Items where Author is "Giovannelli, Alessandro"

Giovannelli, Alessandro and Massacci, Daniele and Soccorsi, Stefano (2021) Forecasting stock returns with large dimensional factor models. Journal of Empirical Finance, 63. pp. 252-269. ISSN 0927-5398

Giovannelli, Alessandro and Massacci, Daniele and Soccorsi, Stefano (2020) Forecasting Stock Returns with Large Dimensional Factor Models. Working Paper. Lancaster University, Department of Economics, Lancaster.

Forni, Mario and Giovannelli, Alessandro and Lippi, Marco and Soccorsi, Stefano (2018) Dynamic factor model with infinite-dimensional factor space : forecasting. Journal of Applied Econometrics, 33 (5). pp. 625-642. ISSN 0883-7252