Stefano Soccorsi

Department of Economics, Lancaster University Management School

Lancaster, LA1 4YX

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

613

SSRN CITATIONS

3

CROSSREF CITATIONS

6

Scholarly Papers (4)

1.

Forecasting Stock Returns with Large Dimensional Factor Models

Number of pages: 46 Posted: 26 Apr 2017 Last Revised: 02 Apr 2018
University of Rome Tor Vergata, King's College London and Department of Economics, Lancaster University Management School
Downloads 317 (95,720)
Citation 3

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Stock Returns Forecasting, Factor Model, Large Data Sets, Forecast Evaluation.

2.

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 204 (150,269)
Citation 1

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

3.

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 92 (282,174)
Citation 1

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

4.

Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting

CEPR Discussion Paper No. DP11161
Number of pages: 43 Posted: 18 Apr 2016
Università di Modena; Centre for Economic Policy Research (CEPR), University of Rome Tor Vergata, Dipartimento di Scienze Economiche (DiSSE) and Department of Economics, Lancaster University Management School
Downloads 0 (674,284)
Citation 1
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