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Maurizio Daniele

University of Konstanz (from arXiv:1906.05545, 2019) · ORCID · OpenAlex

7 papers in scope · 4 published · 2 on the econ.EM arXiv · 13 citations · h-index 2 (over the papers listed here)

Related authors

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

  1. Mehmet Caner
  2. Gabriel Vasconcelos
  3. Marcelo C. Medeiros
  4. Giorgio Calzolari
  5. Christian Mücher
  6. Roxana Halbleib
  7. Mehmet Caner Agostino Capponi Mihailo Stojnic
  8. Agostino Capponi
  9. Aygul Zagidullina
  10. Winfried Pohlmeier
  11. Benjamin Poignard
  12. Manabu Asai
  13. Hedibert F. Lopes
  14. Gregor Kastner
  15. Sylvia Frühwirth-Schnatter
  16. Rafael Alves
  17. Diego S. de Brito
  18. Ruy M. Ribeiro
  19. Jalal Etesami
  20. Yutong Chao

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

(3 of 7)

Sparsity-induced identification of factor-augmented VAR models
published2026 · Journal of Business and Economic Statistics
with Julie Schnaitmann
Journal of Business and Economic Statistics
Deep learning based residuals in non-linear factor models: Precision matrix estimation of returns with low signal-to-noise ratio
published2025 · Journal of Econometrics · 2 citations · first circulated 2024
with Mehmet Caner
Journal of Econometrics
Model-Estimation-Free, Dense, and High Dimensional Consistent Precision Matrix Estimators
working paper2025 · arXiv
with Mehmet Caner Agostino Capponi Mihailo Stojnic, Mehmet Caner, Agostino Capponi, Mihailo Stojnic
Paper profile arXiv arXiv:2507.04663
A Sparse Approximate Factor Model for High-Dimensional Covariance Matrix Estimation and Portfolio Selection
published2024 · Journal of Financial Econometrics · 6 citations
with Winfried Pohlmeier, Aygul Zagidullina
Journal of Financial Econometrics
Selecting the number of factors in approximate factor models using group variable regularization
published2024 · Econometric Reviews · 2 citations
Econometric Reviews
Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices
working paper2019 · arXiv · 3 citations
with Winfried Pohlmeier, Aygul Zagidullina
Paper profile arXiv arXiv:1906.05545
A Regularized Factor-augmented Vector Autoregressive Model
working paper2019 · arXiv
with Julie Schnaitmann
Paper profile arXiv arXiv:1912.06049

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.