Davide Delle Monache : Citation Profile


Are you Davide Delle Monache?

Banca d'Italia

6

H index

1

i10 index

62

Citations

RESEARCH PRODUCTION:

5

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2006 - 2020). See details.
   Cites by year: 4
   Journals where Davide Delle Monache has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 4 (6.06 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde480
   Updated: 2020-09-22    RAS profile: 2020-08-22    
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Relations with other researchers


Works with:

Petrella, Ivan (14)

Venditti, Fabrizio (4)

Busetti, Fabio (3)

Grassi, Stefano (3)

Burlon, Lorenzo (2)

Silvestrini, Andrea (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Davide Delle Monache.

Is cited by:

Koopman, Siem Jan (7)

Blasques, Francisco (6)

Marcellino, Massimiliano (5)

Wintenberger, Olivier (4)

Réquillart, Vincent (3)

Venditti, Fabrizio (3)

Neri, Stefano (3)

Irz, Xavier (3)

Ruiz, Esther (3)

Siviero, Stefano (3)

Rosolia, Alfonso (2)

Cites to:

Koop, Gary (17)

Harvey, Andrew (15)

Koopman, Siem Jan (14)

Giannone, Domenico (14)

Korobilis, Dimitris (12)

Diebold, Francis (12)

Watson, Mark (11)

Lucas, Andre (9)

Sargent, Thomas (9)

Bollerslev, Tim (9)

Pesaran, M (8)

Main data


Where Davide Delle Monache has published?


Working Papers Series with more than one paper published# docs
EMF Research Papers / Economic Modelling and Forecasting Group4
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area3
Working Paper Series / European Central Bank2
Questioni di Economia e Finanza (Occasional Papers) / Bank of Italy, Economic Research and International Relations Area2

Recent works citing Davide Delle Monache (2020 and 2019)


YearTitle of citing document
2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe . In: Papers. RePEc:arx:papers:1803.04894.

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2019The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks. (2019). Neri, Stefano ; Siviero, Stefano. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_486_19.

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2019Monetary policy, firms’ inflation expectations and prices: causal evidence from firm-level data. (2019). Rosolia, Alfonso ; Bottone, Marco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1218_19.

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2019Inflation expectations anchoring: new insights from micro evidence of a survey at high-frequency and of distributions. (2019). Moessner, Richhild ; Galati, Gabriele ; Teppa, Federica ; Apokoritis, Nikos. In: BIS Working Papers. RePEc:bis:biswps:809.

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2019State-dependent Monetary Policy Regimes. (2019). Zakipour-Saber, Shayan. In: Research Technical Papers. RePEc:cbi:wpaper:4/rt/19.

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2020New Evidence on the Anchoring of Inflation Expectations in the Euro Area. (2020). Mohrle, Sascha. In: ifo Working Paper Series. RePEc:ces:ifowps:_337.

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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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2019Accelerating score-driven time series models. (2019). Koopman, S J ; Gorgi, P ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:359-376.

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2020The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions. (2020). Wildi, Marc ; McElroy, Tucker S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:112-130.

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2019Forecasting economic time series using score-driven dynamic models with mixed-data sampling. (2019). Li, Mengheng ; Koopman, Siem Jan ; Gorgi, Paolo. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1735-1747.

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2019Three dimensions of central bank credibility and inferential expectations: The Euro zone. (2019). Zizzo, Daniel ; Henckel, Timo ; Moffatt, Peter ; Menzies, Gordon D. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:60:y:2019:i:c:p:294-308.

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2019Business cycles, credit cycles, and asymmetric effects of credit fluctuations: Evidence from Italy for the period of 1861–2013. (2019). Piselli, Paolo ; Marzano, Elisabetta ; Chiarini, Bruno ; Bartoletto, Silvana . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:61:y:2019:i:c:16.

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2019Large time‐varying parameter VARs: A nonparametric approach. (2019). Venditti, Fabrizio ; Marcellino, Massimiliano ; Kapetanios, George. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:34:y:2019:i:7:p:1027-1049.

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2019Leverage and Deepening Business Cycle Skewness. (2019). Ravn, Søren Hove ; Petrella, Ivan ; Jensen, Henrik ; Santoro, Emiliano. In: EMF Research Papers. RePEc:wrk:wrkemf:21.

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2020Does monetary policy impact international market co-movements?. (2020). Pelizzon, Loriana ; Caporin, Massimiliano ; Plazzi, Alberto. In: SAFE Working Paper Series. RePEc:zbw:safewp:276.

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Works by Davide Delle Monache:


YearTitleTypeCited
2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach In: CREATES Research Papers.
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2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach.(2015) In: Studies in Economics.
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2017Does the ARFIMA really shift? In: CREATES Research Papers.
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paper0
2016Adaptive models and heavy tails with an application to inflation forecasting In: BCAM Working Papers.
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paper8
2017Adaptive models and heavy tails with an application to inflation forecasting.(2017) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 8
article
2016Adaptive models and heavy tails with an application to inflation forecasting.(2016) In: MPRA Paper.
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This paper has another version. Agregated cites: 8
paper
2016Adaptive Models and Heavy Tails with an Application to Inflation Forecasting.(2016) In: EMF Research Papers.
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This paper has another version. Agregated cites: 8
paper
2014Adaptive Models and Heavy Tails In: Birkbeck Working Papers in Economics and Finance.
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paper9
2016Adaptive models and heavy tails.(2016) In: Temi di discussione (Economic working papers).
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This paper has another version. Agregated cites: 9
paper
2016Adaptive models and heavy tails.(2016) In: Bank of England working papers.
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This paper has another version. Agregated cites: 9
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2014Adaptive Models and Heavy Tails.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 9
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2014Adaptive Models and Heavy Tails.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 9
paper
2015Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation In: Birkbeck Working Papers in Economics and Finance.
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paper8
2016Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation.(2016) In: Advances in Econometrics.
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This paper has another version. Agregated cites: 8
chapter
2017Real and financial cycles: estimates using unobserved component models for the Italian economy In: Questioni di Economia e Finanza (Occasional Papers).
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2019Real and financial cycles: estimates using unobserved component models for the Italian economy.(2019) In: Statistical Methods & Applications.
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This paper has another version. Agregated cites: 1
article
2018Financial markets effects of ECB unconventional monetary policy announcements In: Questioni di Economia e Finanza (Occasional Papers).
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paper4
2019Domestic and global determinants of inflation: evidence from expectile regression In: Temi di discussione (Economic working papers).
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2020The time-varying risk of Italian GDP In: Temi di discussione (Economic working papers).
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2016Adaptive state space models with applications to the business cycle and financial stress In: CEPR Discussion Papers.
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paper6
2019Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model In: CEPR Discussion Papers.
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2020Price dividend ratio and long-run stock returns: a score driven state space model.(2020) In: Working Paper Series.
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This paper has another version. Agregated cites: 0
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2019Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model.(2019) In: EMF Research Papers.
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2017Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity In: Working Paper Series.
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2009Computing the mean square error of unobserved components extracted by misspecified time series models In: Journal of Economic Dynamics and Control.
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article7
2019Efficient matrix approach for classical inference in state space models In: Economics Letters.
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article1
2019Efficient Matrix Approach for Classical Inference in State Space Models.(2019) In: EMF Research Papers.
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This paper has another version. Agregated cites: 1
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2006A structural time series approach to modelling multiple and resurgent meat scares in Italy In: Applied Economics.
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article8
2020Modelling and Forecasting Macroeconomic Downside Risk In: EMF Research Papers.
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