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Measuring the euro area output gap
M. Barigozzi, C. Lissona, M. Luciani
FEDS Working paper
Dec 2024
Large datasets for the euro area and its member countries and the dynamic effects of the common monetary policy
M. Barigozzi, C. Lissona, L. Tonni
arXiv:2410.05082.v1
Oct 2024
codes
Moving sum procedure for multiple change point detection in large factor models
M. Barigozzi, H. Cho, L. Trapani
arXiv:2410.02918.v1
Oct 2024
Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm
M. Barigozzi, M. Luciani
arXiv:1910.03821.v5
Sep 2024
Tail-robust factor modelling of vector and tensor time series in high-dimensions
M. Barigozzi, H. Cho, H. Maeng
arXiv:2407.09390.v1
Jul 2024
The dynamic, the static, and the weak factors and the analysis of high-dimensional time series
M. Barigozzi, M. Hallin
arXiv:2407.10653.v1
Jul 2024
Asymptotic equivalence of principal component and quasi maximum likelihood estimators in large approximate factor models
M. Barigozzi
arXiv:2307.09864.v5
Jun 2024
Factor network autoregressions
M. Barigozzi, G. Cavaliere, G. Moramarco
arXiv:2208.02925.v3 Aug 2023
Statistical inference for large-dimensional tensor factor models by iterative projection
M. Barigozzi, Y. He, L. Li, L. Trapani
arXiv:2206.09800.v2 Apr 2023
Robust tensor factor analysis
M. Barigozzi, Y. He, L. Li, L. Trapani
arXiv:2303.18163.v2 Aug 2023
Hierarchical DCC-HEAVY model for high-dimensional covariance matrices
E. Dzuverovic, M. Barigozzi
arXiv:2305.08488.v2 Jul 2024
Multidimensional dynamic factor models
M. Barigozzi, F. Pellegrino
arXiv:2301.12499.v1 Jan 2023
Quasi maximum likelihood estimation of non-stationary large approximate dynamic factor models
M. Barigozzi, M. Luciani
arXiv:1910.09841.v1 Oct 2019
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