Dr. Stefano Soccorsi

Stefano Soccorsi is co-course director of our PG Courses in Applied Econometrics and Data Science & Econometrics. He is based in the Department of Economics at Lancaster University Management School. His research covers dynamic factor models, forecasting, macroeconometrics, time series analysis, financial econometrics and dynamic macroeconomics. Much of his work concerns general dynamic factor models and what can be extracted from large panels of series, including time-varying dynamic factor models applied to the measurement of financial connectedness, the identification of global and local shocks in international financial markets, and forecasting stock returns using large dimensional factor models. A separate strand addresses structural VARs, including his work on measuring nonfundamentalness, and the analysis of supply and demand shocks in the frequency domain.

• ●Macroeconometrics
• ●Market Risk

• Published in the Journal of Econometrics, the Journal of Applied Econometrics, American Economic Journal: Macroeconomics, the Journal of Financial Econometrics, the Journal of Empirical Finance and the Journal of Economic Dynamics and Control.