Lucia Alessi : Citation Profile


Are you Lucia Alessi?

European Commission

10

H index

10

i10 index

440

Citations

RESEARCH PRODUCTION:

10

Articles

21

Papers

RESEARCH ACTIVITY:

   10 years (2006 - 2016). See details.
   Cites by year: 44
   Journals where Lucia Alessi has often published
   Relations with other researchers
   Recent citing documents: 123.    Total self citations: 13 (2.87 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal837
   Updated: 2017-11-23    RAS profile: 2017-07-10    
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Relations with other researchers


Works with:

Peach, Richard (3)

Potter, Simon (3)

onorante, luca (3)

Barigozzi, Matteo (2)

Detken, Carsten (2)

Bonfim, Diana (2)

Capasso, Marco (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Lucia Alessi.

Is cited by:

Sarlin, Peter (15)

Hallin, Marc (13)

Nadal De Simone, Francisco (13)

Lippi, Marco (12)

Forni, Mario (12)

Rodríguez Caballero, Carlos (12)

Barigozzi, Matteo (11)

BORIO, Claudio (9)

Gomez-Gonzalez, Jose (8)

Vašíček, Bořek (8)

Kabundi, Alain (8)

Cites to:

Reichlin, Lucrezia (65)

Giannone, Domenico (39)

Forni, Mario (34)

Lippi, Marco (31)

Reinhart, Carmen (22)

Hallin, Marc (20)

Kaminsky, Graciela (19)

Watson, Mark (14)

Blundell, Richard (13)

Ng, Serena (13)

Bai, Jushan (12)

Main data


Where Lucia Alessi has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics2
Structural Change and Economic Dynamics2

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank8
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy8
Working Papers ECARES / ULB -- Universite Libre de Bruxelles2

Recent works citing Lucia Alessi (2017 and 2016)


YearTitle of citing document
2016A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-23.

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2017The Impact of Monetary Policy on Agricultural Price Index in China: A FAVAR Approach. (2017). Paudel, Krishna ; Tan, Ying ; Sha, Wenbiao . In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252676.

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2016An Exploration of Sustainable Customer Value and the Procedure of the Intelligent Digital Content Analysis Platform for Big Data Using Dynamic Decision Making. (2016). Wang, Shen-Tsu . In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2016:p:25-31.

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2016Toward robust early-warning models: A horse race, ensembles and model uncertainty. (2016). Sarlin, Peter ; Holopainen, Markus . In: Papers. RePEc:arx:papers:1501.04682.

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2016RiskRank: Measuring interconnected risk. (2016). Sarlin, Peter ; Mezei, J'Ozsef . In: Papers. RePEc:arx:papers:1601.06204.

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2016Short term prediction of extreme returns based on the recurrence interval analysis. (2016). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhou, Wei-Xing ; Stanley, Eugene H ; Xie, Chi ; Podobnik, Boris ; Canabarro, Askery . In: Papers. RePEc:arx:papers:1610.08230.

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2017Predicting Economic Recessions Using Machine Learning Algorithms. (2017). ormerod, paul ; Nyman, Rickard . In: Papers. RePEc:arx:papers:1701.01428.

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2017Sequential testing for structural stability in approximate factor models. (2017). Barigozzi, Matteo ; Trapani, Lorenzo . In: Papers. RePEc:arx:papers:1708.02786.

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2016Dating Systemic Financial Stress Episodes in the EU Countries. (2016). Peltonen, Tuomas ; Klaus, Benjamin ; Duprey, Thibaut. In: Staff Working Papers. RePEc:bca:bocawp:16-11.

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2016Tracking Changes in the Intensity of Financial Sectors Systemic Risk. (2016). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp102.

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2016Characterising the financial cycle in Luxembourg. (2016). Giordana, Gastón ; Gueddoudj, Sabbah . In: BCL working papers. RePEc:bcl:bclwop:bclwp103.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2016The countercyclical capital buffer in spain: an analysis of key guiding indicators. (2016). Castro, Christian ; Martinez, Jorge ; Estrada, Angel . In: Working Papers. RePEc:bde:wpaper:1601.

