Piazza Scaravilli 2
Bologna, 40100
Italy
University of Bologna
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Networks, Multivariate Time Series, Long Run Covariance, LASSO
Vector Multiplicative Error Model, Seminonparametric Estimation, Volatility
Monetary Policy Transmission, Asymmetric Effects, European Monetary Union, Structural Dynamic Factor Model
monetary policy transmission, asymmetric effects, European Monetary Union, Structural Dynamic Factor model
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money demand , time-varying cointegration, price-earnings ratios, unemployment rate, monetary policy
Auxiliary model, efficient method of moments, indirect inference, information criteria
Dynamic factor models, volatility, financial crises, contagion, interdependence
locally stationary dynamic factor models, volatility, financial connectedness
Dynamic Factor Models for I(1) variables, Cointegration, Granger Representation Theorem
Cointegration for singular vectors, Dynamic Factor Models for I(1) variables, Granger Representation Theorem for singular vectors
Dynamic Factor models, unit root processes, common trends, impulse response functions
Dynamic Factor models, Cointegration, Common trends, Impulse response functions, Unit root processes
Output Gap; Non-stationary Approximate Dynamic Factor Model; Trend-Cycle Decomposition
Partial Correlation Networks, Random Graphs, Power-Law
Nonfundamentalness, Structural VAR, Dynamic Stochastic General Equilibrium Models, Factor Models
Approximate factor models, Information criterion, Number of factors.
household consumption expenditure, budget shares, sum of log-normal distributions
Intellectual Property Rights, Mergers and Acquisitions, Technological Intensity, Gravity Model
Dynamic Factor Models, Multivariate GARCH, Conditional Covariance, Inflation Forecasting, Volatility Forecasting.
International Economics, Mergers and Acquisitions, Network Analysis, Geographical Distance
EM Algorithm, Gross Domestic Output, Kalman Smoother, Non-stationary Approximate Dynamic Factor Model, Output Gap, Quasi Maximum Likelihood, Trend-Cycle Decomposition
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Block structure, Dynamic factor models, Volatility
Goodness-of-fit tests, critical values, Anderson–Darling statistic, Kolmogorov–Smirnov statistic, Kuiper statistic, Cramér–Von Mises statistic, empirical distribution function, Monte-Carlo simulations
