Matlab Codes

Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm

arXiv:1910.03821v4, 2022. (with M. Barigozzi)

Measuring the Output Gap Using Large Datasets

Review of Economics and Statistics, doi: 10.1162/rest_a_01119, 2021. (with M. Barigozzi)

Common-COVID-Idiosyncratic Decomposition

FEDS Notes 2021-02-25, Board of Governors of the Federal Reserve System, 2021.

FEDS 2026-024, Board of Governors of the Federal Reserve System, 2020.

Non-Stationary Dynamic Factor Models for Large-Datasets

FEDS 2016-024, Board of Governors of the Federal Reserve System, 2016. (with M. Barigozzi and M. Lippi)

A Model for Vast Panels of Volatilities

Journal of Forecasting, Vol. 34, p. 163-176, 2015. (with D. Veredas)

Monetary Policy, and the Housing Market: A Structural Factor Analysis

Journal of Applied Econometrics, Vol. 30, p. 199-218, 2015.

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Oxford Bulletin of Economics and Statistics, Vol. 76, p. 693-714, 2014. (with M. Barigozzi and A. Conti)