Lucia Alessi : Citation Profile


Are you Lucia Alessi?

European Commission

11

H index

14

i10 index

896

Citations

RESEARCH PRODUCTION:

17

Articles

30

Papers

RESEARCH ACTIVITY:

   15 years (2006 - 2021). See details.
   Cites by year: 59
   Journals where Lucia Alessi has often published
   Relations with other researchers
   Recent citing documents: 173.    Total self citations: 17 (1.86 %)

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   Permalink: http://citec.repec.org/pal837
   Updated: 2022-05-21    RAS profile: 2022-01-21    
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Relations with other researchers


Works with:

Ossola, Elisa (4)

Manca, Anna Rita (2)

Benczur, Peter (2)

Kerssenfischer, Mark (2)

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

Is cited by:

Rodríguez Caballero, Carlos (39)

Barigozzi, Matteo (23)

Hallin, Marc (22)

Lippi, Marco (19)

BORIO, Claudio (17)

Forni, Mario (16)

Peltonen, Tuomas (16)

Nadal De Simone, Francisco (15)

Sarlin, Peter (15)

von Schweinitz, Gregor (14)

Drehmann, Mathias (14)

Cites to:

Reichlin, Lucrezia (66)

Giannone, Domenico (42)

Lippi, Marco (33)

Forni, Mario (32)

Reinhart, Carmen (25)

Hallin, Marc (20)

Kaminsky, Graciela (20)

Ng, Serena (15)

Watson, Mark (15)

Bai, Jushan (14)

Detken, Carsten (14)

Main data


Where Lucia Alessi has published?


Journals with more than one article published# docs
Journal of Financial Stability2
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 / Joint Research Centre, European Commission7
Working Papers ECARES / ULB -- Universite Libre de Bruxelles2

Recent works citing Lucia Alessi (2021 and 2020)


YearTitle of citing document
2020Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19.

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2021Expecting the unexpected: economic growth under stress. (2021). Ortega, Esther Ruiz ; Rodriguez-Caballero, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: CREATES Research Papers. RePEc:aah:create:2021-06.

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2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2020Understanding the Great Recession Using Machine Learning Algorithms. (2020). Ormerod, Paul ; Nyman, Rickard . In: Papers. RePEc:arx:papers:2001.02115.

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2020Inference in Unbalanced Panel Data Models with Interactive Fixed Effects. (2020). Stammann, Amrei ; Czarnowske, Daniel. In: Papers. RePEc:arx:papers:2004.03414.

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2020Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2012.01888.

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2021Can Machine Learning Catch the COVID-19 Recession?. (2021). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2103.01201.

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2021A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters. (2021). Kneip, Alois ; Bada, Oualid ; Sickles, Robin C ; Gualtieri, James ; Mensinger, Tim ; Liebl, Dominik. In: Papers. RePEc:arx:papers:2109.10950.

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2021Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2021Forecasting pandemic tax revenues in a small, open economy. (2021). Telarico, Fabio Ashtar. In: Papers. RePEc:arx:papers:2112.15431.

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2022Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310.

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2022Confidence Intervals of Treatment Effects in Panel Data Models with Interactive Fixed Effects. (2022). Li, Xingyu ; Zhou, Qiankun ; Shen, Yan. In: Papers. RePEc:arx:papers:2202.12078.

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2020Does the Credit-to-GDP Gap Predict Financial Crisis in Nigeria?. (2020). Ihejirika, Peters O. In: International Journal of Social and Administrative Sciences. RePEc:asi:ijosaa:2020:p:109-126.

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2021CREWS: a CAMELS-based early warning system of systemic risk in the banking sector. (2021). Galan, Jorge E. In: Occasional Papers. RePEc:bde:opaper:2132.

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2020Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps. (2020). Galardo, Maddalena ; Bologna, Pierluigi ; Alessandri, Piergiorgio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_567_20.

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2021Everything you always wanted to know about green bonds (but were afraid to ask). (2021). Marinelli, Giuseppe ; Liberati, Danilo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_654_21.

