Davide Delle Monache
Personal Details
First Name: | Davide |
Middle Name: | |
Last Name: | Delle Monache |
Suffix: | |
RePEc Short-ID: | pde480 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/site/dellemonachedavide/home | |
Via Nazionale, 91. 00184. Rome. italy | |
Terminal Degree: | 2011 Faculty of Economics; University of Cambridge (from RePEc Genealogy) |
Affiliation
Banca d'Italia
Roma, Italyhttp://www.bancaditalia.it/
RePEc:edi:bdigvit (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Stefano Neri & Fabio Busetti & Cristina Conflitti & Francesco Corsello & Davide Delle Monache & Alex Tagliabracci, 2023. "Energy price shocks and inflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 792, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2021.
"Modeling and forecasting macroeconomic downside risk,"
Temi di discussione (Economic working papers)
1324, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Andrea De Polis & Ivan Petrella, 2024. "Modeling and Forecasting Macroeconomic Downside Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1010-1025, July.
- Delle-Monache, Davide & De-Polis, Andrea & Petrella, Ivan, 2020. "Modelling and Forecasting Macroeconomic Downside Risk," EMF Research Papers 34, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2022. "Modeling and Forecasting Macroeconomic Downside Risk," CEPR Discussion Papers 15109, C.E.P.R. Discussion Papers.
- Fabio Busetti & Michele Caivano & Davide Delle Monache & Claudia Pacella, 2020.
"The time-varying risk of Italian GDP,"
Temi di discussione (Economic working papers)
1288, Bank of Italy, Economic Research and International Relations Area.
- Busetti, Fabio & Caivano, Michele & Delle Monache, Davide & Pacella, Claudia, 2021. "The time-varying risk of Italian GDP," Economic Modelling, Elsevier, vol. 101(C).
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2020.
"Price dividend ratio and long-run stock returns: a score driven state space model,"
Temi di discussione (Economic working papers)
1296, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021. "Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
- Petrella, Ivan & Delle Monache, Davide & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," CEPR Discussion Papers 14107, C.E.P.R. Discussion Papers.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," EMF Research Papers 29, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series 2369, European Central Bank.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2019.
"Domestic and global determinants of inflation: evidence from expectile regression,"
Temi di discussione (Economic working papers)
1225, Bank of Italy, Economic Research and International Relations Area.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2021. "Domestic and Global Determinants of Inflation: Evidence from Expectile Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 982-1001, August.
- Delle Monache, Davide & Petrella, Ivan, 2019.
"Efficient Matrix Approach for Classical Inference in State Space Models,"
EMF Research Papers
19, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & Petrella, Ivan, 2019. "Efficient matrix approach for classical inference in state space models," Economics Letters, Elsevier, vol. 181(C), pages 22-27.
- Guido Bulligan & Davide Delle Monache, 2018. "Financial markets effects of ECB unconventional monetary policy announcements," Questioni di Economia e Finanza (Occasional Papers) 424, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2017. "Does the ARFIMA really shift?," CREATES Research Papers 2017-16, Department of Economics and Business Economics, Aarhus University.
- Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2017.
"Real and financial cycles: estimates using unobserved component models for the Italian economy,"
Questioni di Economia e Finanza (Occasional Papers)
382, Bank of Italy, Economic Research and International Relations Area.
- Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2019. "Real and financial cycles: estimates using unobserved component models for the Italian economy," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 541-569, September.
- Locarno, Alberto & Delle Monache, Davide & Busetti, Fabio & Gerali, Andrea, 2017. "Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity," Working Paper Series 1994, European Central Bank.
- Davide Delle Monache & Ivan Petrella, 2016.
"Adaptive models and heavy tails with an application to inflation forecasting,"
BCAM Working Papers
1603, Birkbeck Centre for Applied Macroeconomics.
- Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper 75424, University Library of Munich, Germany.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive Models and Heavy Tails with an Application to Inflation Forecasting," EMF Research Papers 13, Economic Modelling and Forecasting Group.
- Petrella, Ivan & Venditti, Fabrizio & Delle Monache, Davide, 2016. "Adaptive state space models with applications to the business cycle and financial stress," CEPR Discussion Papers 11599, C.E.P.R. Discussion Papers.
- Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2015.
"Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach,"
CREATES Research Papers
2015-30, Department of Economics and Business Economics, Aarhus University.
- Davide Delle Monache & Stefano Grassi & Paolo Santucci, 2015. "Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach," Studies in Economics 1511, School of Economics, University of Kent.
- Delle Monache & Ivan Petrella & Fabrizio Venditti, 2015.
"Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation,"
Birkbeck Working Papers in Economics and Finance
1515, Birkbeck, Department of Economics, Mathematics & Statistics.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2016. "Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 539-565, Emerald Group Publishing Limited.
- Davide Delle Monache & Ivan Petrella, 2014.
"Adaptive Models and Heavy Tails,"
Birkbeck Working Papers in Economics and Finance
1409, Birkbeck, Department of Economics, Mathematics & Statistics.
- Petrella, Ivan & Delle Monache, Davide, 2016. "Adaptive models and heavy tails," Bank of England working papers 577, Bank of England.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails," Temi di discussione (Economic working papers) 1052, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Working Papers 720, Queen Mary University of London, School of Economics and Finance.
repec:qmw:qmwecw:wp720 is not listed on IDEAS
Articles
- Davide Delle Monache & Andrea De Polis & Ivan Petrella, 2024.
"Modeling and Forecasting Macroeconomic Downside Risk,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1010-1025, July.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2021. "Modeling and forecasting macroeconomic downside risk," Temi di discussione (Economic working papers) 1324, Bank of Italy, Economic Research and International Relations Area.
- Delle-Monache, Davide & De-Polis, Andrea & Petrella, Ivan, 2020. "Modelling and Forecasting Macroeconomic Downside Risk," EMF Research Papers 34, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2022. "Modeling and Forecasting Macroeconomic Downside Risk," CEPR Discussion Papers 15109, C.E.P.R. Discussion Papers.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2021.
"Domestic and Global Determinants of Inflation: Evidence from Expectile Regression,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 982-1001, August.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2019. "Domestic and global determinants of inflation: evidence from expectile regression," Temi di discussione (Economic working papers) 1225, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021.
"Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
- Petrella, Ivan & Delle Monache, Davide & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," CEPR Discussion Papers 14107, C.E.P.R. Discussion Papers.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," EMF Research Papers 29, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Temi di discussione (Economic working papers) 1296, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series 2369, European Central Bank.
- Busetti, Fabio & Caivano, Michele & Delle Monache, Davide & Pacella, Claudia, 2021.
"The time-varying risk of Italian GDP,"
Economic Modelling, Elsevier, vol. 101(C).
- Fabio Busetti & Michele Caivano & Davide Delle Monache & Claudia Pacella, 2020. "The time-varying risk of Italian GDP," Temi di discussione (Economic working papers) 1288, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & Petrella, Ivan, 2019.
"Efficient matrix approach for classical inference in state space models,"
Economics Letters, Elsevier, vol. 181(C), pages 22-27.
- Delle Monache, Davide & Petrella, Ivan, 2019. "Efficient Matrix Approach for Classical Inference in State Space Models," EMF Research Papers 19, Economic Modelling and Forecasting Group.
- Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2019.
"Real and financial cycles: estimates using unobserved component models for the Italian economy,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 541-569, September.
- Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2017. "Real and financial cycles: estimates using unobserved component models for the Italian economy," Questioni di Economia e Finanza (Occasional Papers) 382, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & Petrella, Ivan, 2017.