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2016Assessing financial stability risks from the real estate market in Italy. (2016). Cornacchia, Wanda ; Ciocchetta, Federica ; Loberto, Michele ; Felici, Roberto . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_323_16.

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2017Early Warning Systems with Real-Time Data. (2017). Boonman, Tjeerd ; Alberto, Romero ; Gerard, Kuper ; Tjeerd, Boonman. In: Working Papers. RePEc:bdm:wpaper:2017-16.

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2016Finance neutral potential output: an evaluation on an emerging market monetary policy context. (2016). Amador Torres, Juan ; Amador-Torres, Sebastian J. In: Borradores de Economia. RePEc:bdr:borrec:958.

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2016El requerimiento de capital contracíclico en Colombia. (2016). Hurtado, Jorge Luis ; Ramirez, Felipe Clavijo ; Nio, Javier Pirateque ; Jaulin, Oscar Fernando . In: Borradores de Economia. RePEc:bdr:borrec:963.

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2016An Early Warning System for Macro-prudential Policy in France.. (2016). Idier, Julien ; Coudert, Virginie. In: Working papers. RePEc:bfr:banfra:609.

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2017An analytical framework to calibrate macroprudential policy. (2017). Bennani, T ; Scalone, V ; Piquard, T ; Lopez, P ; Idier, J ; Gabrieli, S ; Devulder, A ; Couaillier, C. In: Working papers. RePEc:bfr:banfra:648.

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2016Experiences with the ex ante appraisal of macroprudential instruments. (2016). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:56.

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2017Macroprudential database. (2017). Boh, Samo ; Schepens, Thomas ; Calleja, Romain ; Koban, Anne ; Borgioli, Stefano . In: IFC Bulletins chapters. RePEc:bis:bisifc:43-06.

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2017Measuring cross-sectoral shifts in credit provisioning: an enhanced framework. (2017). Bijlsma, Melle ; Klaaijsen, Eric ; Kakes, Jan . In: IFC Bulletins chapters. RePEc:bis:bisifc:43-12.

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2017Accounting for debt service: the painful legacy of credit booms. (2017). Korinek, Anton ; Juselius, John ; Drehmann, Mathias. In: BIS Working Papers. RePEc:bis:biswps:645.

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2017Real-time determination of credit cycle phases in emerging markets. (2017). Ponomarenko, Alexey ; Deryugina, Elena. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps17.

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2016Nowcasting using news topics Big Data versus big bank. (2016). Thorsrud, Leif. In: Working Papers. RePEc:bny:wpaper:0046.

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2016Assessing vulnerabilities to financial shocks in some key global economies. (2016). Rachel, Lukasz ; Fisher, Jack ; Lukasz, Rachel . In: Bank of England working papers. RePEc:boe:boeewp:0636.

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2016The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors. (2016). Comunale, Mariarosaria ; Simola, Heli . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2016_016.

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2016Use of unit root methods in early warning of financial crises. (2016). Virtanen, Timo ; Taipalus, Katja ; Viren, Matti ; Tolo, Eero . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_027.

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2017Formation of inflation expectations in turbulent times : Can ECB manage inflation expectations of professional forecasters?. (2017). Łyziak, Tomasz ; Paloviita, Maritta . In: Research Discussion Papers. RePEc:bof:bofrdp:2017_013.

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2017What does “below, but close to, two percent” mean? Assessing the ECB’s reaction function with real time data. (2017). Kilponen, Juha ; Jalasjoki, Pirkka ; Haavio, Markus ; Paloviita, Maritta . In: Research Discussion Papers. RePEc:bof:bofrdp:2017_029.

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2016Systemic early warning systems for EU15 based on the 2008 crisis. (2016). Papadopoulos, Savas ; Sager, Thomas ; Stavroulias, Pantelis . In: Working Papers. RePEc:bog:wpaper:202.

