An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain (with Mario Forni, Luca Gambetti, Antonio Granese and Luca Sala)
2025, American Economic Journal: Macroeconomics, 17(3), 311–341, doi.org/10.1257/mac.20230295. [Replication files]
Forecasting stock returns with large dimensional factor models (with Alessandro Giovannelli and Daniele Massacci)
2021, Journal of Empirical Finance, 63, 252–269, doi.org/10.1016/j.jempfin.2021.07.009.
Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness, (with Matteo Barigozzi, Marc Hallin and Rainer von Sachs),
2021, Journal of Econometrics, 222 (1), 324–343, doi.org/10.1016/j.jeconom.2020.07.004. [Replication files, appendix]
Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models (with Matteo Barigozzi and Marc Hallin),
2019, Journal of Financial Econometrics, 17 (3), 462–494, doi.org/10.1093/jjfinec/nby006. [Replication files]
Dynamic factor model with infinite-dimensional factor space: forecasting (with Mario Forni, Alessandro Giovannelli and Marco Lippi),
2018, Journal of Applied Econometrics, 33, 625–642, doi.org/10.1002/jae.2634.
Measuring nonfundamentalness for structural VARs,
2016, Journal of Economic Dynamics and Control, 71, 86–101, doi.org/10.1016/j.jedc.2016.08.001. [Code]