"Adaptive models and heavy tails with an application to inflation forecasting,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," BCAM Working Papers 1603, Birkbeck Centre for Applied Macroeconomics.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper 75424, University Library of Munich, Germany.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive Models and Heavy Tails with an Application to Inflation Forecasting," EMF Research Papers 13, Economic Modelling and Forecasting Group.
- Harvey, Andrew C. & Delle Monache, Davide, 2009. "Computing the mean square error of unobserved components extracted by misspecified time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 283-295, February.
- Mario Mazzocchi & Davide Delle Monache & Alexandra Lobb, 2006. "A structural time series approach to modelling multiple and resurgent meat scares in Italy," Applied Economics, Taylor & Francis Journals, vol. 38(14), pages 1677-1688.
Chapters
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2016.
"Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 539-565,
Emerald Group Publishing Limited.
- Delle Monache & Ivan Petrella & Fabrizio Venditti, 2015. "Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation," Birkbeck Working Papers in Economics and Finance 1515, Birkbeck, Department of Economics, Mathematics & Statistics.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Stefano Neri & Fabio Busetti & Cristina Conflitti & Francesco Corsello & Davide Delle Monache & Alex Tagliabracci, 2023.
"Energy price shocks and inflation in the euro area,"
Questioni di Economia e Finanza (Occasional Papers)
792, Bank of Italy, Economic Research and International Relations Area.
Cited by:
- Salvatore Lo Bello & Eliana Viviano, 2024. "Some considerations on the Phillips curve after the pandemic," Questioni di Economia e Finanza (Occasional Papers) 842, Bank of Italy, Economic Research and International Relations Area.
- Adolfsen, Jakob Feveile & Ferrari Minesso, Massimo & Mork, Jente Esther & Van Robays, Ine, 2024. "Gas price shocks and euro area inflation," Working Paper Series 2905, European Central Bank.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2021.
"Modeling and forecasting macroeconomic downside risk,"
Temi di discussione (Economic working papers)
1324, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Andrea De Polis & Ivan Petrella, 2024. "Modeling and Forecasting Macroeconomic Downside Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1010-1025, July.
- Delle-Monache, Davide & De-Polis, Andrea & Petrella, Ivan, 2020. "Modelling and Forecasting Macroeconomic Downside Risk," EMF Research Papers 34, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2022. "Modeling and Forecasting Macroeconomic Downside Risk," CEPR Discussion Papers 15109, C.E.P.R. Discussion Papers.
Cited by:
- Wolf, Elias, 2022. "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers 2022/2, Free University Berlin, School of Business & Economics.
- Jan Pruser & Florian Huber, 2023.
"Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions,"
Papers
2301.13604, arXiv.org, revised Sep 2023.
- Jan Prüser & Florian Huber, 2024. "Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(2), pages 269-291, March.
- Chen, Guojin & Liu, Yanzhen & Zhang, Yu, 2020. "Can systemic risk measures predict economic shocks? Evidence from China," China Economic Review, Elsevier, vol. 64(C).
- Aaron J. Amburgey & Michael W. McCracken, 2023.
"On the real‐time predictive content of financial condition indices for growth,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 137-163, March.
- Aaron Amburgey & Michael W. McCracken, 2022. "On the Real-Time Predictive Content of Financial Conditions Indices for Growth," Working Papers 2022-003, Federal Reserve Bank of St. Louis, revised 03 Jun 2022.
- Simon Lloyd & Ed Manuel & Konstantin Panchev, 2024.
"Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 335-392, March.
- Lloyd, S. & Manuel, E. & Panchev, K., 2021. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," Cambridge Working Papers in Economics 2156, Faculty of Economics, University of Cambridge.
- Lloyd, S. & Manuel, E. & Panchev, K., 2021. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," Janeway Institute Working Papers 2102, Faculty of Economics, University of Cambridge.
- Lloyd, Simon & Manuel, Ed & Panchev, Konstantin, 2021. "Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk," Bank of England working papers 940, Bank of England.
- Hilde C. Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2023. "Fiscal Policy Regimes in Resource-Rich Economies," Working Papers No 13/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- James Mitchell & Aubrey Poon & Dan Zhu, 2024.
"Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
- James Mitchell & Aubrey Poon & Dan Zhu, 2022. "Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics," Working Papers 22-12R, Federal Reserve Bank of Cleveland, revised 11 Apr 2023.
- Fabio Busetti & Michele Caivano & Davide Delle Monache & Claudia Pacella, 2020.
"The time-varying risk of Italian GDP,"
Temi di discussione (Economic working papers)
1288, Bank of Italy, Economic Research and International Relations Area.
- Busetti, Fabio & Caivano, Michele & Delle Monache, Davide & Pacella, Claudia, 2021. "The time-varying risk of Italian GDP," Economic Modelling, Elsevier, vol. 101(C).
- Philippe Goulet Coulombe, 2021. "The Macroeconomy as a Random Forest," Working Papers 21-05, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
- Stolbov, Mikhail & Shchepeleva, Maria, 2022. "Modeling global real economic activity: Evidence from variable selection across quantiles," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
- Iseringhausen, Martin, 2024.
"A time-varying skewness model for Growth-at-Risk,"
International Journal of Forecasting, Elsevier, vol. 40(1), pages 229-246.
- Martin Iseringhausen, 2021. "A time-varying skewness model for Growth-at-Risk," Working Papers 49, European Stability Mechanism.
- Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022.
"Tail Forecasting with Multivariate Bayesian Additive Regression Trees,"
CEPR Discussion Papers
17461, C.E.P.R. Discussion Papers.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2023. "Tail Forecasting With Multivariate Bayesian Additive Regression Trees," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 979-1022, August.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," Working Papers 21-08R, Federal Reserve Bank of Cleveland, revised 12 Jul 2022.
- Pfarrhofer, Michael, 2022.
"Modeling tail risks of inflation using unobserved component quantile regressions,"
Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Michael Pfarrhofer, 2021. "Modeling tail risks of inflation using unobserved component quantile regressions," Papers 2103.03632, arXiv.org, revised Oct 2021.
- Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2020.
"Forecasting Macroeconomic Risks,"
Staff Reports
914, Federal Reserve Bank of New York.
- Adrian, Tobias & Adams, Patrick & Boyarchenko, Nina & Giannone, Domenico, 2020. "Forecasting Macroeconomic Risks," CEPR Discussion Papers 14436, C.E.P.R. Discussion Papers.
- Adams, Patrick A. & Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2021. "Forecasting macroeconomic risks," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1173-1191.
- Giacomo Bormetti & Fulvio Corsi, 2021. "A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters," Papers 2107.05263, arXiv.org, revised Feb 2022.
- Botelho, Vasco & Foroni, Claudia & Renzetti, Andrea, 2023. "Labour at risk," Working Paper Series 2840, European Central Bank.
- Paul Labonne, 2022. "Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-23, Economic Statistics Centre of Excellence (ESCoE).
- Boriss Siliverstovs, 2021. "Gauging the Effect of Influential Observations on Measures of Relative Forecast Accuracy in a Post-COVID-19 Era: Application to Nowcasting Euro Area GDP Growth," Working Papers 2021/01, Latvijas Banka.
- Michal Franta & Jan Libich, 2024.
"Holding the economy by the tail: analysis of short- and long-run macroeconomic risks,"
Empirical Economics, Springer, vol. 66(4), pages 1443-1489, April.
- Michal Franta & Jan Libich, 2021. "Holding the Economy by the Tail: Analysis of Short- and Long-run Macroeconomic Risks," Working Papers 2021/3, Czech National Bank.
- Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021.
