access
Semantic Scholar
On Approximating the Distributions of goodness-of-Fit Test Statistics Based on the Empirical Distribution Function: the Case of Unknown Parameters
M. Capasso, L. Alessi, M. Barigozzi, G. Fagiolo
2008Advances in Complex Systems11 citations Open access
Semantic Scholar
Power-law partial correlation network models
M. Barigozzi, Christian T. Brownlees, G. Lugosi
201810 citations Open access
Semantic Scholar
On the Stability of Euro Area Money Demand and its Implications for Monetary Policy
M. Barigozzi, A. Conti
201810 citations Open access
Semantic Scholar
The common component of firm growth
L. Alessi, M. Barigozzi, M. Capasso
201310 citations Open access
Semantic Scholar
Factor Network Autoregressions
M. Barigozzi, Giuseppe Cavaliere, Graziano Moramarco
2022Journal of Business & Economic Statistics8 citations Open access
Semantic Scholar
Modelling large dimensional datasets with Markov switching factor models
M. Barigozzi, Daniele Massacci
2022Journal of Econometrics8 citations Open access
Semantic Scholar
Principal Component Analysis for High‐Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and Identification
M. Barigozzi
2022Journal of Time Series Analysis8 citations Open access
Semantic Scholar
Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure
M. Barigozzi, Biagio Speciale
20118 citations Open access
Semantic Scholar
Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models
M. Barigozzi, Matteo Luciani
20197 citations
Semantic Scholar
Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board , Washington , D . C . Common Factors , Trends , and Cycles in Large Datasets
M. Barigozzi, Matteo Luciani, Stephanie R. Aaronson, Gianni Amisano +6 more
20177 citations
Semantic Scholar
Which Model to Match
M. Barigozzi, Roxana Halbleib, D. Veredas
20157 citations Open access
Semantic Scholar

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