272 citations · 850 across the 27 of their papers we have counts for
Showing 2015Show all
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q-fin.ST2015★ 58 cited
Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
Matteo Barigozzi, Marc Hallin
We consider weighted directed networks for analysing, over the period 2000-2013, the interdependencies between volatilities of a large panel of stocks belonging to the S\&P100 inde…
math.ST2015
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
Matteo Barigozzi, Marco Lippi, Matteo Luciani
The paper studies Non-Stationary Dynamic Factor Models such that the factors are and singular, i.e. has dimension and is driven by a -dime…