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2022Calibrating the countercyclical capital buffer for Italy. (2022). Galardo, Maddalena ; Bologna, Pierluigi. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_679_22.

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2021A liquidity risk early warning indicator for Italian banks: a machine learning approach. (2021). Nobili, Stefano ; Drudi, Maria Ludovica. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1337_21.

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2020Which credit gap is better at predicting financial crises? A comparison of univariate filters. (2020). Yetman, James ; Drehmann, Mathias. In: BIS Working Papers. RePEc:bis:biswps:878.

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2020Forecasting expected and unexpected losses. (2020). Tarashev, Nikola ; Juselius, John. In: BIS Working Papers. RePEc:bis:biswps:913.

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2020FISS – A Factor-based Index of Systemic Stress in the Financial System. (2020). Varga, Katalin ; Szendrei, Tibor . In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:1:p:3-34.

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2020Financial Shocks and Credit Cycles. (2020). Pestova, Anna ; Akhmetov, Renat ; Pankova, Vera ; Mamonov, Mikhail. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:4:p:45-74.

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2020Incorporating financial development indicators into early warning systems. (2020). Ponomarenko, Alexey ; Tatarintsev, Stas. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps58.

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2020UK regional nowcasting using a mixed frequency vector auto?regressive model with entropic tilting. (2020). Mitchell, James ; McIntyre, Stuart ; Koop, Gary. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:1:p:91-119.

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2021Nowcasting monthly GDP with big data: A model averaging approach. (2021). Proietti, Tommaso ; Giovannelli, Alessandro. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:2:p:683-706.

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2021Social capital, social economy and economic resilience of Italian provinces. (2021). Terzo, Giuseppe. In: Papers in Regional Science. RePEc:bla:presci:v:100:y:2021:i:5:p:1113-1135.

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2021The Bias and Efficiency of the ECB Inflation Projections: a State Dependent Analysis. (2021). Jalasjoki, Pirkka ; Granziera, Eleonora ; Paloviita, Maritta. In: Working Paper. RePEc:bno:worpap:2021_1.

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2020The Impact of Monetary Policy on Leading Variables for Financial Stability in Norway. (2020). Wieslander, Harald ; Olsen, Helene. In: Working Papers. RePEc:bny:wpaper:0085.

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2020Credit growth, the yield curve and financial crisis prediction: evidence from a machine learning approach. (2020). Kapadia, Sujit ; Bluwstein, Kristina ; Kang, Miao ; Joseph, Andreas ; Buckmann, Marcus ; Simsek, Ozgur. In: Bank of England working papers. RePEc:boe:boeewp:0848.

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2021A tail of three occasionally-binding constraints: a modelling approach to GDP-at-Risk. (2021). Karmakar, Sudipto ; Bluwstein, Kristina ; Aikman, David. In: Bank of England working papers. RePEc:boe:boeewp:0931.

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2021Comparing minds and machines: implications for financial stability. (2021). Haldane, Andy ; Buckmann, Marcus ; Huser, Anne-Caroline. In: Bank of England working papers. RePEc:boe:boeewp:0937.

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2020Forecasting expected and unexpected losses. (2020). Tarashev, Nikola ; Juselius, Mikael. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_018.

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2021The bias and efficiency of the ECB inflation projections: a State dependent analysis. (2021). Paloviita, Maritta ; Jalasjoki, Pirkka ; Granziera, Eleonora. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_007.

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2021Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco M ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1160.

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2020Behavioural Finance at Home: Testing Deviations of House Prices from their Fundamental Values. (2020). Lake, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20104.

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2021Estimating Shadow Policy Rates in a Small Open Economy and the Role of Foreign Factors. (2021). Kirchner, Markus ; Fornero, Jorge ; Molina, Carlos. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:915.

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2021Can Machine Learning Catch the COVID-19 Recession?. (2021). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2021s-09.

