8
H index
8
i10 index
187
Citations
Davide Delle Monache : Citation Profile
Banca d'Italia | RESEARCH PRODUCTION: 9 Articles 27 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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18 years (2006 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Davide Delle Monache. | Is cited by:
| Cites to:
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Main data
Where Davide Delle Monache has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Business & Economic Statistics | 2 |
Recent works citing Davide Delle Monache (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | When Inflation Again Matters: Do Domestic and Global Output Gaps Determine Inflation in the EU?. (2023). Sinicakova, Marianna ; Sulikova, Veronika ; Budova, Jana. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:25:y:2023:i:63:p:575. Full description at Econpapers || Download paper |
| 2024 | Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601. Full description at Econpapers || Download paper |
| 2023 | Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan. In: Papers. RePEc:arx:papers:2301.13604. Full description at Econpapers || Download paper |
| 2024 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper |
| 2024 | Some considerations on the Phillips curve after the pandemic. (2024). Viviano, Eliana ; lo Bello, Salvatore. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_842_24. Full description at Econpapers || Download paper |
| 2023 | Risky news and credit market sentiment. (2023). Thorsrud, Leif Anders ; Labonne, Paul. In: Working Papers. RePEc:bny:wpaper:0125. Full description at Econpapers || Download paper |
| 2023 | Labour at risk. (2023). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: Working Paper Series. RePEc:ecb:ecbwps:20232840. Full description at Econpapers || Download paper |
| 2023 | Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834. Full description at Econpapers || Download paper |
| 2023 | Fast estimation of a large TVP-VAR model with score-driven volatilities. (2023). Hong, Yongmiao ; Ye, Shiqi ; Zheng, Tingguo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s0165188923001689. Full description at Econpapers || Download paper |
| 2023 | Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models. (2023). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002719. Full description at Econpapers || Download paper |
| 2024 | Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails. (2024). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003500. Full description at Econpapers || Download paper |
| 2024 | Retire: Robust expectile regression in high dimensions. (2024). Zhou, Wen-Xin ; Wang, Zian ; Tan, Kean Ming ; Man, Rebeka. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001537. Full description at Econpapers || Download paper |
| 2023 | Mixed-frequency Growth-at-Risk with the MIDAS-QR method: Evidence from China. (2023). Jiang, Cuixia ; Xu, Mengnan ; Fu, Weizhong. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:4:s0939362523000651. Full description at Econpapers || Download paper |
| 2023 | Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment. (2023). Fan, Caiyun ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300368x. Full description at Econpapers || Download paper |
| 2023 | Macroeconomic downside risk and the effect of monetary policy. (2023). Wu, Jian ; Deng, Chuang. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001769. Full description at Econpapers || Download paper |
| 2023 | A Bayesian estimation approach of random switching exponential smoothing with application to credit forecast. (2023). Qian, Zhiyong ; Wang, Tong ; Hu, Shulan. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008978. Full description at Econpapers || Download paper |
| 2023 | Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735. Full description at Econpapers || Download paper |
| 2024 | A time-varying skewness model for Growth-at-Risk. (2024). Iseringhausen, Martin. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:229-246. Full description at Econpapers || Download paper |
| 2024 | Inflation at risk in advanced and emerging market economies. (2024). Mehrotra, Aaron ; Zampolli, Fabrizio ; Contreras, Juan ; Banerjee, Ryan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000123. Full description at Econpapers || Download paper |
| 2024 | Dynamic connectedness of inflation around the world: A time-varying approach from G7 and E7 countries. (2024). Xiao, Xiyue ; Hong, Yun ; Qu, BO ; Jiang, Yanhui. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:111-125. Full description at Econpapers || Download paper |
| 2023 | Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160. Full description at Econpapers || Download paper |
| 2023 | Impact of Financial Factors on the Economic Cycle Dynamics in Selected European Countries. (2023). Grecu, Robert-Adrian ; Dumitrescu, Bogdan Andrei. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:12:p:492-:d:1284846. Full description at Econpapers || Download paper |
| 2024 | Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk. (2024). Manuel, Ed ; Lloyd, Simon ; Panchev, Konstantin. In: IMF Economic Review. RePEc:pal:imfecr:v:72:y:2024:i:1:d:10.1057_s41308-023-00199-7. Full description at Econpapers || Download paper |
| 2023 | Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051. Full description at Econpapers || Download paper |
| 2023 | TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES. (2023). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd E. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:3:p:979-1022. Full description at Econpapers || Download paper |
