Items where Author is "Soccorsi, Stefano"

Journal Article

Forni, Mario and Gambetti, Luca and Granese, Antonio and Sala, Luca and Soccorsi, Stefano (2024) An American Macroeconomic Picture : Supply and Demand Shocks in the Frequency Domain. American Economic Journal: Macroeconomics. ISSN 1945-7707 (In Press)

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

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

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

Soccorsi, Stefano (2016) Measuring nonfundamentalness for structural VARs. Journal of Economic Dynamics and Control, 71. pp. 86-101. ISSN 0165-1889

Monograph

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.

Thesis

Seabe, Mbakile and Motta, Giorgio and Soccorsi, Stefano (2022) Three essays in macroeconomics. PhD thesis, Lancaster University.