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2021Holding the Economy by the Tail: Analysis of Short- and Long-run Macroeconomic Risks. (2021). Franta, Michal ; Libich, Jan. In: Working Papers. RePEc:cnb:wpaper:2021/3.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2021Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates during the Effective Lower Bound. (2021). Labondance, Fabien ; Blot, Christophe. In: Working Papers. RePEc:crb:wpaper:2021-03.

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2021Expecting the unexpected: economic growth under stress. (2021). Gonzalezrivera, Gloria ; Rodriguez, Carlos Vladimir ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32148.

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2021Dynamic factor models: does the specification matter?. (2021). Miranda, Karen Alejandra ; Poncela, Pilar ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32210.

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2020Heteroskedastic Proxy Vector Autoregressions. (2020). Schlaak, Thore ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1876.

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2021Asset encumbrance in euro area banks: analysing trends, drivers and prediction properties for individual bank crises. (2021). Cesati, Enrico ; Berthonnaud, Pierre ; Vroege, Robert ; Siakoulis, Vasileios ; Schwarz, Claudia ; Schneider, Ludwig ; Lanciani, Marcello ; Kick, Heinrich ; Jager, Kirsten ; Drudi, Maria Ludovica. In: Occasional Paper Series. RePEc:ecb:ecbops:2021261.

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2021Climate change and monetary policy in the euro area. (2021). Röhe, Oke ; Popov, Alexander ; Petroulakis, Filippos ; Papadopoulou, Niki ; Parker, Miles ; Mistretta, Alessandro ; Lozej, Matija ; Grüning, Patrick ; Giovannini, Alessandro ; Garcia Sanchez, Pablo ; DARRACQ PARIES, Matthieu ; Breitenfellner, Andreas ; Bun, Maurice ; Manzanares, Andres ; Diez-Caballero, Arturo ; Prammer, Doris ; Cruz, Lia Vaz ; Weber, Pierre-Franois ; Gruning, Patrick ; Stracca, Livio ; Farkas, Matyas ; Roos, Madelaine ; Aubrechtova, Jana ; Kapp, Daniel ; Osiewicz, Malgorzata ; Holthausen, Cornelia ; Bua, Giovanna ; Manninen, Otso ; di Nino, Virginia ; van den End, Jan Willem ; Moench, Emanuel ; Sotomayor, Beatriz ; Faiella, Ivan ; Rohe, Oke ; Dinino, Virginia ; Isgro, Lorenzo ; Nerlich, Carolin ; Drudi, Francesco ; Garcia-Sanche
2021To be or not to be “green”: how can monetary policy react to climate change?. (2021). Mongelli, Francesco Paolo ; Paolomongelli, Francesco ; Ferrucci, Gianluigi ; Boneva, Lena. In: Occasional Paper Series. RePEc:ecb:ecbops:2021285.

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2020Random forest versus logit models: which offers better early warning of fiscal stress?. (2020). Jarmulska, Barbara. In: Working Paper Series. RePEc:ecb:ecbwps:20202408.

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2020Nowcasting business cycle turning points with stock networks and machine learning. (2020). Hirschbühl, Dominik ; Azqueta-Gavaldon, Andres ; Saiz, Lorena ; Onorante, Luca ; Hirschbuhl, Dominik. In: Working Paper Series. RePEc:ecb:ecbwps:20202494.

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2021A risk management perspective on macroprudential policy. (2021). Kremer, Manfred ; Fahr, Stephan ; Chavleishvili, Sulkhan ; Schwaab, Bernd ; Manganelli, Simone. In: Working Paper Series. RePEc:ecb:ecbwps:20212556.

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2021Credit growth, the yield curve and financial crisis prediction: evidence from a machine learning approach. (2021). Bluwstein, Kristina ; Imek, Ozgur ; Kapadia, Sujit ; Joseph, Andreas ; Buckmann, Marcus. In: Working Paper Series. RePEc:ecb:ecbwps:20212614.

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2021Forecasting tourism recovery amid COVID-19. (2021). Liu, Chang ; Wen, Long ; Song, Haiyan ; Zhang, Hanyuan. In: Annals of Tourism Research. RePEc:eee:anture:v:87:y:2021:i:c:s0160738321000116.

