Lucia Alessi : Citation Profile


Are you Lucia Alessi?

European Commission

10

H index

10

i10 index

469

Citations

RESEARCH PRODUCTION:

11

Articles

21

Papers

RESEARCH ACTIVITY:

   10 years (2006 - 2016). See details.
   Cites by year: 46
   Journals where Lucia Alessi has often published
   Relations with other researchers
   Recent citing documents: 75.    Total self citations: 13 (2.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pal837
   Updated: 2018-04-14    RAS profile: 2017-07-10    
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Relations with other researchers


Works with:

Peach, Richard (3)

onorante, luca (3)

Potter, Simon (3)

Bonfim, Diana (2)

Detken, Carsten (2)

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

Is cited by:

Peltonen, Tuomas (17)

Sarlin, Peter (15)

Nadal De Simone, Francisco (13)

Hallin, Marc (13)

Lippi, Marco (13)

Forni, Mario (12)

Rodríguez Caballero, Carlos (12)

Barigozzi, Matteo (12)

Kabundi, Alain (9)

BORIO, Claudio (9)

Vašíček, Bořek (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
Structural Change and Economic Dynamics2
Journal of Business & Economic Statistics2

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 (2018 and 2017)


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

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

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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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2017European Macroprudential Database. (2017). Boh, Samo ; Schepens, Thomas ; Pirovano, Mara ; Kusmierczyk, Piotr ; Veiga, Joao ; Koban, Anne ; Chiriacescu, Bogdan ; Coman, Andra ; Borgioli, Stefano . In: IFC Bulletins chapters. RePEc:bis:bisifc:46-04.

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2017Household debt: recent developments and challenges. (2017). Zabai, Anna . In: BIS Quarterly Review. RePEc:bis:bisqtr:1712f.

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2018Early warning indicators of banking crises: expanding the family. (2018). Aldasoro, Iñaki ; Drehmann, Mathias ; Borio, Claudio. In: BIS Quarterly Review. RePEc:bis:bisqtr:1803e.

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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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2017Accounting for debt service : The painful legacy of credit booms. (2017). Korinek, Anton ; Juselius, John ; Drehmann, Mathias. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_012.

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2017Formation of inflation expectations in turbulent times : Can ECB manage inflation expectations of professional forecasters?. (2017). Paloviita, Maritta ; Łyziak, Tomasz. 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). Paloviita, Maritta ; Kilponen, Juha ; Jalasjoki, Pirkka ; Haavio, Markus . In: Research Discussion Papers. RePEc:bof:bofrdp:2017_029.

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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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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). Jacobs, Jan ; Boonman, Tjeerd ; Romero, Alberto ; Kuper, Gerard H. In: CIRANO Working Papers. RePEc:cir:cirwor:2017s-18.

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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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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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2017A new database for financial crises in European countries. (2017). Peltonen, Tuomas ; Klaus, Benjamin ; 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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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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2018RiskRank: Measuring interconnected risk. (2018). Mezei, Jozsef ; Sarlin, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:41-50.

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2018Efficiency improvements for minimum distance estimation of causal and invertible ARMA models. (2018). Velasco, Carlos ; Lobato, Ignacio N. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:150-152.

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

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

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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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2017Foreign booms, domestic busts: The global dimension of banking crises. (2017). Cesa-Bianchi, Ambrogio ; Thwaites, Gregory ; Martin, Fernando Eguren. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:86166.

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2017Non-Stationary Dynamic Factor Models for Large Datasets. (2017). Luciani, Matteo ; Lippi, Marco ; Barigozzi, Matteo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-24.

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2017Size Effects of Fiscal Policy and Business Confidence in the Euro Area. (2017). Koursaros, Demetris ; Savva, Christos S ; Michail, Nektarios A. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:5:y:2017:i:4:p:26-:d:118051.

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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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2017A Generalized Factor Model with Local Factors. (2017). Freyaldenhoven, Simon. In: 2017 Papers. RePEc:jmp:jm2017:pfr361.

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2017Hitelciklusok és anticiklikus tőkepuffer egy ágensalapú keynesi modellben. (2017). Hosszu, Zsuzsanna ; Mer, Bence . In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1694.

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

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2017Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors. (2017). Telg, Sean ; Issler, João ; Hecq, Alain. In: MPRA Paper. RePEc:pra:mprapa:80767.

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2017Residual-based diagnostic tests for noninvertible ARMA models. (2017). Nyholm, Juho. In: MPRA Paper. RePEc:pra:mprapa:81033.

