Marco Capasso
Utrecht University
40 Papers
231 Citations
Marco Capasso is an academic researcher from Utrecht University. The author has contributed to research in topics: Dynamic factor & Autoregressive conditional heteroskedasticity. The author has an hindex of 12, co-authored 39 publications. Previous affiliations of Marco Capasso include Sant'Anna School of Advanced Studies & Maastricht University.
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Papers
Improved penalization for determining the number of factors in approximate factor models
TL;DR: This paper revisited the procedure proposed by Bai and Ng (2002) for identifying the number of factors in static factor models and introduced a tuning multiplicative constant in the penalty, an idea that was proposed by Hallin and Liska (2007) in the context of dynamic factor models.
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A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models
TL;DR: In this paper, a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor models with large data-sets is proposed, which consists in multiplying the penalty function by a constant which tunes the penalizing power of the function itself as in the Hallin and Liska [2007] criterion.
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A Review of Nonfundamentalness and Identification in Structural VAR models
TL;DR: In this article, the authors review the development of the problem of non- fundamentalness of Moving Average (MA) representations of economic models, starting from the work by Hansen and Sargent (1980).
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Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
TL;DR: The model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the volatility of returns, and is able to predict all the conditional covariances among the observable series.
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The Distribution of Household Consumption-Expenditure Budget Shares
TL;DR: In this article, the authors explore the statistical properties of household consumption-expenditure budget share distributions, defined as the share of household total expenditure spent for purchasing a specific category of commodities.
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