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2022Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach. (2022). Wichitaksorn, Nuttanan. In: Journal of Asian Economics. RePEc:eee:asieco:v:78:y:2022:i:c:s1049007821001494.

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2021Stock price effects of climate activism: Evidence from the first Global Climate Strike. (2021). Rancan, Michela ; Ossola, Elisa ; Ramelli, Stefano. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001395.

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2020Exploiting ergodicity in forecasts of corporate profitability. (2020). Milaković, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302155.

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2020Implications of quantal response statistical equilibrium. (2020). Scharfenaker, Ellis. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301585.

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2021Qualitative versus quantitative external information for proxy vector autoregressive analysis. (2021). Lütkepohl, Helmut ; Boer, Lukas ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000531.

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2021Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco ; Angelini, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921002001.

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2022Do green bonds de-risk investment in low-carbon stocks?. (2022). Reboredo, Juan ; Ojea-Ferreiro, Javier ; Ugolini, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999322000116.

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2021Mortgage credit volumes and monetary policy after the Great Recession. (2021). Leu, Shawn ; Robertson, Mari L. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:483-500.

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2020Current account and credit growth: The role of household credit and financial depth. (2020). Omay, Tolga ; Ekinci, Mehmet. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301418.

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2020The Threat of Rent Extraction in a Resource-constrained Future. (2020). Stratford, Beth. In: Ecological Economics. RePEc:eee:ecolec:v:169:y:2020:i:c:s0921800919304203.

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2020Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement. (2020). de Angelis, Luca ; Monasterolo, Irene. In: Ecological Economics. RePEc:eee:ecolec:v:170:y:2020:i:c:s0921800919309607.

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2021Nonlinear factor models for network and panel data. (2021). Fernandez-Val, Ivan ; Weidner, Martin ; Chen, Mingli. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:296-324.

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2021Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors. (2021). Lippi, Marco ; Barigozzi, Matteo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:455-482.

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2021Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:429-450.

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2022A wavelet method for panel models with jump discontinuities in the parameters. (2022). Sickles, R C ; Gualtieri, J ; Mensinger, T ; Liebl, D ; Kneip, A ; Bada, O. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:2:p:399-422.

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2020The market rank indicator to detect financial distress. (2020). Uberti, Pierpaolo ; Maggi, Mario ; Figini, Silvia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:63-73.

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2020Fiscal policy shocks and stock prices in the United States. (2020). Theodoridis, Konstantinos ; Mumtaz, Haroon. In: European Economic Review. RePEc:eee:eecrev:v:129:y:2020:i:c:s0014292120301926.

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2020Bank-specific shocks and aggregate leverage: Empirical evidence from a panel of developed countries. (2020). Fazio, Giorgio ; Casalin, Fabrizio ; Sleibi, Yacoub. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300218.

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2020Predicting systemic financial crises with recurrent neural networks. (2020). Tolo, Eero. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300243.

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2020Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis. (2020). de Simone, Francisco Nadal ; Jin, Xisong. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300486.

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2021Climate sentiments, transition risk, and financial stability in a stock-flow consistent model. (2021). Naqvi, Syed Ali Asjad ; Monasterolo, Irene ; Dunz, Nepomuk. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000322.

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2020What is the investment loss due to uncertainty?. (2020). Panagiotidis, Theodore ; Printzis, Panagiotis. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318302023.

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2021Identifying indicators of systemic risk. (2021). Schüler, Yves ; Meinerding, Christoph ; Schuler, Yves S ; Hartwig, Benny. In: Journal of International Economics. RePEc:eee:inecon:v:132:y:2021:i:c:s0022199621000921.

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2020Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term. (2020). Oliveira, Fernando ; Gaglianone, Wagner ; de Oliveira, Fernando Nascimento. In: International Economics. RePEc:eee:inteco:v:163:y:2020:i:c:p:72-91.

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2020Macroeconomic forecasting using approximate factor models with outliers. (2020). Yen, Yu-Min ; Chou, Ray Yeutien. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:267-291.