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2017Dealing with Misspecification in DSGE Models: A Survey. (2017). Paccagnini, Alessia. In: MPRA Paper. RePEc:pra:mprapa:82914.

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2017Analysing the Relevance of the MIP Scoreboards Indicators. (2017). Širaňová, Mária ; Tom, Domonkos ; Mria, Iraov ; Ivana, Ikulov ; Filip, Ostriho . In: National Institute Economic Review. RePEc:sae:niesru:v:239:y:2017:i:1:p:r32-r52.

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2017A Generalized Dynamic Factor Model for the U.S. Port Sector. (2017). Angelopoulos, Jason ; Chlomoudis, Costas I. In: SPOUDAI Journal of Economics and Business. RePEc:spd:journl:v:67:y:2016:i:1:p:22-37.

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2017Does monetary policy generate asset price bubbles ?. (2017). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/2geqol5jud8hgonsak4roj21gh.

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2017Determining the number of factors after stationary univariate transformations. (2017). Ruiz, Esther ; Corona, Francisco ; Poncela, Pilar . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1158-5.

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2017On the determination of the number of factors using information criteria with data-driven penalty. (2017). Mishra, Sagarika ; Westerlund, Joakim . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:1:d:10.1007_s00362-015-0692-0.

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2017Coherent financial cycles for G-7 countries: Why extending credit can be an asset. (2017). Schüler, Yves ; Peltonen, Tuomas ; Hiebert, Paul P ; Schuler, Yves S. In: ESRB Working Paper Series. RePEc:srk:srkwps:201743.

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2017Use of unit root methods in early warning of financial crises. (2017). Virtanen, Timo ; Taipalus, Katja ; Viren, Matti ; Tolo, Eero . In: ESRB Working Paper Series. RePEc:srk:srkwps:201745.

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2017Financial Cycles in Credit, Housing and Capital Markets: Evidence from Systemic Economies. (2017). Adarov, Amat. In: wiiw Working Papers. RePEc:wii:wpaper:140.

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2017What Has Publishing Inflation Forecasts Accomplished? Central Banks And Their Competitors. (2017). Siklos, Pierre. In: LCERPA Working Papers. RePEc:wlu:lcerpa:0098.

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2017Government Purchases Reloaded : Informational Insufficiency and Heterogeneity in Fiscal VARs. (2017). Ricco, Giovanni ; Ellahie, Atif. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1138.

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2017The effects of US monetary policy shocks: Applying external instrument identification to a dynamic factor model. (2017). Kerssenfischer, Mark. In: Discussion Papers. RePEc:zbw:bubdps:082017.

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2017M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements. (2017). Tente, Natalia ; Slopek, Ulf ; von Westernhagen, Natalja . In: Discussion Papers. RePEc:zbw:bubdps:152017.

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2017A financially stressed euro area. (2017). Schleer, Frauke ; Kappler, Marcus . In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:20176.

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2017Model uncertainty in macroeconomics: On the implications of financial frictions. (2017). Wieland, Volker ; Quintana, Jorge ; Lieberknecht, Philipp ; Binder, Michael. In: IMFS Working Paper Series. RePEc:zbw:imfswp:114.

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2017The appropriateness of the macroeconomic imbalance procedure for Central and Eastern European countries. (2017). Knedlik, Tobias ; Kampfe, Martina. In: IWH Discussion Papers. RePEc:zbw:iwhdps:162017.

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Works by Lucia Alessi:


YearTitleTypeCited
2011Non‐Fundamentalness in Structural Econometric Models: A Review In: International Statistical Review.
[Citation analysis]
article24
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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paper16
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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paper11
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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paper71
2009The distribution of households consumption-expenditure budget shares In: Working Paper Series.
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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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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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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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2016The response of asset prices to monetary policy shocks: stronger than thought In: Working Paper Series.
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2014On policymakers’ loss functions and the evaluation of early warning systems: Comment In: Economics Letters.
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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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2010Improved penalization for determining the number of factors in approximate factor models In: Statistics & Probability Letters.
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article94
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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2008The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households.(2008) In: LEM Papers Series.
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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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2010On the distributional properties of household consumption expenditures: the case of Italy In: Empirical Economics.
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2007On the distributional properties of household consumption expenditures. The case of Italy..(2007) In: LEM Papers Series.
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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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2006Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction In: LEM Papers Series.
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2006Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series In: LEM Papers Series.
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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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