Barigozzi, Matteo

Dr Matteo Barigozzi  


Position held

Assistant Professor


Experience keywords:

consumption survey data; factor models; social networks; time series; volatility modeling

Research summary > [Click to expand]

My main research interests are in time series analysis and especially in dynamic factor models, cointegration analysis, volatility modeling, macroeconomic policy analysis, and models for space-time data, both from a theoretical and an applied perspective. I am also interested in studies on personal consumption expenditures and in network-based analysis of micro and macro data.

Sectors and industries to which research relates:

Banking; Financial Services


French [Spoken: Intermediate, Written: Intermediate]; Italian [Spoken: Fluent, Written: Fluent]; Spanish [Spoken: Intermediate, Written: Intermediate]

Contact Points

LSE phone number:

+44 (0)20 7955 6063



Barigozzi, Matteo and Moneta, Alessio (2016) Identifying the independent sources of consumption variation Journal of Applied Economics, 31 (2). 420-449. ISSN 1514-0326


Barigozzi, Matteo and Hallin, Mark (2015) Generalized dynamic factor models and volatilities: recovering the market volatility shocks The Econometrics Journal, 19 (1). C33-C60. ISSN 1368-4221


Barigozzi, Matteo and Gallo, Giampiero M. and Brownlees, Christian T. and Veredas, David (2014) Disentangling systematic and idiosyncratic dynamics in panels of volatility measures Journal of Econometrics, 182 (2). 364-384. ISSN 0304-4076


Barigozzi, Matteo and Conti, Antonio M. and Luciani, Matteo (2013) Do Euro area countries respond asymmetrically to the common monetary policy? Oxford Bulletin of Economics and Statistics, 76 (5). 693-714. ISSN 0305-9049

Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2013) The common component of firm growth Structural Change and Economic Dynamics, 26. 73-82. ISSN 0954-349X


Barigozzi, Matteo and Halbleib-Chiriac, Roxana and Veredas, David (2012) Which model to match? Working paper , 4. European Center for Advanced Research in Economics and Statistics, Bruxelles, Belgium.

Barigozzi, Matteo and Alessi, Lucia and Capasso, Marco and Fagiolo, Giorgio (2012) The distribution of household consumption-expenditure budget shares Structural Change and Economic Dynamics, 23 (1). 69-91. ISSN 0954-349X

Barigozzi, Matteo and Conti, Antonio (2012) Understanding Euro area money demand The Authors.


Barigozzi, Matteo and Speciale, Biagio (2011) Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure Applied Economics Letters, 18 (14). 1341-1347. ISSN 1350-4851

Barigozzi, Matteo and Moneta, Alessio (2011) The rank of a system of Engel curves: how many common factors? Papers on economics and evolution, 1101. Max Planck Institute of Economics, Jena, Germany.

Barigozzi, Matteo and Fagiolo, Giorgio and Mangioni, Giuseppe (2011) Identifying the community structure of the international-trade multi-network Physica A: Statistical Mechanics and Its Applications, 390 (11). 2051-2066. ISSN 0378-4371

Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2011) Nonfundamentalness in structural econometric models: a review International Statistical Review, 79 (1). 16-47. ISSN 0306-7734


Barigozzi, Matteo (2010) Dynamic factor models for forecasting and structural identification. In: Mini-workshop: semiparametric modelling of multivariate economic time series with chaning dynamics, January 17th-January 23rd, 2010

Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2010) Improved penalization for determining the number of factors in approximate factor models Statistics and Probability Letters, 80 (23-24). 1806-1813. ISSN 0167-7152

Fagiolo, Giorgio and Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2010) On distributional properties of household consumption expenditures: the case of Italy Empirical Economics, 38 (3). 717-741. ISSN 0377-7332

Barigozzi, Matteo and Conti, Antonio M. (2010) On the sources of Euro area money demand stability: a time-varying cointegration analysis ECARES working paper, 2010‐022. Université Libre de Bruxelles, Brussels, Belgium.

Barigozzi, Matteo and Fagiolo, Giorgio and Garlaschelli, Diego (2010) Multinetwork of international trade: a commodity-specific analysis Physical Review E, 81 (4). 1-23. ISSN 1539-3755


Capasso, Marco and Alessi, Lucia and Barigozzi, Matteo and Fagiolo, Giorgio (2009) On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: the case of unknown parameters Advances in Complex Systems, 12 (2). 157-167. ISSN 0219-5259

Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2009) Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors European Central Bank working paper series, European Central Bank, Frankfurt, Germany.


Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2007) Generalized dynamic factor model + GARCH: exploiting multivariant information for univariate prediction LEM working paper series, 2006/13. Laboratory of Economics and Management (LEM), Pisa, Italy.

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Carlo Giannini Prize for the best Paper at the Italian Conference in Econometrics and Empirical Economics (2011)

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