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2017A ternary-state early warning system for the European Union. (2017). Papadopoulos, Savas ; Baranoff, Etti ; Sager, Thomas ; Stavroulias, Pantelis . In: Working Papers. RePEc:bog:wpaper:222.

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2016Oil-price density forecasts of US GDP. (2016). Ravazzolo, Francesco ; Francesco, Ravazzolo ; Philip, Rothman . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:441-453:n:7.

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2017Foreign Booms, Domestic Busts: The Global Dimension of Banking Crises. (2017). Thwaites, Gregory ; Eguren Martin, Fernando ; Cesa-Bianchi, Ambrogio. In: Discussion Papers. RePEc:cfm:wpaper:1708.

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2017Early Warning Systems for Currency Crises with Real-Time Data. (2017). Boonman, Tjeerd ; Romero, Alberto ; Kuper, Gerard H. In: CIRANO Working Papers. RePEc:cir:cirwor:2017s-18.

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2016Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank. (2016). Laséen, Stefan ; Soderstrom, Ulf ; Lundvall, Henrik ; Iversen, Jens . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11203.

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2016Eigenvalue Ratio Estimators for the Number of Common Factors. (2016). Forni, Mario ; Cavicchioli, Maddalena ; Zaffaroni, Paolo ; Lippi, Marco. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11440.

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2017Model Uncertainty in Macroeconomics: On the Implications of Financial Frictions. (2017). Wieland, Volker ; Lieberknecht, Philipp ; Quintana, Jorge ; Binder, Michael. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12013.

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2016Remittances in Mexico and their unobserved components. (2016). Orraca, Pedro ; Corona, Francisco . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:22674.

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2017Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez, Carlos Vladimir ; Ergemen, Yunus Emre . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614.

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2016Determining the number of factors after stationary univariate transformations. (2016). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1602.

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2016Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area. (2016). Koopman, Siem Jan ; Galati, Gabriele ; Vlekke, Marente ; Hindrayanto, Irma . In: DNB Working Papers. RePEc:dnb:dnbwpp:495.

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2016The signalling content of asset prices for inflation: Implications for Quantitative Easing. (2016). de Haan, Leo ; End, Jan Willem ; van den End, Jan Willem . In: DNB Working Papers. RePEc:dnb:dnbwpp:516.

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2016Measuring Nonfundamentalness for Structural VARs. (2016). Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/222962.

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2016Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting. (2016). Lippi, Marco ; Giovannelli, Alessandro ; Forni, Mario ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/228908.

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2017A new database for financial crises in European countries. (2017). Klaus, Benjamin ; Peltonen, Tuomas ; Detken, Carsten ; Lang, Jan Hannes ; Kusmierczyk, Piotr ; Bengtsson, Elias ; Basten, Marisa ; Koban, Anne ; lo Duca, Marco. In: Occasional Paper Series. RePEc:ecb:ecbops:2017194.

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2016Assessing the costs and benefits of capital-based macroprudential policy. (2016). Behn, Markus ; Peltonen, Tuomas ; Gross, Marco . In: Working Paper Series. RePEc:ecb:ecbwps:20161935.

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2017Optimizing policymakers loss functions in crisis prediction: before, within or after?. (2017). von Schweinitz, Gregor ; Sarlin, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20172025.

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2017Detecting Asset Price Bubbles: A Multifactor Approach. (2017). Tomfort, Andre . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-08.

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2017Transformed contribution ratio test for the number of factors in static approximate factor models. (2017). Xia, Qiang ; Wu, Jianhong ; Liang, Rubing . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:235-241.

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2017Credit expansion and financial stability in Malaysia. (2017). Law, Siong Hook ; Ibrahim, Mansor ; Koong, Seow Shin . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:339-350.

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2017Forecasting Chinas GDP growth using dynamic factors and mixed-frequency data. (2017). Jiang, YU ; Zhang, Yihao ; Guo, Yongji . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:132-138.

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2016Efficient estimation of approximate factor models via penalized maximum likelihood. (2016). Liao, Yuan ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:1-18.

