Barigozzi, Matteo
Dr Matteo Barigozzi
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Experience keywords:
volatility modeling; time series; factor models; consumption survey data; social networks
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My main research interests are in time series analysis and especially in dynamic factor models, cointegration analysis, volatility modeling, macroeconomic policy analysis, and models for space-time data, both from a theoretical and an applied perspective. I am also interested in studies on personal consumption expenditures and in network-based analysis of micro and macro data.
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Sectors and industries to which research relates:
Banking; Financial Services
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Languages: Spanish [Spoken: Intermediate, Written: Intermediate]; French [Spoken: Intermediate, Written: Intermediate]; Italian [Spoken: Fluent, Written: Fluent]
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The following references are sourced from LSE Research Online|. References that are linked lead to the full text.
Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2013) The common component of firm growth. Structural change and economic dynamics, ISSN 0954-349X Barigozzi, Matteo and Halbleib-Chiriac, Roxana and Veredas, David (2012) Which model to match? SSRN Electronic Journal. The Authors Barigozzi, Matteo and Conti, Antonio (2012) Understanding Euro area money demand. The Authors Barigozzi, Matteo and Alessi, Lucia and Capasso, Marco and Fagiolo, Giorgio (2012) The distribution of household consumption-expenditure budget shares. Structural change and economic dynamics, 23 (1). pp. 69-91. ISSN 0954-349X Barigozzi, Matteo and Speciale, Biagio (2011) Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure. Applied economics letters, 18 (14). pp. 1341-1347. ISSN 1350-4851 Barigozzi, Matteo and Fagiolo, Giorgio and Mangioni, Giuseppe (2011) Identifying the community structure of the international-trade multi-network. Physica A: statistical mechanics and its applications, 390 (11). pp. 2051-2066. ISSN 0378-4371 Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2011) Nonfundamentalness in structural econometric models: a review. International statistical review, 79 (1). pp. 16-47. ISSN 0306-7734 Barigozzi, Matteo and Moneta, Alessio (2011) The rank of a system of Engel curves: how many common factors? Papers on economics and evolution, 1101. Max Planck Institute of Economics, Jena, Germany Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2010) Improved penalization for determining the number of factors in approximate factor models. Statistics & probability letters, 80 (23-24). pp. 1806-1813. ISSN 0167-7152 Barigozzi, Matteo and Fagiolo, Giorgio and Mangioni, Giuseppe (2010) Identifying the community structure of the international-trade multi network. LEM working paper series , 2010/15. Sant'Anna School of Advanced Studies, Pisa, Italy Barigozzi, Matteo and Brownlees, Christian T. and Gallo, Giampiero M. and Veredas, David (2010) Disentangling systematic and idiosyncratic risk for large panels of assets. ECARES working paper, 2010‐019. Université Libre de Bruxelles, Brussels, Belgium Fagiolo, Giorgio and Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2010) On distributional properties of household consumption expenditures: the case of Italy. Empirical economics, 38 (3). pp. 717-741. ISSN 0377-7332 Barigozzi, Matteo and Fagiolo, Giorgio and Garlaschelli, Diego (2010) Multinetwork of international trade: a commodity-specific analysis. Physical Review E, 81 (4). pp. 1-23. ISSN 1539-3755 Barigozzi, Matteo (2010) Dynamic factor models for forecasting and structural identification. In:Mini-workshop: semiparametric modelling of multivariate economic time series with chaning dynamics (January 17th-January 23rd, 2010 ). Barigozzi, Matteo and Conti, Antonio M. (2010) On the sources of Euro area money demand stability: a time-varying cointegration analysis. ECARES working paper, 2010‐022. Université Libre de Bruxelles, Brussels, Belgium Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2009) Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors. European Central Bank working paper series. European Central Bank, Frankfurt, Germany Barigozzi, Matteo and Alessi, Lucia and Capasso, Marco and Fagiolo, Giorgio (2009) The distribution of consumption-expenditure budget shares: evidence from Italian households.. European Central Bank working paper series, 1061. European Central Bank, Frankfurt, Germany Capasso, Marco and Alessi, Lucia and Barigozzi, Matteo and Fagiolo, Giorgio (2009) On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: the case of unknown parameters. Advances in complex systems, 12 (2). pp. 157-167. ISSN 0219-5259 Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2007) Generalized dynamic factor model + GARCH: exploiting multivariant information for univariate prediction. LEM working paper series, 2006/13. Laboratory of Economics and Management (LEM), Pisa, Italy
LSE Research Online is the primary resource for references to publications. For queries or updates please email the LSE Research Online team at lseresearchonline@lse.ac.uk|.
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AwardsCarlo Giannini Prize for the best Paper at the Italian Conference in Econometrics and Empirical Economics (2011)
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