24 citations · 56 across the 8 of their papers we have counts for
8 papers
The Impact of Climatic Factors on Respiratory Pharmaceutical Demand: A Comparison of Forecasting Models for Greece
Viviana Schisa, Matteo Farnè
Climate change is increasingly recognized as a driver of health-related outcomes, yet its impact on pharmaceutical demand remains largely understudied. As environmental conditions…
Large covariance matrix estimation via penalized log-det heuristics
Enrico Bernardi, Matteo Farnè
This paper provides a comprehensive estimation framework for large covariance matrices via a log-det heuristics augmented by a nuclear norm plus -norm penalty. We develop…
Robust selection of predictors and conditional outlier detection in a perturbed large-dimensional regression context
Matteo Farnè, Angelos Vouldis
This paper presents a fast methodology, called ROBOUT, to identify outliers in a response variable conditional on a set of linearly related predictors, retrieved from a large granu…
Large factor model estimation by nuclear norm plus norm penalization
Matteo Farnè, Angela Montanari
This paper provides a comprehensive estimation framework via nuclear norm plus norm penalization for high-dimensional approximate factor models with a sparse residual covaria…
An algebraic estimator for large spectral density matrices
Matteo Barigozzi, Matteo Farnè
We propose a new estimator of high-dimensional spectral density matrices, called UNshrunk ALgebraic Spectral Estimator (UNALSE), under the assumption of an underlying low rank plus…
European banks' business models and their credit risk: A cluster analysis in a high-dimensional context
Matteo Farnè, Angelos T. Vouldis
In this paper, we investigate the credit risk in the loan portfolio of banks following different business models. We develop a data-driven methodology for identifying the business…