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2017Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

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2017Determining the number of factors when the number of factors can increase with sample size. (2017). Shi, Yutang ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:76-86.

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2017Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis. (2017). Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo ; Lippi, Marco. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:74-92.

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2017Sufficient forecasting using factor models. (2017). Yao, Jiawei ; Fan, Jianqing ; Xue, Lingzhou . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:292-306.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Xiu, Dacheng ; Ait-Sahalia, Yacine . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2016Mind the gap: Computing finance-neutral output gaps in Latin-American economies. (2016). Ojeda-Joya, Jair ; Gomez-Gonzalez, Jose ; Amador Torres, Juan ; Tenjo-Galarza, Fernando ; Jaulin-Mendez, Oscar F ; Amador-Torres, Juan S. In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:3:p:444-452.

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2017Finance-neutral potential output: An evaluation in an emerging market monetary policy context. (2017). Amador-Torres, Sebastian J. In: Economic Systems. RePEc:eee:ecosys:v:41:y:2017:i:3:p:389-407.

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2016Comparing logit-based early warning systems: Does the duration of systemic banking crises matter?. (2016). Leonida, Leone ; Caggiano, Giovanni ; Calice, Pietro ; Kapetanios, George . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:104-116.

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2016Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:79-96.

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2017Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433.

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2017A new weighting-scheme for equity indexes. (2017). Chevallier, Julien ; Aboura, Sofiane . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:159-175.

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2017Implicit rating: A potential new method to alert crisis on the interbank lending market. (2017). Berlinger, Edina. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:277-283.

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2016Model risk of risk models. (2016). Danielsson, Jon ; Zer, Ilknur ; Valenzuela, Marcela ; James, Kevin R. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:79-91.

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2016Evaluating measures of adverse financial conditions. (2016). Oet, Mikhail V ; Sarlin, Peter ; Gramlich, Dieter . In: Journal of Financial Stability. RePEc:eee:finsta:v:27:y:2016:i:c:p:234-249.

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2017Dating systemic financial stress episodes in the EU countries. (2017). Klaus, Benjamin ; Duprey, Thibaut ; Peltonen, Tuomas . In: Journal of Financial Stability. RePEc:eee:finsta:v:32:y:2017:i:c:p:30-56.

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2016An entropy-based early warning indicator for systemic risk. (2016). Billio, Monica ; Costola, Michele ; Casarin, Roberto ; Pasqualini, Andrea . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:42-59.

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2016Predicting Finnish economic activity using firm-level data. (2016). Fornaro, Paolo. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:10-19.

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2016Forecasting and nowcasting economic growth in the euro area using factor models. (2016). Koopman, Siem Jan ; de Winter, Jasper ; Hindrayanto, Irma . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1284-1305.

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2017Forecasting GDP with global components: This time is different. (2017). Thorsrud, Leif ; Ravazzolo, Francesco ; Bjørnland, Hilde. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:153-173.

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2017Risk evaluations with robust approximate factor models. (2017). Chou, Ray Yeutien ; Yen, Yu-Min . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:244-264.

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2017Indeterminate forecast accuracy under indeterminacy. (2017). Sorge, Marco ; Fanelli, Luca. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:53:y:2017:i:c:p:57-70.

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2017Monetary policy and balance sheets. (2017). Tamirisa, Natalia ; Kabundi, Alain ; Igan, Deniz ; de Simone, Francisco Nadal . In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:1:p:169-184.

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2017Government purchases reloaded: Informational insufficiency and heterogeneity in fiscal VARs. (2017). Ricco, Giovanni ; Ellahie, Atif . In: Journal of Monetary Economics. RePEc:eee:moneco:v:90:y:2017:i:c:p:13-27.

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2016Invariant features of spatial inequality in consumption: The case of India. (2016). Nandi, Tushar ; Chakraborti, Anirban ; Chatterjee, Arnab ; Chakrabarti, Anindya S ; Ghosh, Asim . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:442:y:2016:i:c:p:169-181.

