Stefano Soccorsi

Department of Economics, Lancaster University Management School

Lancaster, LA1 4YX

United Kingdom

SCHOLARLY PAPERS

4

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671

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4

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 340 (91,325)
Citation 4

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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
University of Bologna, ECARES, Universite Libre de Bruxelles and Department of Economics, Lancaster University Management School
Downloads 209 (151,277)
Citation 2

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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: 46 Posted: 14 Feb 2019 Last Revised: 09 Dec 2019
University of Bologna, ECARES, Universite Libre de Bruxelles, Department of Economics, Lancaster University Management School and Catholic University of Louvain - Department of Statistics
Downloads 122 (238,740)

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locally stationary dynamic factor models, volatility, financial connectedness

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 (691,525)
Citation 1
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