"Expecting the unexpected: economic growth under stress,"
CREATES Research Papers
2021-06, Department of Economics and Business Economics, Aarhus University.
- Gonzalez Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir, 2021. "Expecting the unexpected: economic growth under stress," DES - Working Papers. Statistics and Econometrics. WS 32148, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021. "Expecting the unexpected: economic growth under stress," Working Papers 202106, University of California at Riverside, Department of Economics.
- Lhuissier, Stéphane, 2022.
"Financial conditions and macroeconomic downside risks in the euro area,"
European Economic Review, Elsevier, vol. 143(C).
- Lhuissier Stéphane, 2022. "Financial Conditions and Macroeconomic Downside Risks in the Euro Area," Working papers 863, Banque de France.
- Helena Chuliá & Ignacio Garrón & Jorge M. Uribe, 2021. ""Vulnerable Funding in the Global Economy"," IREA Working Papers 202106, University of Barcelona, Research Institute of Applied Economics, revised Mar 2021.
- Pacelli, Vincenzo & Miglietta, Federica & Foglia, Matteo, 2022. "The extreme risk connectedness of the new financial system: European evidence," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021.
"Vector autoregression models with skewness and heavy tails,"
Working Papers
2021:8, Örebro University, School of Business.
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023. "Vector autoregression models with skewness and heavy tails," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Paul Labonne, 2020. "Asymmetric uncertainty : Nowcasting using skewness in real-time data," Papers 2012.02601, arXiv.org, revised May 2024.
- Deng, Chuang & Wu, Jian, 2023. "Macroeconomic downside risk and the effect of monetary policy," Finance Research Letters, Elsevier, vol. 54(C).
- Leopoldo Catania & Alessandra Luati & Pierluigi Vallarino, 2021. "Economic vulnerability is state dependent," CREATES Research Papers 2021-09, Department of Economics and Business Economics, Aarhus University.
- Philippe Goulet Coulombe, 2024. "The macroeconomy as a random forest," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 401-421, April.
- Fabio Busetti & Michele Caivano & Davide Delle Monache & Claudia Pacella, 2020.
"The time-varying risk of Italian GDP,"
Temi di discussione (Economic working papers)
1288, Bank of Italy, Economic Research and International Relations Area.
- Busetti, Fabio & Caivano, Michele & Delle Monache, Davide & Pacella, Claudia, 2021. "The time-varying risk of Italian GDP," Economic Modelling, Elsevier, vol. 101(C).
Cited by:
- Anastasiya Ivanova & Alona Shmygel & Ihor Lubchuk, 2021. "The Growth-at-Risk (GaR) Framework: Implication For Ukraine," IHEID Working Papers 10-2021, Economics Section, The Graduate Institute of International Studies.
- Xu, Qifa & Xu, Mengnan & Jiang, Cuixia & Fu, Weizhong, 2023. "Mixed-frequency Growth-at-Risk with the MIDAS-QR method: Evidence from China," Economic Systems, Elsevier, vol. 47(4).
- Simon Lloyd & Ed Manuel & Konstantin Panchev, 2024.
"Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 335-392, March.
- Lloyd, S. & Manuel, E. & Panchev, K., 2021. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," Cambridge Working Papers in Economics 2156, Faculty of Economics, University of Cambridge.
- Lloyd, S. & Manuel, E. & Panchev, K., 2021. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," Janeway Institute Working Papers 2102, Faculty of Economics, University of Cambridge.
- Lloyd, Simon & Manuel, Ed & Panchev, Konstantin, 2021. "Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk," Bank of England working papers 940, Bank of England.
- J. David López-Salido & Francesca Loria, 2020. "Inflation at Risk," Finance and Economics Discussion Series 2020-013, Board of Governors of the Federal Reserve System (U.S.).
- Gu, Xin & Cheng, Xiang & Zhu, Zixiang & Deng, Xiang, 2021. "Economic policy uncertainty and China’s growth-at-risk," Economic Analysis and Policy, Elsevier, vol. 70(C), pages 452-467.
- Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021.
"Expecting the unexpected: economic growth under stress,"
CREATES Research Papers
2021-06, Department of Economics and Business Economics, Aarhus University.
- Gonzalez Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir, 2021. "Expecting the unexpected: economic growth under stress," DES - Working Papers. Statistics and Econometrics. WS 32148, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021. "Expecting the unexpected: economic growth under stress," Working Papers 202106, University of California at Riverside, Department of Economics.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2020.
"Price dividend ratio and long-run stock returns: a score driven state space model,"
Temi di discussione (Economic working papers)
1296, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021. "Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
- Petrella, Ivan & Delle Monache, Davide & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," CEPR Discussion Papers 14107, C.E.P.R. Discussion Papers.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," EMF Research Papers 29, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series 2369, European Central Bank.
Cited by:
- Zheng, Tingguo & Ye, Shiqi & Hong, Yongmiao, 2023. "Fast estimation of a large TVP-VAR model with score-driven volatilities," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
- Eric A. Beutner & Yicong Lin & Andre Lucas, 2023. "Consistency, distributional convergence, and optimality of score-driven filters," Tinbergen Institute Discussion Papers 23-051/III, Tinbergen Institute.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2019.
"Domestic and global determinants of inflation: evidence from expectile regression,"
Temi di discussione (Economic working papers)
1225, Bank of Italy, Economic Research and International Relations Area.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2021. "Domestic and Global Determinants of Inflation: Evidence from Expectile Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 982-1001, August.
Cited by:
- Brand, Claus & Obstbaum, Meri & Coenen, Günter & Sondermann, David & Lydon, Reamonn & Ajevskis, Viktors & Hammermann, Felix & Angino, Siria & Hernborg, Nils & Basso, Henrique & Hertweck, Matthias & Bi, 2021. "Employment and the conduct of monetary policy in the euro area," Occasional Paper Series 275, European Central Bank.
- Fabio Busetti & Michele Caivano & Davide Delle Monache & Claudia Pacella, 2020.
"The time-varying risk of Italian GDP,"
Temi di discussione (Economic working papers)
1288, Bank of Italy, Economic Research and International Relations Area.
- Busetti, Fabio & Caivano, Michele & Delle Monache, Davide & Pacella, Claudia, 2021. "The time-varying risk of Italian GDP," Economic Modelling, Elsevier, vol. 101(C).
- Jana Budova & Veronika Sulikova & Marianna Sinicakova, 2023. "When Inflation Again Matters: Do Domestic and Global Output Gaps Determine Inflation in the EU?," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 25(63), pages 575-575, April.
- Banerjee, Ryan & Contreras, Juan & Mehrotra, Aaron & Zampolli, Fabrizio, 2024. "Inflation at risk in advanced and emerging market economies," Journal of International Money and Finance, Elsevier, vol. 142(C).
- Zhang, Feipeng & Xu, Yixiong & Fan, Caiyun, 2023. "Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Man, Rebeka & Tan, Kean Ming & Wang, Zian & Zhou, Wen-Xin, 2024. "Retire: Robust expectile regression in high dimensions," Journal of Econometrics, Elsevier, vol. 239(2).
- Stefano Neri & Fabio Busetti & Cristina Conflitti & Francesco Corsello & Davide Delle Monache & Alex Tagliabracci, 2023. "Energy price shocks and inflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 792, Bank of Italy, Economic Research and International Relations Area.
- Jiang, Yanhui & Qu, Bo & Hong, Yun & Xiao, Xiyue, 2024. "Dynamic connectedness of inflation around the world: A time-varying approach from G7 and E7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 111-125.
- Philipp F. M. Baumann & Enzo Rossi & Alexander Volkmann, 2020.