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2016Forecasting GDP with global components. This time is different. (2016). Thorsrud, Leif ; Ravazzolo, Francesco ; Bjørnland, Hilde. In: CAMA Working Papers. RePEc:een:camaaa:2016-26.

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2016Identifying the independent sources of consumption variation. (2016). Moneta, Alessio ; Barigozzi, Matteo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:60979.

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2016Learning from history: volatility and financial crises. (2016). Danielsson, Jon ; Zer, Ilknur ; Valenzuela, Marcela . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:66046.

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2016Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis. (2016). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo . In: EIEF Working Papers Series. RePEc:eie:wpaper:1607.

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2016How big is the comeback? Japanese exchange rate pass-through assessed by Time-Varying FAVAR. (2016). Moussa, Zakaria. In: Working Papers. RePEc:hal:wpaper:hal-01282811.

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2016Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank. (2016). Laséen, Stefan ; Soderstrom, Ulf ; Lundvall, Henrik ; Laseen, Stefan ; Iversen, Jens . In: Working Paper Series. RePEc:hhs:rbnkwp:0318.

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2017The Determinants of Credit Growth in Lebanon. (2017). Awdeh, Ali . In: International Business Research. RePEc:ibn:ibrjnl:v:10:y:2017:i:2:p:9-19.

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2016Forecast Disagreement and the Inflation Outlook: New International Evidence. (2016). Siklos, Pierre. In: IMES Discussion Paper Series. RePEc:ime:imedps:16-e-03.

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2016Slovak Republic; Selected Issues. (2016). International Monetary Fund, . In: IMF Staff Country Reports. RePEc:imf:imfscr:16/14.

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2016Characteristics of Banking Crises: A Comparative Study with Geographical Contagion. (2016). Stremmel, Hanno ; Fendel, Ralf . In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). RePEc:jns:jbstat:v:236:y:2016:i:1:p:349-388.

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2016Extracting the Information Shocks from the Bank of England Inflation Density Forecasts. (2016). Díaz, Carlos ; Vela, Carlos Diaz . In: Discussion Papers in Economics. RePEc:lec:leecon:16/13.

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2016The Pass-Through to Consumer Prices in CIS Economies: the Role of Exchange Rates, Commodities and Other Common Factors. (2016). Comunale, Mariarosaria ; Simola, Heli . In: Bank of Lithuania Working Paper Series. RePEc:lie:wpaper:35.

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2016A comparison of pre- and post-crisis efficiency of OECD countries: evidence from a model with temporal heterogeneity in time and unobservable individual effect. (2016). Matkovskyy, Roman. In: European Journal of Comparative Economics. RePEc:liu:liucej:v:13:y:2016:i:2:p:135-167.

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2017Empirical Investigation of the Effect of Bank Long Term Debt on Loans and Output in the Euro-zone. (2017). Chevallier, Claire. In: CREA Discussion Paper Series. RePEc:luc:wpaper:17-04.

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2017Asset Pricing and Excess Returns over the Market Return. (2017). Ahn, Seung C ; Horenstein, Alex R. In: Working Papers. RePEc:mia:wpaper:2017-12.

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2016Dynamic Factor model with infinite dimensional factor space: forecasting. (2016). Lippi, Marco ; Giovannelli, Alessandro ; Forni, Mario ; Soccorsi, Stefano . In: Center for Economic Research (RECent). RePEc:mod:recent:120.

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2016Does one size fit all at all times? The role of country specificities and state dependencies in predicting banking crises. (2016). Pirovano, Mara ; Ferrari, Stijn . In: Working Paper Research. RePEc:nbb:reswpp:201606-297.

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2017Forecasting with FAVAR: macroeconomic versus financial factors. (2017). Paccagnini, Alessia. In: NBP Working Papers. RePEc:nbp:nbpmis:256.

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2017Economic resilience: The usefulness of early warning indicators in OECD countries. (2017). Röhn, Oliver ; Rohn, Oliver ; Hermansen, Mikkel . In: OECD Journal: Economic Studies. RePEc:oec:ecokac:5jg2ppjrd6r3.

