272 citations · 850 across the 27 of their papers we have counts for
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econ.EM2021
Inference in heavy-tailed non-stationary multivariate time series
Matteo Barigozzi, Giuseppe Cavaliere, Lorenzo Trapani
We study inference on the common stochastic trends in a non-stationary, -variate time series , in the possible presence of heavy tails. We propose a novel methodology whi…
math.ST2021
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…