"What Drives Inflation and How: Evidence from Additive Mixed Models Selected by cAIC,"
Papers
2006.06274, arXiv.org, revised Aug 2022.
- Philipp F. M. Baumann & Dr. Enzo Rossi & Alexander Volkmann, 2021. "What drives inflation and how? Evidence from additive mixed models selected by cAIC," Working Papers 2021-12, Swiss National Bank.
- Delle Monache, Davide & Petrella, Ivan, 2019.
"Efficient Matrix Approach for Classical Inference in State Space Models,"
EMF Research Papers
19, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & Petrella, Ivan, 2019. "Efficient matrix approach for classical inference in state space models," Economics Letters, Elsevier, vol. 181(C), pages 22-27.
Cited by:
- Andrii Babii & Eric Ghysels & Jonas Striaukas, 2022.
"Machine Learning Time Series Regressions With an Application to Nowcasting,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1094-1106, June.
- Babii, Andrii & Ghysels, Eric & Striaukas, Jonas, 2021. "Machine Learning Time Series Regressions With an Application to Nowcasting," LIDAM Reprints LFIN 2021010, Université catholique de Louvain, Louvain Finance (LFIN).
- Andrii Babii & Eric Ghysels & Jonas Striaukas, 2020. "Machine Learning Time Series Regressions with an Application to Nowcasting," Papers 2005.14057, arXiv.org, revised Dec 2020.
- Babii, Andrii & Ghysels, Eric & Striaukas, Jonas, 2021. "Machine Learning Time Series Regressions With an Application to Nowcasting," LIDAM Discussion Papers LFIN 2021004, Université catholique de Louvain, Louvain Finance (LFIN).
- Wang, Renhe & Wang, Tong & Qian, Zhiyong & Hu, Shulan, 2023. "A Bayesian estimation approach of random switching exponential smoothing with application to credit forecast," Finance Research Letters, Elsevier, vol. 58(PC).
- Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024.
"Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails,"
Journal of Econometrics, Elsevier, vol. 238(2).
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2023. "Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails," CEPR Discussion Papers 17800, C.E.P.R. Discussion Papers.
- Zakipour-Saber, Shayan, 2019.
"State-dependent Monetary Policy Regimes,"
Research Technical Papers
4/RT/19, Central Bank of Ireland.
- Shayan Zakipour-Saber, 2019. "State-dependent Monetary Policy Regimes," Working Papers 882, Queen Mary University of London, School of Economics and Finance.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021.
"Factor extraction using Kalman filter and smoothing: This is not just another survey,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
- Guido Bulligan & Davide Delle Monache, 2018.
"Financial markets effects of ECB unconventional monetary policy announcements,"
Questioni di Economia e Finanza (Occasional Papers)
424, Bank of Italy, Economic Research and International Relations Area.
Cited by:
- Siekmann, Helmut & Wieland, Volker, 2020. "The ruling of the Federal Constitutional Court concerning the public sector purchase program: A practical way forward," IMFS Working Paper Series 140, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Havlik, Annika & Heinemann, Friedrich & Helbig, Samuel & Nover, Justus, 2021.
"Dispelling the shadow of fiscal dominance? Fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic,"
ZEW Discussion Papers
21-050, ZEW - Leibniz Centre for European Economic Research.
- Havlik, Annika & Heinemann, Friedrich & Helbig, Samuel & Nover, Justus, 2021. "Dispelling the shadow of fiscal dominance? Fiscal and monetary announcement effects for euro area sovereign spreads in the Corona pandemic," ZEW Expert Briefs 21-03, ZEW - Leibniz Centre for European Economic Research.
- Havlik, Annika & Heinemann, Friedrich & Helbig, Samuel & Nover, Justus, 2022. "Dispelling the shadow of fiscal dominance? Fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic," Journal of International Money and Finance, Elsevier, vol. 122(C).
- Martina Cecioni, 2018. "ECB monetary policy and the euro exchange rate," Temi di discussione (Economic working papers) 1172, Bank of Italy, Economic Research and International Relations Area.
- Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.
- Stefano Neri & Stefano Siviero, 2019. "The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks," Questioni di Economia e Finanza (Occasional Papers) 486, Bank of Italy, Economic Research and International Relations Area.
- Marco Bottone & Alfonso Rosolia, 2019. "Monetary policy, firms’ inflation expectations and prices: causal evidence from firm-level data," Temi di discussione (Economic working papers) 1218, Bank of Italy, Economic Research and International Relations Area.
- Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2017.
"Real and financial cycles: estimates using unobserved component models for the Italian economy,"
Questioni di Economia e Finanza (Occasional Papers)
382, Bank of Italy, Economic Research and International Relations Area.
- Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2019. "Real and financial cycles: estimates using unobserved component models for the Italian economy," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 541-569, September.
Cited by:
- Roberta Fiori & Claudia Pacella, 2019. "Should the CCYB be enhanced with a sectoral dimension? The case of Italy," Questioni di Economia e Finanza (Occasional Papers) 499, Bank of Italy, Economic Research and International Relations Area.
- Valentina Aprigliano & Danilo Liberati, 2019.
"Using credit variables to date business cycle and to estimate the probabilities of recession in real time,"
Temi di discussione (Economic working papers)
1229, Bank of Italy, Economic Research and International Relations Area.
- Valentina Aprigliano & Danilo Liberati, 2021. "Using Credit Variables to Date Business Cycle and to Estimate the Probabilities of Recession in Real Time," Manchester School, University of Manchester, vol. 89(S1), pages 76-96, September.
- Bogdan Andrei Dumitrescu & Robert-Adrian Grecu, 2023. "Impact of Financial Factors on the Economic Cycle Dynamics in Selected European Countries," JRFM, MDPI, vol. 16(12), pages 1-17, November.
- Filippo Gusella & Engelbert Stockhammer, 2021.
"Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter,"
Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
- Filippo Gusella & Engelbert Stockhammer, 2020. "Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter," Working Papers PKWP2009, Post Keynesian Economics Society (PKES).
- Filippo Gusella, 2022.
"Detecting and Measuring Financial Cycles in Heterogeneous Agents Models: An Empirical Analysis,"
Working Papers - Economics
wp2022_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Filippo Gusella, 2022. "Detecting And Measuring Financial Cycles In Heterogeneous Agents Models: An Empirical Analysis," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 25(02n03), pages 1-22, March.
- Chafik, Omar & Achour, Aya, 2022. "Cycle financier, cycle réel et transmission de la politique monétaire au Maroc," Document de travail 2022-2, Bank Al-Maghrib, Département de la Recherche.
- Lenarčič, Črt, 2021. "Estimating business and financial cycles in Slovenia," MPRA Paper 109977, University Library of Munich, Germany.
- Bartoletto, Silvana & Chiarini, Bruno & Marzano, Elisabetta & Piselli, Paolo, 2019. "Business cycles, credit cycles, and asymmetric effects of credit fluctuations: Evidence from Italy for the period of 1861–2013," Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
- Jasper de Winter & Siem Jan Koopman & Irma Hindrayanto, 2022. "Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 57-79, February.
- Gyurkovics, Éva & Takács, Tibor, 2022. "Robust energy-to-peak filter design for a class of unstable polytopic systems with a macroeconomic application," Applied Mathematics and Computation, Elsevier, vol. 420(C).
- Locarno, Alberto & Delle Monache, Davide & Busetti, Fabio & Gerali, Andrea, 2017.
"Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity,"
Working Paper Series
1994, European Central Bank.
Cited by:
- Christian Dreger, 2017.