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2017Evidence for a Presource Curse? Oil discoveries, Elevated Expectations, and Growth Disappointments. (2017). Cust, James ; Mihalyi, David . In: OxCarre Working Papers. RePEc:oxf:oxcrwp:193.

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2017Creating and assessing composite indicators: Dynamic applications for the port industry and seaborne trade. (2017). Angelopoulos, Jason . In: Maritime Economics & Logistics. RePEc:pal:marecl:v:19:y:2017:i:1:d:10.1057_s41278-016-0050-8.

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2016Commonality and Heterogeneity in Real Effective Exchange Rates: Evidence from Advanced and Developing Countries. (2016). Nagayasu, Jun. In: MPRA Paper. RePEc:pra:mprapa:70078.

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2016Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2016). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: MPRA Paper. RePEc:pra:mprapa:74922.

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2017Joint Forecast Combination of Macroeconomic Aggregates and Their Components. (2017). Cobb, Marcus. In: MPRA Paper. RePEc:pra:mprapa:76556.

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More than 100 citations found, this list is not complete...

Works by Lucia Alessi:


YearTitleTypeCited
2011Non‐Fundamentalness in Structural Econometric Models: A Review In: International Statistical Review.
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article20
2009Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors In: Working Papers ECARES.
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2009A Robust Criterion for Determining the Number of Factors in Approximate Factor Models In: Working Papers ECARES.
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paper11
2009Global liquidity as an early warning indicator for asset price boom/bust cycles In: Research Bulletin.
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article1
2008A robust criterion for determining the number of static factors in approximate factor models. In: Working Paper Series.
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paper15
2007A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models.(2007) In: LEM Papers Series.
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This paper has another version. Agregated cites: 15
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2008A review of nonfundamentalness and identification in structural VAR models In: Working Paper Series.
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paper11
2007A Review of Nonfundamentalness and Identification in Structural VAR Models.(2007) In: LEM Papers Series.
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This paper has another version. Agregated cites: 11
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2009Real timeearly warning indicators for costly asset price boom/bust cycles: a role for global liquidity In: Working Paper Series.
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paper68
2009The distribution of households consumption-expenditure budget shares In: Working Paper Series.
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paper2
2012The distribution of household consumption-expenditure budget shares.(2012) In: Structural Change and Economic Dynamics.
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This paper has another version. Agregated cites: 2
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2009Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors In: Working Paper Series.
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paper8
2014Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences In: Working Paper Series.
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paper21
2014Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 21
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2014Identifying excessive credit growth and leverage In: Working Paper Series.
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paper14
2016The response of asset prices to monetary policy shocks: stronger than thought In: Working Paper Series.
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paper1
2014On policymakers’ loss functions and the evaluation of early warning systems: Comment In: Economics Letters.
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article2
2011Quasi real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity In: European Journal of Political Economy.
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article124
2010Improved penalization for determining the number of factors in approximate factor models In: Statistics & Probability Letters.
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article88
2013The common component of firm growth In: Structural Change and Economic Dynamics.
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article3
2008The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households In: Papers on Economics and Evolution.
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paper0
2008The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households.(2008) In: LEM Papers Series.
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This paper has another version. Agregated cites: 0
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2015Comparing different early warning systems: Results from a horse race competition among members of the Macro-prudential Research Network In: MPRA Paper.
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paper8
2010On the distributional properties of household consumption expenditures: the case of Italy In: Empirical Economics.
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article5
2007On the distributional properties of household consumption expenditures. The case of Italy..(2007) In: LEM Papers Series.
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This paper has another version. Agregated cites: 5
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2014Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options In: ESRB Occasional Paper Series.
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paper24
2006Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction In: LEM Papers Series.
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paper3
2006Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series In: LEM Papers Series.
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paper8
2006A Dynamic Factor Analysis of Business Cycle on Firm-Level Data In: LEM Papers Series.
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paper3
2007On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters In: LEM Papers Series.
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paper0
2014Rejoinder In: Journal of Business & Economic Statistics.
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