Matteo Barigozzi

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)

Post-doc Researcher

Ave. Franklin D Roosevelt, 50 - C.P. 114

Brussels, B-1050

Belgium

http://www.barigozzi.eu/research.html

University of Bologna

Piazza Scaravilli 2

Bologna, 40100

Italy

London School of Economics and Political Science

Lecturer - Assistant Professor

Houghton Street

London, England WC2A 2AE

United Kingdom

  • Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)

  • University of Bologna

  • London School of Economics and Political Science

SCHOLARLY PAPERS

19

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156

CROSSREF CITATIONS

163

Scholarly Papers (19)

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1.

NETS: Network Estimation for Time Series

Number of pages: 35 Posted: 14 Apr 2013 Last Revised: 19 Oct 2018
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Christian T. Brownlees
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 2,414 (8,227)
Citation 65

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Networks, Multivariate Time Series, Long Run Covariance, LASSO

2.

Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

Number of pages: 59 Posted: 31 May 2010 Last Revised: 07 Oct 2014
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Christian T. Brownlees, Giampiero M. Gallo and David Veredas
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Corte dei Conti - Italian Court of Audits and Vlerick Business School
Downloads 903 (36,663)
Citation 17

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Vector Multiplicative Error Model, Seminonparametric Estimation, Volatility

3.

Measuring the Output Gap Using Large Datasets

Number of pages: 62 Posted: 08 Aug 2018 Last Revised: 03 Dec 2020
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Board of Governors of the Federal Reserve System
Downloads 359 (116,391)
Citation 1

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Output Gap; Non-stationary Approximate Dynamic Factor Model; Trend-Cycle Decomposition

4.

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Downloads 282 (150,366)
Citation 52

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Number of pages: 32 Posted: 14 Jun 2010 Last Revised: 29 Oct 2012
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Antonio Maria Conti and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Banca d'Italia and Board of Governors of the Federal Reserve System
Downloads 233 (180,991)
Citation 2

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Monetary Policy Transmission, Asymmetric Effects, European Monetary Union, Structural Dynamic Factor Model

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Bank of Italy Temi di Discussione (Working Paper) No. 923
Number of pages: 36 Posted: 16 Jul 2013
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Antonio Maria Conti and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Banca d'Italia and Board of Governors of the Federal Reserve System
Downloads 49 (533,174)
Citation 50

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monetary policy transmission, asymmetric effects, European Monetary Union, Structural Dynamic Factor model

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 5, pp. 693-714, 2014
Number of pages: 22 Posted: 27 Aug 2014
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Antonio Maria Conti and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Banca d'Italia and Board of Governors of the Federal Reserve System
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5.

Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness

Number of pages: 48 Posted: 14 Feb 2019 Last Revised: 24 Apr 2020
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marc Hallin, Stefano Soccorsi and Rainer von Sachs
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, ECARES, Universite Libre de Bruxelles, Department of Economics, Lancaster University Management School and Catholic University of Louvain - Department of Statistics
Downloads 275 (154,126)
Citation 5

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locally stationary dynamic factor models, volatility, financial connectedness

6.

On the Stability of Euro Area Money Demand and its Implications for Monetary Policy

Downloads 258 (164,413)
Citation 2

On the Stability of Euro Area Money Demand and its Implications for Monetary Policy

Number of pages: 40 Posted: 04 May 2010 Last Revised: 27 Nov 2017
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Antonio Maria Conti
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Banca d'Italia
Downloads 257 (164,436)

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money demand , time-varying cointegration, price-earnings ratios, unemployment rate, monetary policy

On the Stability of Euro Area Money Demand and its Implications for Monetary Policy

Oxford Bulletin of Economics and Statistics, Vol. 80, Issue 4, pp. 755-787, 2018
Number of pages: 33 Posted: 03 Jul 2018
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Antonio Maria Conti
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Banca d'Italia
Downloads 1 (913,674)
Citation 2

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7.

Which Model to Match?

Number of pages: 44 Posted: 17 Jan 2012 Last Revised: 18 Oct 2015
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Roxana Halbleib and David Veredas
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, University of Konstanz and Vlerick Business School
Downloads 248 (170,842)
Citation 52

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Auxiliary model, efficient method of moments, indirect inference, information criteria

8.

Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models

Number of pages: 33 Posted: 20 Mar 2017 Last Revised: 28 Nov 2017
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marc Hallin and Stefano Soccorsi
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, ECARES, Universite Libre de Bruxelles and Department of Economics, Lancaster University Management School
Downloads 241 (175,629)
Citation 3

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Dynamic factor models, volatility, financial crises, contagion, interdependence

9.

Non-Stationary Dynamic Factor Models for Large Datasets

Downloads 227 (185,890)
Citation 4

Non-Stationary Dynamic Factor Models for Large Datasets

Number of pages: 59 Posted: 04 Mar 2016
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Dipartimento di Scienze Economiche (DiSSE) and Board of Governors of the Federal Reserve System
Downloads 142 (280,104)
Citation 4

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Dynamic Factor models, unit root processes, common trends, impulse response functions

Non-Stationary Dynamic Factor Models for Large Datasets

FEDS Working Paper No. 2016-024
Number of pages: 67 Posted: 31 Mar 2016 Last Revised: 01 Sep 2017
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Dipartimento di Scienze Economiche (DiSSE) and Board of Governors of the Federal Reserve System
Downloads 85 (400,591)
Citation 2

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Dynamic Factor models, Cointegration, Common trends, Impulse response functions, Unit root processes

10.

