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Diego Fresoli

Universidad Autónoma de Madrid (from arXiv:2601.04087, 2026) · ORCID · OpenAlex

7 papers in scope · 5 published · 2 on the econ.EM arXiv · 58 citations · h-index 3 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Gian Pietro Bellocca
  2. Vladimir Rodríguez-Caballero
  3. Philipp Gersing
  4. Matteo Luciani
  5. Esther Ruiz
  6. Ignacio Garrón
  7. Matteo Barigozzi
  8. Pilar Poncela
  9. Mike West
  10. Domenico Giannone
  11. Tobias Adrian
  12. Claudio Lissona
  13. Emily Tallman
  14. G. Ricco
  15. Filippo Pellegrino
  16. Marc Hallin
  17. Thomas Hasenzagl
  18. Lucrezia Reichlin
  19. Tony Chernis
  20. Matthew C. Johnson

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(2 of 7)

Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter
working paper2026 · arXiv
with Matteo Barigozzi, Esther Ruiz
Paper profile arXiv arXiv:2601.04087
Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors
working paper2024 · arXiv
with Pilar Poncela, Esther Ruiz
Paper profile arXiv arXiv:2407.06883
Spanish GDP short-term point and density forecasting using a mixed-frequency dynamic factor model
published2024 · SERIEs
SERIEs
Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
published2023 · Economics Letters · 1 citations
with Pilar Poncela, Esther Ruiz
Economics Letters
Bootstrap VAR forecasts: The effect of model uncertainties
published2021 · Journal of Forecasting · 3 citations
Journal of Forecasting
The uncertainty of conditional returns, volatilities and correlations in DCC models
published2015 · Computational Statistics & Data Analysis · 17 citations · first circulated 2014
with Esther Ruiz
Computational Statistics & Data Analysis
Bootstrap multi-step forecasts of non-Gaussian VAR models
published2014 · International Journal of Forecasting · 37 citations
with Esther Ruiz, Lorenzo Pascual
International Journal of Forecasting

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.