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Dr Stefano Soccorsi

Lecturer in Financial Economics

  1. 2019
  2. Published

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

    Barigozzi, M., Hallin, M. & Soccorsi, S., 1/07/2019, In : Journal of Financial Econometrics. 17 , 3, p. 462-494 33 p.

    Research output: Contribution to journalJournal article

  3. Published

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

    Barigozzi, M., Hallin, M. & Soccorsi, S., 02/2019, Lancaster: The Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  4. 2018
  5. Published

    Dynamic factor model with infinite-dimensional factor space: forecasting

    Forni, M., Giovannelli, A., Lippi, M. & Soccorsi, S., 1/08/2018, In : Journal of Applied Econometrics. 33, 5, p. 625-642 18 p.

    Research output: Contribution to journalJournal article

  6. 2016
  7. Published

    Measuring nonfundamentalness for structural VARs

    Soccorsi, S., 10/2016, In : Journal of Economic Dynamics and Control. 71, p. 86-101 16 p.

    Research output: Contribution to journalJournal article

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