Economic theory typically assumes the existence of few unobserved unpredictable stochastic disturbances, called structural shocks, driving the whole economy. Would the economy be representable as a very high dimensional stochastic vector process, those shocks would be the reduced rank innovation...

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The information contained in large datasets is captured by few dynamic common factors, which we assume being conditionally heteroskedastic. After presenting the model, we propose a...

This paper inquires whether informal workers (self-employed and salaried employed) have incentives forinformality as modern approaches have suggested. We analyse the job flows of Mexico, as observed throughfour waves of a comprehensive survey conducted at household level between years 2001 and...

We study the topological properties of the multinetwork of commodity-specific trade relations among world countries over the 1992–2003 period, comparing them with those of the aggregate-trade network, known in the literature as the international-trade network (ITN). We show that link-weight...

We study the community structure of the multi-network of commodity-specific trade relations among world countries over the 1992-2003 period. We compare structures across commodities and time by means of the normalized mutual information index (NMI). We also compare them with exogenous community...

When observed over a large panel, measures of risk (such as realized volatilities) usually exhibit a secular trend around which individual risks cluster. In this article we propose a vector Multiplicative Error Model achieving a decomposition of each risk measure into a common systematic and an...

We study the community structure of the multi-network of commodity-specific trade relations among world countries over the 1992-2003 period. We compare structures across commodities and time by means of the normalized mutual information index (NMI). We also compare them with exogenous community...

The asymptotic efficiency of indirect estimation methods, such as the efficient method of moments and indirect inference, depends on the choice of the auxiliary model. To date, this choice has been somewhat ad hoc and based on an educated guess. In this article we introduce a class of...