| 2024 | On the real?time predictive content of financial condition indices for growth. (2023). McCracken, Michael ; Amburgey, Aaron J. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:2:p:137-163. Full description at Econpapers || Download paper |
| 2024 | Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions. (2024). Huber, Florian ; Pruser, Jan. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:2:p:269-291. Full description at Econpapers || Download paper |
| 2024 | The macroeconomy as a random forest. (2024). Coulombe, Philippe Goulet. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:3:p:401-421. Full description at Econpapers || Download paper |
| 2023 | Forecasting inflation in open economies: What can a NOEM model do?. (2023). Martinezgarcia, Enrique ; Duncan, Roberto. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:3:p:481-513. Full description at Econpapers || Download paper |
Works by Davide Delle Monache:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach.(2015) In: Studies in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Does the ARFIMA really shift? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Adaptive models and heavy tails with an application to inflation forecasting In: BCAM Working Papers. [Full Text][Citation analysis] | paper | 25 |
| 2017 | Adaptive models and heavy tails with an application to inflation forecasting.(2017) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
| 2016 | Adaptive models and heavy tails with an application to inflation forecasting.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
| 2016 | Adaptive Models and Heavy Tails with an Application to Inflation Forecasting.(2016) In: EMF Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
| 2014 | Adaptive Models and Heavy Tails In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 12 |
| 2016 | Adaptive models and heavy tails.(2016) In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2016 | Adaptive models and heavy tails.(2016) In: Bank of England working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2014 | Adaptive Models and Heavy Tails.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2015 | Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 10 |
| 2016 | Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation.(2016) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | chapter | |
| 2017 | Real and financial cycles: estimates using unobserved component models for the Italian economy In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 11 |
| 2019 | Real and financial cycles: estimates using unobserved component models for the Italian economy.(2019) In: Statistical Methods & Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2018 | Financial markets effects of ECB unconventional monetary policy announcements In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 8 |
| 2023 | Energy price shocks and inflation in the euro area In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 4 |
| 2019 | Domestic and global determinants of inflation: evidence from expectile regression In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 8 |
| 2021 | Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*.(2021) In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2020 | The time-varying risk of Italian GDP In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 8 |
| 2021 | The time-varying risk of Italian GDP.(2021) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2020 | Price dividend ratio and long-run stock returns: a score driven state space model In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 2 |
| 2019 | Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model.(2019) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | Price dividend ratio and long-run stock returns: a score driven state space model.(2020) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model.(2021) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2019 | Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model.(2019) In: EMF Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | Modeling and forecasting macroeconomic downside risk In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 38 |
| 2020 | Modeling and Forecasting Macroeconomic Downside Risk.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
| 2024 | Modeling and Forecasting Macroeconomic Downside Risk.(2024) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | article | |
| 2020 | Modelling and Forecasting Macroeconomic Downside Risk.(2020) In: EMF Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
| 2016 | Adaptive state space models with applications to the business cycle and financial stress In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
| 2017 | Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity In: Working Paper Series. [Full Text][Citation analysis] | paper | 20 |
| 2009 | Computing the mean square error of unobserved components extracted by misspecified time series models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 8 |
| 2019 | Efficient matrix approach for classical inference in state space models In: Economics Letters. [Full Text][Citation analysis] | article | 8 |
| 2019 | Efficient Matrix Approach for Classical Inference in State Space Models.(2019) In: EMF Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2014 | Adaptive Models and Heavy Tails In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2006 | A structural time series approach to modelling multiple and resurgent meat scares in Italy In: Applied Economics. [Full Text][Citation analysis] | article | 10 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team