Matteo Barigozzi

London School of Economics and Political Science

Lecturer - Assistant Professor

Houghton Street

London, England WC2A 2AE

United Kingdom

  • London School of Economics and Political Science

SCHOLARLY PAPERS

20

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8

Scholarly Papers (20)

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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 and Christian T. Brownlees
London School of Economics and Political Science and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 2,186 (5,987)
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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, Christian T. Brownlees, Giampiero M. Gallo and David Veredas
London School of Economics and Political Science, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and Vlerick Business School
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Vector Multiplicative Error Model, Seminonparametric Estimation, Volatility

3.

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

Downloads 255 (116,975)

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, Antonio Maria Conti and Matteo Luciani
London School of Economics and Political Science, Banca d'Italia and Federal Reserve Board
Downloads 221 (134,585)

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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, Antonio Maria Conti and Matteo Luciani
London School of Economics and Political Science, Banca d'Italia and Federal Reserve Board
Downloads 34 (449,236)

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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, Antonio Maria Conti and Matteo Luciani
London School of Economics and Political Science, Banca d'Italia and Federal Reserve Board
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4.

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

Downloads 238 (125,469)

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 and Antonio Maria Conti
London School of Economics and Political Science and Banca d'Italia
Downloads 237 (125,504)

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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 and Antonio Maria Conti
London School of Economics and Political Science and Banca d'Italia
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5.

Which Model to Match?

Number of pages: 44 Posted: 17 Jan 2012 Last Revised: 18 Oct 2015
Matteo Barigozzi, Roxana Halbleib and David Veredas
London School of Economics and Political Science, University of Konstanz and Vlerick Business School
Downloads 237 (126,001)
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Auxiliary model, efficient method of moments, indirect inference, information criteria

6.

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, Marc Hallin and Stefano Soccorsi
London School of Economics and Political Science, ECARES, Universite Libre de Bruxelles and Department of Economics, Lancaster University Management School
Downloads 193 (153,389)

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

7.

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

Downloads 178 (164,939)

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

Number of pages: 28 Posted: 01 Mar 2014 Last Revised: 29 Feb 2016
Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political Science, Dipartimento di Scienze Economiche (DiSSE) and Federal Reserve Board
Downloads 126 (220,426)

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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, Marco Lippi and Matteo Luciani
London School of Economics and Political Science, Dipartimento di Scienze Economiche (DiSSE) and Federal Reserve Board
Downloads 52 (379,166)

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

8.

Non-Stationary Dynamic Factor Models for Large Datasets

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Non-Stationary Dynamic Factor Models for Large Datasets

Number of pages: 59 Posted: 04 Mar 2016
Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political Science, Dipartimento di Scienze Economiche (DiSSE) and Federal Reserve Board
Downloads 82 (296,667)

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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, Marco Lippi and Matteo Luciani
London School of Economics and Political Science, Dipartimento di Scienze Economiche (DiSSE) and Federal Reserve Board
Downloads 60 (353,508)

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

9.

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, Christian T. Brownlees and Gabor Lugosi
London School of Economics and Political Science, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universitat Pompeu Fabra - Department of Economics and Business (DEB)
Downloads 132 (211,901)

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Partial Correlation Networks, Random Graphs, Power-Law

10.

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 and Marco Capasso
European Central Bank (ECB), London School of Economics and Political Science and Utrecht University
Downloads 131 (213,171)
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Nonfundamentalness, Structural VAR, Dynamic Stochastic General Equilibrium Models, Factor Models

11.

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 and Marco Capasso
European Central Bank (ECB), London School of Economics and Political Science and Utrecht University
Downloads 96 (266,335)
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Approximate factor models, Information criterion, Number of factors.

12.

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, Marco Capasso and Giorgio Fagiolo
European Central Bank (ECB), London School of Economics and Political Science, Utrecht University and Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)
Downloads 90 (277,480)

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

13.

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 and Giorgio Fagiolo
CONICET. University of Buenos Aires, Faculty of Economics. Instituto Interdisciplinario de Economía Política de Buenos Aires, IIEP-Baires, Jorge Tadeo Lozano University, London School of Economics and Political Science and Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)
Downloads 76 (309,757)

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

14.

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 and Marco Capasso
European Central Bank (ECB), London School of Economics and Political Science and Utrecht University
Downloads 66 (332,297)
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Dynamic Factor Models, Multivariate GARCH, Conditional Covariance, Inflation Forecasting, Volatility Forecasting.

15.

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 and Giorgio Fagiolo
Jorge Tadeo Lozano University, IMT Institute for Advanced Studies, London School of Economics and Political Science and Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)
Downloads 61 (345,877)

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

16.

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

Number of pages: 48 Posted: 14 Feb 2019
Matteo Barigozzi, Marc Hallin and Stefano Soccorsi
London School of Economics and Political Science, ECARES, Universite Libre de Bruxelles and Department of Economics, Lancaster University Management School
Downloads 60 (348,702)

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dynamic factor models, volatility, financial crises, contagion, financial connectedness, high-dimensional time series, panel data, time-varying models, local stationarity

17.

Measuring US Aggregate Output and Output Gap Using Large Datasets

Number of pages: 45 Posted: 08 Aug 2018
Matteo Barigozzi and Matteo Luciani
London School of Economics and Political Science and Federal Reserve Board
Downloads 57 (357,578)

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Gross Domestic Output, Output Gap, Non-stationary Approximate Dynamic Factor Model, Trend-Cycle Decomposition

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 and Matteo Luciani
London School of Economics and Political Science and Federal Reserve Board
Downloads 36 (430,682)

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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.

Generalized Dynamic Factor Models and Volatilities: Recovering the Market Volatility Shocks

The Econometrics Journal, Vol. 19, Issue 1, pp. C33-C60, 2016
Number of pages: 28 Posted: 10 May 2016
Matteo Barigozzi and Marc Hallin
London School of Economics and Political Science and ECARES, Universite Libre de Bruxelles
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Block structure, Dynamic factor models, Volatility

20.

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 and Giorgio Fagiolo
Utrecht University, European Central Bank (ECB), London School of Economics and Political Science 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