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2021Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach. (2021). Tinti, Cristina ; Tegami, Christian ; Citton, Ambra ; Ricchi, Ottavio ; Giovannelli, Alessandro ; Proietti, Tommaso. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1376-1398.

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2021Factor extraction using Kalman filter and smoothing: This is not just another survey. (2021). Ruiz, Esther ; Miranda, Karen ; Poncela, Pilar. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1399-1425.

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2020Home, safe home: Cross-country monitoring framework for vulnerabilities in the residential real estate sector. (2020). Lepers, Etienne ; Grothe, Magdalena ; Bengtsson, Elias. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302935.

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2021Financial crises: Uncovering self-organized patterns and predicting stock markets instability. (2021). Pammolli, F ; Pecora, N ; Flori, A ; Spelta, A. In: Journal of Business Research. RePEc:eee:jbrese:v:129:y:2021:i:c:p:736-756.

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2020An early warning system for predicting systemic banking crises in the Eurozone: A logit regression approach. (2020). Spyrou, Spyros ; Galariotis, Emilios ; Filippopoulou, Chryssanthi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:172:y:2020:i:c:p:344-363.

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2021Predicting bankruptcy of local government: A machine learning approach. (2021). Lagravinese, Raffaele ; Resce, Giuliano ; Antulov-Fantulin, Nino. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:183:y:2021:i:c:p:681-699.

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2020Financial cycles: Characterisation and real-time measurement. (2020). Peltonen, Tuomas A ; Hiebert, Paul P ; Schuler, Yves S. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:100:y:2020:i:c:s0261560619301597.

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2021The cost of banking crises: Does the policy framework matter?. (2021). Levieuge, Grégory ; Pradines-Jobet, Florian ; Lucotte, Yannick. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302461.

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2022Uncertainty shocks and systemic-risk indicators. (2022). Roth, Markus ; Hristov, Nikolay. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002242.

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2020Unconventional monetary policy in the Euro Area: Shadow rate and light effets. (2020). Lubochinsky, Catherine ; Boucher, Christophe ; Ouerk, Salima. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:65:y:2020:i:c:s0164070420301452.

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2020Forecasting recessions: the importance of the financial cycle. (2020). BORIO, Claudio ; Xia, Fan Dora ; Drehmann, Mathias. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:66:y:2020:i:c:s016407042030183x.

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2021.

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2020Cross-border spillovers of macroprudential policy in the Euro area. (2020). Figuet, Jean-Marc ; Carias, Marcos ; Badarau, Cristina. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:1-13.

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2020A new mechanism for anticipating price exuberance. (2020). Moreira, Afonso M ; Martins, Luis F. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:199-221.

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2020What drives U.S. financial sector volatility? A Bayesian model averaging perspective. (2020). Lyócsa, Štefan ; Lyocsa, Tefan ; Koalova, Zuzana ; Gernat, Peter. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919302697.

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2022Disentangling the sources of sovereign rating adjustments: An examination of changes in rating policies following the GFC. (2022). Muoz, Carlos Salvador ; Cuadros-Solas, Pedro Jesus. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001562.

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2022The mediating role of competition on deposit insurance and the risk-taking of banks in ASEAN countries. (2022). Sok-Gee, Chan ; Isa, Che Ruhana ; Pervin, Sajeda ; Hassan, Kabir M ; Hanifa, Abu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001720.

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2020A composite policy tool to measure territorial resilience capacity. (2020). Serpieri, Carolina ; Pontarollo, Nicola. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:70:y:2020:i:c:s0038012117303221.

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2020Sequential testing for structural stability in approximate factor models. (2020). Trapani, Lorenzo ; Barigozzi, Matteo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:8:p:5149-5187.

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2021Distribution dynamics of Chinas household consumption upgrading. (2021). Shi, Xunpeng ; Cheong, Tsun Se ; Se, Tsun ; Yu, Jian. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:58:y:2021:i:c:p:193-203.

