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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
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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
Modelling large dimensional datasets with Markov switching factor models
M. Barigozzi, D. Massacci
arXiv:2210.09828.v4 Jun 2024
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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