"Long Term Growth Perspectives in Japan and the Euro Area,"
Discussion Papers of DIW Berlin
1661, DIW Berlin, German Institute for Economic Research.
- Christian Dreger, 2017. "Long-term growth perspectives in Japan and the Euro area," Asia Europe Journal, Springer, vol. 15(4), pages 363-375, December.
- Sascha Möhrle, 2020. "New Evidence on the Anchoring of Inflation Expectations in the Euro Area," ifo Working Paper Series 337, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Kevin J. Lansing, 2019.
"Endogenous Forecast Switching Near the Zero Lower Bound,"
Working Paper Series
2017-24, Federal Reserve Bank of San Francisco.
- Lansing, Kevin J., 2021. "Endogenous forecast switching near the zero lower bound," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 153-169.
- Nikos Apokoritis & Gabriele Galati & Richhild Moessner & Federica Teppa, 2019. "Inflation expectations anchoring: new insights from micro evidence of a survey at high-frequency and of distributions," BIS Working Papers 809, Bank for International Settlements.
- Giuliana Passamani & Alessandro Sardone & Roberto Tamborini, 2020. "Phillips Curve and output expectations: New perspectives from the Euro Zone," DEM Working Papers 2020/6, Department of Economics and Management.
- Laura Bartiloro & Marco Bottone & Alfonso Rosolia, 2017. "What does the heterogeneity of the inflation expectations of Italian firms tell us?," Questioni di Economia e Finanza (Occasional Papers) 414, Bank of Italy, Economic Research and International Relations Area.
- Eser, Fabian & Lane, Philip & Moretti, Laura & Osbat, Chiara & Karadi, Peter, 2020.
"The Phillips Curve at the ECB,"
VfS Annual Conference 2020 (Virtual Conference): Gender Economics
224627, Verein für Socialpolitik / German Economic Association.
- Fabian Eser & Peter Karadi & Philip R. Lane & Laura Moretti & Chiara Osbat, 2020. "The Phillips Curve at the ECB," Manchester School, University of Manchester, vol. 88(S1), pages 50-85, September.
- Eser, Fabian & Karadi, Peter & Lane, Philip R. & Moretti, Laura & Osbat, Chiara, 2020. "The Phillips Curve at the ECB," Working Paper Series 2400, European Central Bank.
- Cecchetti, Stephen & Feroli, Michael & Hooper, Peter & Kashyap, Anil & Schoenholtz, Kermit L., 2017. "Deflating Inflation Expectations: The Implications of Inflation’s Simple Dynamics," CEPR Discussion Papers 11925, C.E.P.R. Discussion Papers.
- Gabriele Galati & Richhild Moessner & Maarten van Rooij, 2021.
"The anchoring of long-term inflation expectations of consumers: insights from a new survey,"
BIS Working Papers
936, Bank for International Settlements.
- Gabriele Galati & Richhild Moessner & Maarten van Rooij, 2020. "The anchoring of long-term inflation expectations of consumers: insights from a new survey," Working Papers 688, DNB.
- Gabriele Galati & Richhild Moessner & Maarten van Rooij, 2023. "The anchoring of long-term inflation expectations of consumers: insights from a new survey," Oxford Economic Papers, Oxford University Press, vol. 75(1), pages 96-116.
- Giuliana Passamani & Alessandro Sardone & Roberto Tamborini, 2022. "Inflation puzzles, the Phillips Curve and output expectations: new perspectives from the Euro Zone," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(1), pages 123-153, February.
- Olivier Armantier & Argia M. Sbordone & Giorgio Topa & Wilbert Van der Klaauw & John C. Williams, 2022.
"A New Approach to Assess Inflation Expectations Anchoring Using Strategic Surveys,"
Staff Reports
1007, Federal Reserve Bank of New York.
- Armantier, Olivier & Sbordone, Argia & Topa, Giorgio & van der Klaauw, Wilbert & Williams, John C., 2022. "A new approach to assess inflation expectations anchoring using strategic surveys," Journal of Monetary Economics, Elsevier, vol. 129(S), pages 82-101.
- Goy, Gavin & Hommes, Cars & Mavromatis, Kostas, 2022. "Forward guidance and the role of central bank credibility under heterogeneous beliefs," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1240-1274.
- Stefano Neri & Guido Bulligan & Sara Cecchetti & Francesco Corsello & Andrea Papetti & Marianna Riggi & Concetta Rondinelli & Alex Tagliabracci, 2022. "On the anchoring of inflation expectations in the euro area," Questioni di Economia e Finanza (Occasional Papers) 712, Bank of Italy, Economic Research and International Relations Area.
- Stefano Neri & Stefano Siviero, 2019. "The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks," Questioni di Economia e Finanza (Occasional Papers) 486, Bank of Italy, Economic Research and International Relations Area.
- Timo Henckel & Gordon D. Menzies & Peter Moffat & Daniel J. Zizzo, 2019.
"Three Dimensions of Central Bank Credibility and Inferential Expectations: The Euro Zone,"
Working Paper Series
2019/02, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Henckel, Timo & Menzies, Gordon D. & Moffatt, Peter & Zizzo, Daniel J., 2019. "Three dimensions of central bank credibility and inferential expectations: The Euro zone," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 294-308.
- Ciccarelli, Matteo & Osbat, Chiara, 2017. "Low inflation in the euro area: Causes and consequences," Occasional Paper Series 181, European Central Bank.
- Ignazio Visco & Giordano Zevi, 2020. "Bounded rationality and expectations in economics," Questioni di Economia e Finanza (Occasional Papers) 575, Bank of Italy, Economic Research and International Relations Area.
- Mr. Yasser Abdih & Ms. Li Lin & Anne-Charlotte Paret, 2018. "Understanding Euro Area Inflation Dynamics: Why So Low for So Long?," IMF Working Papers 2018/188, International Monetary Fund.
- Christian Dreger, 2017.
"Long Term Growth Perspectives in Japan and the Euro Area,"
Discussion Papers of DIW Berlin
1661, DIW Berlin, German Institute for Economic Research.
- Davide Delle Monache & Ivan Petrella, 2016.
"Adaptive models and heavy tails with an application to inflation forecasting,"
BCAM Working Papers
1603, Birkbeck Centre for Applied Macroeconomics.
- Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper 75424, University Library of Munich, Germany.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive Models and Heavy Tails with an Application to Inflation Forecasting," EMF Research Papers 13, Economic Modelling and Forecasting Group.
Cited by:
- Gorgi, Paolo & Koopman, Siem Jan & Li, Mengheng, 2019.
"Forecasting economic time series using score-driven dynamic models with mixed-data sampling,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1735-1747.
- Paolo Gorgi & Siem Jan (S.J.) Koopman & Mengheng Li, 2018. "Forecasting economic time series using score-driven dynamic models with mixed-data sampling," Tinbergen Institute Discussion Papers 18-026/III, Tinbergen Institute.
- Hilde C. Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2023. "Fiscal Policy Regimes in Resource-Rich Economies," Working Papers No 13/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2021.
"Modeling and forecasting macroeconomic downside risk,"
Temi di discussione (Economic working papers)
1324, Bank of Italy, Economic Research and International Relations Area.
- Delle-Monache, Davide & De-Polis, Andrea & Petrella, Ivan, 2020. "Modelling and Forecasting Macroeconomic Downside Risk," EMF Research Papers 34, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2022. "Modeling and Forecasting Macroeconomic Downside Risk," CEPR Discussion Papers 15109, C.E.P.R. Discussion Papers.
- Davide Delle Monache & Andrea De Polis & Ivan Petrella, 2024. "Modeling and Forecasting Macroeconomic Downside Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1010-1025, July.
