Personal information

Emails & domains

Verified email addresses

Verified email domains

Websites & social links

Lancaster University profile page

Other IDs

Scopus Author ID: 57191224922

Activities

Collapse all

Employment (1)

Lancaster University: N/A, GB

Employment
Source: check_circle
Lancaster University - Pure

Works (6)

Forecasting stock returns with large dimensional factor models

Journal of Empirical Finance
2021-09-30 | Journal article | Author
DOI: 10.1016/j.jempfin.2021.07.009
SOURCE-WORK-ID:

a29c8d82-f128-4c62-b427-666d14645b17

EID:

2-s2.0-85111214881
Contributors: Alessandro Giovannelli; Daniele Massacci; Stefano Soccorsi
Source: check_circle
Lancaster University - Pure

Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness

Journal of Econometrics
2021-05-31 | Journal article | Author
DOI: 10.1016/j.jeconom.2020.07.004
SOURCE-WORK-ID:

1057e7fd-76aa-4d3a-8414-e8e0800796b7

EID:

2-s2.0-85089194055
Contributors: Matteo Barigozzi; Marc Hallin; Stefano Soccorsi; Rainer von Sachs
Source: check_circle
Lancaster University - Pure

Forecasting Stock Returns with Large Dimensional Factor Models

Economics Working Papers Series
2020-09-01 | Working paper | Author
SOURCE-WORK-ID:

859f92d4-b1d5-42ab-8bcb-53d23e7489cb
Contributors: Alessandro Giovannelli; Daniele Massacci; Stefano Soccorsi
Source: check_circle
Lancaster University - Pure

Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models

Journal of Financial Econometrics
2019-07-01 | Journal article | Author
DOI: 10.1093/jjfinec/nby006
SOURCE-WORK-ID:

3d782d3e-73cd-42b2-9f08-20f97eb2ab44

EID:

2-s2.0-85064492223
Contributors: Matteo Barigozzi; Marc Hallin; Stefano Soccorsi
Source: check_circle
Lancaster University - Pure

Dynamic factor model with infinite-dimensional factor space

Journal of Applied Econometrics
2018-08-01 | Journal article | Author
DOI: 10.1002/jae.2634
SOURCE-WORK-ID:

75ce3abd-65cb-4cf2-ae36-71ba266043e6

EID:

2-s2.0-85050970147
Contributors: Mario Forni; Alessandro Giovannelli; Marco Lippi; Stefano Soccorsi
Source: check_circle
Lancaster University - Pure

Measuring nonfundamentalness for structural VARs

Journal of Economic Dynamics and Control
2016-10 | Journal article | Author
DOI: 10.1016/j.jedc.2016.08.001
SOURCE-WORK-ID:

9f9e51f6-8fee-4fd0-a13d-b97896367029

EID:

2-s2.0-84987948188
Contributors: Stefano Soccorsi
Source: check_circle
Lancaster University - Pure

Peer review (2 reviews for 2 publications/grants)

Review activity for Decisions in economics and finance. (1)
Review activity for Journal of international money and finance. (1)
How many people are using ORCID?