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Dr Stefano Soccorsi

Senior Lecturer in Financial Economics

  1. 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 Journal/MagazineJournal articlepeer-review

  2. Published

    Forecasting stock returns with large dimensional factor models

    Giovannelli, A., Massacci, D. & Soccorsi, S., 30/09/2021, In: Journal of Empirical Finance. 63, p. 252-269 18 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  3. Published

    Forecasting Stock Returns with Large Dimensional Factor Models

    Giovannelli, A., Massacci, D. & Soccorsi, S., 1/09/2020, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  4. 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 Journal/MagazineJournal articlepeer-review

  5. 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 Journal/MagazineJournal articlepeer-review

  6. Published

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

    Barigozzi, M., Hallin, M., Soccorsi, S. & von Sachs, R., 31/05/2021, In: Journal of Econometrics. 222, 1, p. 324-343 20 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

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