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…
A bootstrap test to detect prominent Granger-causalities across frequencies
Matteo Farné, Angela Montanari
Granger-causality in the frequency domain is an emerging tool to analyze the causal relationship between two time series. We propose a bootstrap test on unconditional and condition…
A large covariance matrix estimator under intermediate spikiness regimes
Matteo Farnè, Angela Montanari
The present paper concerns large covariance matrix estimation via composite minimization under the assumption of low rank plus sparse structure. In this approach, the low rank plus…