- Tretyakov, Dmitriy & Fokin, Nikita, 2020. "Помогают Ли Высокочастотные Данные В Прогнозировании Российской Инфляции? [Does the high-frequency data is helpful for forecasting Russian inflation?]," MPRA Paper 109556, University Library of Munich, Germany.
- Chen, Ji & Yang, Xinglin & Liu, Xiliang, 2022. "Learning, disagreement and inflation forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021.
"Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
- Petrella, Ivan & Delle Monache, Davide & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," CEPR Discussion Papers 14107, C.E.P.R. Discussion Papers.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," EMF Research Papers 29, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Temi di discussione (Economic working papers) 1296, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series 2369, European Central Bank.
- Krist'of N'emeth & D'aniel Hadh'azi, 2024. "Generating density nowcasts for U.S. GDP growth with deep learning: Bayes by Backprop and Monte Carlo dropout," Papers 2405.15579, arXiv.org.
- Martin Weale & Paul Labonne, 2022. "Nowcasting in the presence of large measurement errors and revisions," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-05, Economic Statistics Centre of Excellence (ESCoE).
- Barbara Rossi, 2019.
"Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them,"
Economics Working Papers
1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
- Rossi, Barbara, 2020. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," CEPR Discussion Papers 14472, C.E.P.R. Discussion Papers.
- Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
- Henrik Jensen & Ivan Petrella & Søren Hove Ravn & Emiliano Santoro, 2020.
"Leverage and Deepening Business-Cycle Skewness,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 12(1), pages 245-281, January.
- Jensen, Henrik & Petrella, Ivan & Ravn, Soren & Santoro, Emiliano, 2019. "Leverage and Deepening Business Cycle Skewness," EMF Research Papers 21, Economic Modelling and Forecasting Group.
- Henrik Jensen & Ivan Petrella & Søren Hove Ravn & Emiliano Santoro, 2017. "Leverage and deepening business cycle skewness," Working Papers 1732, Banco de España.
- Petrella, Ivan & Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2017. "Leverage and Deepening Business Cycle Skewness," CEPR Discussion Papers 12239, C.E.P.R. Discussion Papers.
- Mogens Fosgerau & Jinwon Kim & Abhishek Ranjan, 2017. "Vickrey Meets Alonso: Commute Scheduling and Congestion in a Monocentric City," Discussion Papers 17-25, University of Copenhagen. Department of Economics.
- Harvey, A., 2021. "Score-driven time series models," Cambridge Working Papers in Economics 2133, Faculty of Economics, University of Cambridge.
- Giacomo Bormetti & Fulvio Corsi, 2021. "A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters," Papers 2107.05263, arXiv.org, revised Feb 2022.
- Paul Labonne, 2022. "Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-23, Economic Statistics Centre of Excellence (ESCoE).
- Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
- Roberto Duncan & Enrique Martínez‐García, 2023. "Forecasting inflation in open economies: What can a NOEM model do?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 481-513, April.
- Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2023. "Forecasting extreme financial risk: A score-driven approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 720-735.
- Luisa Bisaglia & Matteo Grigoletto, 2021. "A new time-varying model for forecasting long-memory series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 139-155, March.
- Paul Labonne, 2020. "Asymmetric uncertainty : Nowcasting using skewness in real-time data," Papers 2012.02601, arXiv.org, revised May 2024.
- Carlos Henrique Dias Cordeiro de Castro & Fernando Antonio Lucena Aiube, 2023. "Forecasting inflation time series using score‐driven dynamic models and combination methods: The case of Brazil," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 369-401, March.
- Blasques, F. & Gorgi, P. & Koopman, S.J., 2019. "Accelerating score-driven time series models," Journal of Econometrics, Elsevier, vol. 212(2), pages 359-376.
- Petrella, Ivan & Venditti, Fabrizio & Delle Monache, Davide, 2016.
"Adaptive state space models with applications to the business cycle and financial stress,"
CEPR Discussion Papers
11599, C.E.P.R. Discussion Papers.
Cited by:
- Angelini, Giovanni & Gorgi, Paolo, 2018. "DSGE Models with observation-driven time-varying volatility," Economics Letters, Elsevier, vol. 171(C), pages 169-171.
- Caterina Schiavoni & Siem Jan Koopman & Franz Palm & Stephan Smeekes & Jan van den Brakel, 2021. "Time-varying state correlations in state space models and their estimation via indirect inference," Tinbergen Institute Discussion Papers 21-020/III, Tinbergen Institute.
- Blasques, F. & Gorgi, P. & Koopman, S.J., 2021.
"Missing observations in observation-driven time series models,"
Journal of Econometrics, Elsevier, vol. 221(2), pages 542-568.
- Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman, 2018. "Missing Observations in Observation-Driven Time Series Models," Tinbergen Institute Discussion Papers 18-013/III, Tinbergen Institute.
- Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2018. "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics," Papers 1803.04894, arXiv.org, revised Mar 2019.
- Simone Auer, 2017. "A Financial Conditions Index for the CEE economies," Temi di discussione (Economic working papers) 1145, Bank of Italy, Economic Research and International Relations Area.
- Giacomo Bormetti & Fulvio Corsi, 2021. "A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters," Papers 2107.05263, arXiv.org, revised Feb 2022.
- George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2017.
"Large time-varying parameter VARs: a non-parametric approach,"
Temi di discussione (Economic working papers)
1122, Bank of Italy, Economic Research and International Relations Area.
- Marcellino, Massimiliano & Kapetanios, George & Venditti, Fabrizio, 2016. "Large Time-Varying Parameter VARs: A Non-Parametric Approach," CEPR Discussion Papers 11560, C.E.P.R. Discussion Papers.
- George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2019. "Large time‐varying parameter VARs: A nonparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1027-1049, November.
- Bahcivan, Hulusi & Karahan, Cenk C., 2022. "High frequency correlation dynamics and day-of-the-week effect: A score-driven approach in an emerging market stock exchange," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Giovanni Angelini & Paolo Gorgi, 2018. "DSGE Models with Observation-Driven Time-Varying parameters," Tinbergen Institute Discussion Papers 18-030/III, Tinbergen Institute.
- Delle Monache & Ivan Petrella & Fabrizio Venditti, 2015.
"Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation,"
Birkbeck Working Papers in Economics and Finance
1515, Birkbeck, Department of Economics, Mathematics & Statistics.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2016. "Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 539-565, Emerald Group Publishing Limited.
Cited by:
- Koop, G & Korobilis, D, 2018.
"Forecasting with High-Dimensional Panel VARs,"
Essex Finance Centre Working Papers
21329, University of Essex, Essex Business School.
- Koop, Gary & Korobilis, Dimitris, 2015. "Forecasting with High-Dimensional Panel VARs," MPRA Paper 84275, University Library of Munich, Germany, revised 31 Jan 2018.
- Gary Koop & Dimitris Korobilis, 2019. "Forecasting with High‐Dimensional Panel VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 937-959, October.
- Gary Koop & Dimitris Korobilis, 2018. "Forecasting with High-Dimensional Panel VARs," Working Paper series 18-20, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2015. "Forecasting With High Dimensional Panel VARs," Working Papers 2015_25, Business School - Economics, University of Glasgow.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2017.
"Determining the number of factors after stationary univariate transformations,"
Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
- Corona, Francisco & Poncela, Maria Pilar, 2016. "Determining the number of factors after stationary univariate transformations," DES - Working Papers. Statistics and Econometrics. WS ws1602, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2019.