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

Downloads 222 (189,820)
Citation 4

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

Number of pages: 28 Posted: 01 Mar 2014 Last Revised: 29 Feb 2016
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Dipartimento di Scienze Economiche (DiSSE) and Board of Governors of the Federal Reserve System
Downloads 140 (283,170)
Citation 4

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Dynamic Factor Models for I(1) variables, Cointegration, Granger Representation Theorem

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

FEDS Working Paper No. 2016-018
Number of pages: 29 Posted: 22 Mar 2016
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Dipartimento di Scienze Economiche (DiSSE) and Board of Governors of the Federal Reserve System
Downloads 82 (409,380)

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Cointegration for singular vectors, Dynamic Factor Models for I(1) variables, Granger Representation Theorem for singular vectors

11.

A Review of Nonfundamentalness and Identification in Structural VAR Models

ECB Working Paper No. 922
Number of pages: 38 Posted: 12 Aug 2008
Lucia Alessi, Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Marco Capasso
European Central Bank (ECB), London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Utrecht University
Downloads 159 (256,269)
Citation 2

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Nonfundamentalness, Structural VAR, Dynamic Stochastic General Equilibrium Models, Factor Models

12.

On the Consequences of Power-Law Behavior in Partial Correlation Network Models

Number of pages: 30 Posted: 04 Jan 2017 Last Revised: 11 Apr 2017
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Christian T. Brownlees and Gabor Lugosi
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universitat Pompeu Fabra - Department of Economics and Business (DEB)
Downloads 156 (258,953)

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Partial Correlation Networks, Random Graphs, Power-Law

13.

The Distribution of Household Consumption-Expenditure Budget Shares

ECB Working Paper No. 1061
Number of pages: 54 Posted: 12 Jun 2009
Lucia Alessi, Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marco Capasso and Giorgio Fagiolo
European Central Bank (ECB), London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Utrecht University and Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)
Downloads 107 (342,975)

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household consumption expenditure, budget shares, sum of log-normal distributions

14.

A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models

ECB Working Paper No. 903
Number of pages: 27 Posted: 16 May 2008
Lucia Alessi, Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Marco Capasso
European Central Bank (ECB), London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Utrecht University
Downloads 105 (347,321)
Citation 14

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Approximate factor models, Information criterion, Number of factors.

15.

Do Intellectual Property Rights Influence Cross-Border Mergers and Acquisitions?

LEM Working Paper Series No. 2016/28
Number of pages: 28 Posted: 07 Jul 2016 Last Revised: 24 Oct 2016
Mercedes Campi, Marco Dueñas, Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Giorgio Fagiolo
CONICET. University of Buenos Aires, Faculty of Economics. Instituto Interdisciplinario de Economía Política de Buenos Aires, IIEP-Baires, affiliation not provided to SSRN, London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)
Downloads 99 (361,122)
Citation 3

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Intellectual Property Rights, Mergers and Acquisitions, Technological Intensity, Gravity Model

16.

Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common factors

ECB Working Paper No. 1115
Number of pages: 45 Posted: 16 Nov 2009
Lucia Alessi, Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Marco Capasso
European Central Bank (ECB), London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Utrecht University
Downloads 75 (426,397)

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Dynamic Factor Models, Multivariate GARCH, Conditional Covariance, Inflation Forecasting, Volatility Forecasting.

17.

Spatio-Temporal Patterns of the International Merger and Acquisition Network

Number of pages: 20 Posted: 16 Mar 2017 Last Revised: 15 Jul 2017
Marco Dueñas, Rossana Mastrandrea, Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Giorgio Fagiolo
affiliation not provided to SSRN, IMT Institute for Advanced Studies, London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)
Downloads 65 (459,845)

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International Economics, Mergers and Acquisitions, Network Analysis, Geographical Distance

18.

Common Factors, Trends, and Cycles in Large Datasets

FEDS Working Paper No. 2017-111
Number of pages: 53 Posted: 16 Nov 2017
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Board of Governors of the Federal Reserve System
Downloads 40 (566,729)

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EM Algorithm, Gross Domestic Output, Kalman Smoother, Non-stationary Approximate Dynamic Factor Model, Output Gap, Quasi Maximum Likelihood, Trend-Cycle Decomposition

19.

On Approximating the Distributions of Goodness-of-Fit Test Statistics Based on the Empirical Distribution Function: The Case of Unknown Parameters

Advances in Complex Systems, Vol. 12, No. 2, pp. 157-167, 2009
Posted: 11 Nov 2009
Marco Capasso, Lucia Alessi, Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Giorgio Fagiolo
Utrecht University, European Central Bank (ECB), London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)

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Goodness-of-fit tests, critical values, Anderson–Darling statistic, Kolmogorov–Smirnov statistic, Kuiper statistic, Cramér–Von Mises statistic, empirical distribution function, Monte-Carlo simulations