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2020Macroeconomic and macro-financial factors as leading indicators of non-performing loans: Evidence from the EU countries. (2020). Uusküla, Lenno ; Staehr, Karsten ; Uuskula, Lenno. In: Journal of Economic Studies. RePEc:eme:jespps:jes-03-2019-0107.

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2021Economic Aspects of Population Aging. Modeling Senior Household Ependiture. (2021). Szczecinska, Beata ; Bak, Iwona. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:special3:p:50-67.

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2020The asymmetric effects of monetary policy on stock price bubbles. (2020). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:2012.

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2020Do Expert Experience and Characteristics Affect Inflation Forecasts?. (2020). Saadon, Yossi ; Benchimol, Jonathan ; El-Shagi, Makram. In: CFDS Discussion Paper Series. RePEc:fds:dpaper:202006.

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2020Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. (2020). Valls Pereira, Pedro ; Hallin, Marc ; Trucios, Carlos Cesar ; Hotta, Luiz Koodi. In: Textos para discussão. RePEc:fgv:eesptd:521.

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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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article33
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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2021Travelling down the green brick road: a status quo assessment of the EU taxonomy In: Macroprudential Bulletin.
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2009Global liquidity as an early warning indicator for asset price boom/bust cycles In: Research Bulletin.
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2008A robust criterion for determining the number of static factors in approximate factor models. In: Working Paper Series.
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2007A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models.(2007) In: LEM Papers Series.
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2008A review of nonfundamentalness and identification in structural VAR models In: Working Paper Series.
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2007A Review of Nonfundamentalness and Identification in Structural VAR Models.(2007) In: LEM Papers Series.
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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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2009The distribution of households consumption-expenditure budget shares In: Working Paper Series.
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paper4
2012The distribution of household consumption-expenditure budget shares.(2012) In: Structural Change and Economic Dynamics.
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2009Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors In: Working Paper Series.
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paper11
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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paper65
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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2014Identifying excessive credit growth and leverage In: Working Paper Series.
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paper89
2014Identifying Excessive Credit Growth and Leverage.(2014) In: Financial Stability Review.
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2018Identifying excessive credit growth and leverage.(2018) In: Journal of Financial Stability.
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2016The response of asset prices to monetary policy shocks: stronger than thought In: Working Paper Series.
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2019The response of asset prices to monetary policy shocks: Stronger than thought.(2019) In: Journal of Applied Econometrics.
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2014On policymakers’ loss functions and the evaluation of early warning systems: Comment In: Economics Letters.
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2021What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures In: Journal of Financial Stability.
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article4
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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article214
2010Improved penalization for determining the number of factors in approximate factor models In: Statistics & Probability Letters.
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article163
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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2018The resilience of EU Member States to the financial and economic crisis. What are the characteristics of resilient behaviour? In: JRC Working Papers.
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2017The European Deposit Insurance Scheme: Assessing risk absorption via SYMBOL In: Working Papers.
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paper2
2019Anatomy of a Sovereign Debt Crisis: CDS Spreads and Real-Time Macroeconomic Data In: Working Papers.
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paper0
2020The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices In: Working Papers.
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paper5
2020The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices.(2020) In: Working Papers.
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2019What drives bank coverage ratios: Evidence from the euro area In: Working Papers.
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2021Over with carbon? Investors reaction to the Paris Agreement and the US withdrawal In: Working Papers.
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2021When do investors go green? Evidence from a time-varying asset-pricing model In: Working Papers.
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2021Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios In: Working Papers.
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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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paper25
2010On the distributional properties of household consumption expenditures: the case of Italy In: Empirical Economics.
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article11
2007On the distributional properties of household consumption expenditures. The case of Italy..(2007) In: LEM Papers Series.
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2020The Resilience of EU Member States to the Financial and Economic Crisis In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement.
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article4
2014Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options In: ESRB Occasional Paper Series.
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paper69
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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2009ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS.(2009) In: Advances in Complex Systems (ACS).
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2014Rejoinder In: Journal of Business & Economic Statistics.
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