"Domestic and global determinants of inflation: evidence from expectile regression,"
Temi di discussione (Economic working papers)
1225, Bank of Italy, Economic Research and International Relations Area.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2021. "Domestic and Global Determinants of Inflation: Evidence from Expectile Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 982-1001, August.
- Marcellino, Massimiliano & Carriero, Andrea & Corsello, Francesco, 2019.
"The Global Component of Inflation Volatility,"
CEPR Discussion Papers
13470, C.E.P.R. Discussion Papers.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2022. "The global component of inflation volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 700-721, June.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2018. "The global component of inflation volatility," Temi di discussione (Economic working papers) 1170, Bank of Italy, Economic Research and International Relations Area.
- Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2018. "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics," Papers 1803.04894, arXiv.org, revised Mar 2019.
- Giacomo Bormetti & Fulvio Corsi, 2021. "A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters," Papers 2107.05263, arXiv.org, revised Feb 2022.
- Lodge, David & Pérez, Javier J. & Albrizio, Silvia & Everett, Mary & De Bandt, Olivier & Georgiadis, Georgios & Ca' Zorzi, Michele & Lastauskas, Povilas & Carluccio, Juan & Parrága, Susana & Carvalho,, 2021. "The implications of globalisation for the ECB monetary policy strategy," Occasional Paper Series 263, European Central Bank.
- Stefano Neri & Stefano Siviero, 2019. "The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks," Questioni di Economia e Finanza (Occasional Papers) 486, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Ivan Petrella, 2014.
"Adaptive Models and Heavy Tails,"
Birkbeck Working Papers in Economics and Finance
1409, Birkbeck, Department of Economics, Mathematics & Statistics.
- Petrella, Ivan & Delle Monache, Davide, 2016. "Adaptive models and heavy tails," Bank of England working papers 577, Bank of England.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails," Temi di discussione (Economic working papers) 1052, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Working Papers 720, Queen Mary University of London, School of Economics and Finance.
Cited by:
- Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2018.
"Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models,"
Post-Print
hal-01377971, HAL.
- F Blasques & P Gorgi & S Koopman & O Wintenberger, 2016. "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models," Papers 1610.02863, arXiv.org.
- Stefano Grassi & Paolo Santucci de Magistris, 2013.
"It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model,"
CREATES Research Papers
2013-03, Department of Economics and Business Economics, Aarhus University.
- Grassi, Stefano & Santucci de Magistris, Paolo, 2015. "It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 62-78.
- Stefano Grassi & Paolo Santucci de Magistris, 2013. "It's all about volatility of volatility: evidence from a two-factor stochastic volatility model," Studies in Economics 1404, School of Economics, University of Kent.
- Barbara Rossi, 2019.
"Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them,"
Economics Working Papers
1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
- Rossi, Barbara, 2020. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," CEPR Discussion Papers 14472, C.E.P.R. Discussion Papers.
- Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
- Dave, Chetan & Malik, Samreen, 2017. "A tale of fat tails," European Economic Review, Elsevier, vol. 100(C), pages 293-317.
- Henrik Jensen & Ivan Petrella & Søren Hove Ravn & Emiliano Santoro, 2020.
"Leverage and Deepening Business-Cycle Skewness,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 12(1), pages 245-281, January.
- Jensen, Henrik & Petrella, Ivan & Ravn, Soren & Santoro, Emiliano, 2019. "Leverage and Deepening Business Cycle Skewness," EMF Research Papers 21, Economic Modelling and Forecasting Group.
- Henrik Jensen & Ivan Petrella & Søren Hove Ravn & Emiliano Santoro, 2017. "Leverage and deepening business cycle skewness," Working Papers 1732, Banco de España.
- Petrella, Ivan & Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2017. "Leverage and Deepening Business Cycle Skewness," CEPR Discussion Papers 12239, C.E.P.R. Discussion Papers.
- Mogens Fosgerau & Jinwon Kim & Abhishek Ranjan, 2017. "Vickrey Meets Alonso: Commute Scheduling and Congestion in a Monocentric City," Discussion Papers 17-25, University of Copenhagen. Department of Economics.
- Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016. "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers 16-082/III, Tinbergen Institute.
- Petrella, Ivan & Venditti, Fabrizio & Delle Monache, Davide, 2016. "Adaptive state space models with applications to the business cycle and financial stress," CEPR Discussion Papers 11599, C.E.P.R. Discussion Papers.
- George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2017.
"Large time-varying parameter VARs: a non-parametric approach,"
Temi di discussione (Economic working papers)
1122, Bank of Italy, Economic Research and International Relations Area.
- Marcellino, Massimiliano & Kapetanios, George & Venditti, Fabrizio, 2016. "Large Time-Varying Parameter VARs: A Non-Parametric Approach," CEPR Discussion Papers 11560, C.E.P.R. Discussion Papers.
- George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2019. "Large time‐varying parameter VARs: A nonparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1027-1049, November.
- Mauro Bernardi & Leopoldo Catania, 2016. "Comparison of Value-at-Risk models using the MCS approach," Computational Statistics, Springer, vol. 31(2), pages 579-608, June.
- Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Optimal Formulations for Nonlinear Autoregressive Processes," Tinbergen Institute Discussion Papers 14-103/III, Tinbergen Institute.
Articles
- Davide Delle Monache & Andrea De Polis & Ivan Petrella, 2024.
"Modeling and Forecasting Macroeconomic Downside Risk,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1010-1025, July.
See citations under working paper version above.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2021. "Modeling and forecasting macroeconomic downside risk," Temi di discussione (Economic working papers) 1324, Bank of Italy, Economic Research and International Relations Area.
- Delle-Monache, Davide & De-Polis, Andrea & Petrella, Ivan, 2020. "Modelling and Forecasting Macroeconomic Downside Risk," EMF Research Papers 34, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2022. "Modeling and Forecasting Macroeconomic Downside Risk," CEPR Discussion Papers 15109, C.E.P.R. Discussion Papers.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2021.
"Domestic and Global Determinants of Inflation: Evidence from Expectile Regression,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 982-1001, August.
See citations under working paper version above.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2019. "Domestic and global determinants of inflation: evidence from expectile regression," Temi di discussione (Economic working papers) 1225, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021.
"Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
See citations under working paper version above.
- Petrella, Ivan & Delle Monache, Davide & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," CEPR Discussion Papers 14107, C.E.P.R. Discussion Papers.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," EMF Research Papers 29, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Temi di discussione (Economic working papers) 1296, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series 2369, European Central Bank.
- Busetti, Fabio & Caivano, Michele & Delle Monache, Davide & Pacella, Claudia, 2021.
"The time-varying risk of Italian GDP,"
Economic Modelling, Elsevier, vol. 101(C).
See citations under working paper version above.
- Fabio Busetti & Michele Caivano & Davide Delle Monache & Claudia Pacella, 2020. "The time-varying risk of Italian GDP," Temi di discussione (Economic working papers) 1288, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & Petrella, Ivan, 2019.
"Efficient matrix approach for classical inference in state space models,"
Economics Letters, Elsevier, vol. 181(C), pages 22-27.
See citations under working paper version above.
- Delle Monache, Davide & Petrella, Ivan, 2019. "Efficient Matrix Approach for Classical Inference in State Space Models," EMF Research Papers 19, Economic Modelling and Forecasting Group.
- Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2019.
"Real and financial cycles: estimates using unobserved component models for the Italian economy,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 541-569, September.
See citations under working paper version above.
- Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2017. "Real and financial cycles: estimates using unobserved component models for the Italian economy," Questioni di Economia e Finanza (Occasional Papers) 382, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & Petrella, Ivan, 2017.
