Items where Author is "Barigozzi, Matteo"

Journal Article

Barigozzi, Matteo and Hallin, Marc and Soccorsi, Stefano and von Sachs, Rainer (2021) Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. Journal of Econometrics, 222 (1). pp. 324-343. ISSN 0304-4076

Barigozzi, Matteo and Hallin, Marc and Soccorsi, Stefano (2019) Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models. Journal of Financial Econometrics, 17 (3). pp. 462-494. ISSN 1479-8409