"Adaptive models and heavy tails with an application to inflation forecasting,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
See citations under working paper version above.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," BCAM Working Papers 1603, Birkbeck Centre for Applied Macroeconomics.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper 75424, University Library of Munich, Germany.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive Models and Heavy Tails with an Application to Inflation Forecasting," EMF Research Papers 13, Economic Modelling and Forecasting Group.
- Harvey, Andrew C. & Delle Monache, Davide, 2009.
"Computing the mean square error of unobserved components extracted by misspecified time series models,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 283-295, February.
Cited by:
- Theofilakou, Nancy & Stournaras, Yannis, 2012. "Current account adjustments in OECD countries revisited: The role of the fiscal stance," Journal of Policy Modeling, Elsevier, vol. 34(5), pages 719-734.
- Badarau-Semenescu, Cristina & Ndiaye, Cheikh Tidiane, 2010. "Politique économique et transmission des chocs dans la zone euro," L'Actualité Economique, Société Canadienne de Science Economique, vol. 86(1), pages 35-77, mars.
- Fresoli, Diego & Poncela, Pilar & Ruiz, Esther, 2023. "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," Economics Letters, Elsevier, vol. 230(C).
- McElroy, Tucker S. & Wildi, Marc, 2020. "The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions," Econometrics and Statistics, Elsevier, vol. 14(C), pages 112-130.
- Flaig Gebhard, 2015.
"Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(6), pages 518-538, December.
- Gebhard Flaig, 2012. "Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter," CESifo Working Paper Series 3816, CESifo.
- Rodríguez, Alejandro, 2010.
"Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters,"
DES - Working Papers. Statistics and Econometrics. WS
ws100301, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rodríguez, Alejandro & Ruiz, Esther, 2012. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 62-74, January.
- Kristian Jönsson, 2017. "Restricted Hodrick–Prescott filtering in a state-space framework," Empirical Economics, Springer, vol. 53(3), pages 1243-1251, November.
- Mario Mazzocchi & Davide Delle Monache & Alexandra Lobb, 2006.
"A structural time series approach to modelling multiple and resurgent meat scares in Italy,"
Applied Economics, Taylor & Francis Journals, vol. 38(14), pages 1677-1688.
Cited by:
- Mu, Jianhong E. & McCarl, Bruce A. & Bessler, David A., 2013. "Impacts of BSE and Avian Influenza on U.S. Meat Demand," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150392, Agricultural and Applied Economics Association.
- Corsi, Alessandro & Novelli, Silvia, 2011.
"Willingness-to-pay in terms of price: an application to organic beef during and after the “mad cow” crisis,"
Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement (RAEStud), Institut National de la Recherche Agronomique (INRA), vol. 92(1).
- Alessandro Corsi & Silvia Novelli, 2011. "Willingness-to-pay in terms of price: an application to organic beef during and after the “mad cow” crisis," Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement, INRA Department of Economics, vol. 92(1), pages 25-46.
- Corsi, Alessandro, 2012. "Willingness-to-pay in terms of price: an application to organic beef during and after the “mad cow” crisis," Revue d'Etudes en Agriculture et Environnement, Editions NecPlus, vol. 92(01), pages 25-46, October.
- Xavier Irz & Mario Mazzocchi & Vincent Requillart & Louis-Georges Soler, 2015.
"Research in Food Economics: past trends and new challenges,"
Post-Print
hal-01884941, HAL.
- IRZ, Xavier & MAZZOCCHI, Mario & REQUILLART, Vincent & SOLER, Louis-Georges, 2015. "Research in Food Economics: past trends and new challenges," Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement (RAEStud), Institut National de la Recherche Agronomique (INRA), vol. 96(1), March.
- Xavier IRZ & Mario MAZZOCCHI & Vincent RÉQUILLART & Louis-Georges SOLER, 2015. "Research in Food Economics: past trends and new challenges," Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement, INRA Department of Economics, vol. 96(1), pages 187-237.
- Irz, Xavier & Mazzocchi, Mario & Réquillart, Vincent & Soler, Louis-Georges, 2015. "Research in Food Economics: past trends and new challenges," Revue d'Etudes en Agriculture et Environnement, Editions NecPlus, vol. 96(01), pages 187-237, March.
- Rieger, Jörg & Kuhlgatz, Christian & Anders, Sven, 2016. "Food scandals, media attention and habit persistence among desensitised meat consumers," Food Policy, Elsevier, vol. 64(C), pages 82-92.
- Shashika D. Rathnayaka & Saroja Selvanathan & E. A. Selvanathan, 2021. "Demand for animal‐derived food in selected Asian countries: A system‐wide analysis," Agricultural Economics, International Association of Agricultural Economists, vol. 52(1), pages 97-122, January.
- Beach, Robert H. & Zhen, Chen, 2008.
"Consumer Purchasing Behavior in Response to Media Coverage of Avian Influenza,"
2008 Annual Meeting, February 2-6, 2008, Dallas, Texas
6750, Southern Agricultural Economics Association.
- Beach, Robert H. & Zhen, Chen, 2009. "Consumer Purchasing Behavior in Response to Media Coverage of Avian Influenza," 2009 Conference, August 16-22, 2009, Beijing, China 51742, International Association of Agricultural Economists.
Chapters
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2016.
"Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 539-565,
Emerald Group Publishing Limited.
See citations under working paper version above.Sorry, no citations of chapters recorded.
- Delle Monache & Ivan Petrella & Fabrizio Venditti, 2015. "Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation," Birkbeck Working Papers in Economics and Finance 1515, Birkbeck, Department of Economics, Mathematics & Statistics.
More information
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 24 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-MAC: Macroeconomics (18) 2014-07-21 2014-07-28 2016-03-23 2016-05-08 2016-11-13 2016-12-11 2016-12-18 2017-03-05 2017-03-19 2017-07-23 2018-03-19 2019-11-11 2019-12-02 2020-08-10 2020-08-17 2020-11-23 2021-03-29 2021-05-31. Author is listed
- NEP-FOR: Forecasting (9) 2014-07-21 2014-07-28 2016-03-23 2016-12-11 2016-12-18 2020-08-10 2020-08-17 2021-03-29 2021-05-31. Author is listed
- NEP-ETS: Econometric Time Series (8) 2015-06-27 2015-07-04 2016-11-13 2016-12-11 2016-12-18 2017-03-19 2019-01-14 2020-02-24. Author is listed
- NEP-ORE: Operations Research (7) 2014-07-21 2014-07-28 2015-06-27 2015-07-04 2016-11-13 2019-11-11 2020-11-23. Author is listed
- NEP-ECM: Econometrics (5) 2014-07-21 2015-06-27 2016-11-13 2016-12-18 2019-01-14. Author is listed
- NEP-EEC: European Economics (5) 2016-05-08 2017-03-05 2017-07-23 2018-03-19 2023-08-21. Author is listed
- NEP-MON: Monetary Economics (5) 2016-05-08 2017-03-05 2018-03-19 2019-12-02 2023-08-21. Author is listed
- NEP-CBA: Central Banking (4) 2016-05-08 2017-03-05 2018-03-19 2019-12-02
- NEP-RMG: Risk Management (4) 2020-08-10 2020-08-17 2021-03-29 2021-05-31
- NEP-CFN: Corporate Finance (2) 2019-11-11 2020-11-23
- NEP-FDG: Financial Development and Growth (2) 2020-08-10 2021-03-29
- NEP-CWA: Central and Western Asia (1) 2021-05-31
- NEP-ENE: Energy Economics (1) 2023-08-21
- NEP-PKE: Post Keynesian Economics (1) 2016-05-08
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