7
H index
5
i10 index
125
Citations
Banca d'Italia | 7 H index 5 i10 index 125 Citations RESEARCH PRODUCTION: 8 Articles 26 Papers 1 Chapters RESEARCH ACTIVITY:
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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: |
Year | Title of citing document |
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2021 | Expecting 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. Full description at Econpapers || Download paper |
2021 | Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09. Full description at Econpapers || Download paper |
2020 | Leverage and Deepening Business-Cycle Skewness. (2020). Ravn, Søren Hove ; Petrella, Ivan ; Santoro, Emiliano ; Jensen, Henrik. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:12:y:2020:i:1:p:245-81. Full description at Econpapers || Download paper |
2021 | Machine Learning Time Series Regressions With an Application to Nowcasting. (2021). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021004. Full description at Econpapers || Download paper |
2021 | Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601. Full description at Econpapers || Download paper |
2021 | Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Papers. RePEc:arx:papers:2105.11182. Full description at Econpapers || Download paper |
2022 | A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263. Full description at Econpapers || Download paper |
2021 | Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model. (2021). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd E. In: Papers. RePEc:arx:papers:2110.03411. Full description at Econpapers || Download paper |
2020 | Bounded rationality and expectations in economics. (2020). Zevi, Giordano ; Visco, Ignazio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_575_20. Full description at Econpapers || Download paper |
2022 | Financial Conditions and Macroeconomic Downside Risks in the Euro Area. (2022). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:863. Full description at Econpapers || Download paper |
2021 | The anchoring of long-term inflation expectations of consumers: insights from a new survey. (2021). van Rooij, Maarten ; Moessner, Richhild ; Galati, Gabriele. In: BIS Working Papers. RePEc:bis:biswps:936. Full description at Econpapers || Download paper |
2021 | Demand for animal?derived food in selected Asian countries: A system?wide analysis. (2021). Selvanathan, Saroja ; Rathnayaka, Shashika D. In: Agricultural Economics. RePEc:bla:agecon:v:52:y:2021:i:1:p:97-122. Full description at Econpapers || Download paper |
2021 | AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614. Full description at Econpapers || Download paper |
2020 | The Phillips Curve at the ECB. (2020). Osbat, Chiara ; Eser, Fabian ; Moretti, Laura ; Lane, Philip R ; Karadi, Peter. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:s1:p:50-85. Full description at Econpapers || Download paper |
2021 | Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter. (2021). Stockhammer, Engelbert ; Gusella, Filippo. In: Metroeconomica. RePEc:bla:metroe:v:72:y:2021:i:4:p:758-797. Full description at Econpapers || Download paper |
2022 | Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies. (2022). Koopman, Siem Jan ; Hindrayanto, Irma ; de Winter, Jasper. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:57-79. Full description at Econpapers || Download paper |
2021 | Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk. (2021). Lloyd, Simon ; Panchev, Konstantin ; Manuel, ED. In: Bank of England working papers. RePEc:boe:boeewp:0940. Full description at Econpapers || Download paper |
2021 | Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk. (2021). Manuel, Ed ; Lloyd, Simon ; Panchev, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2156. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2020 | New Evidence on the Anchoring of Inflation Expectations in the Euro Area. (2020). Mohrle, Sascha. In: ifo Working Paper Series. RePEc:ces:ifowps:_337. Full description at Econpapers || Download paper |
2021 | Holding 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. Full description at Econpapers || Download paper |
2020 | Forecasting 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. Full description at Econpapers || Download paper |
2021 | Expecting 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. Full description at Econpapers || Download paper |
2021 | Dynamic 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. Full description at Econpapers || Download paper |
2021 | The implications of globalisation for the ECB monetary policy strategy. (2021). Schmitz, Martin ; Lastauskas, Povilas ; Kataryniuk, Iván ; JOCHEM, Axel ; Gunnella, Vanessa ; Georgiadis, Georgios ; Fontagné, Lionel ; Feldkircher, Martin ; Everett, Mary ; Carvalho, Daniel ; Labhard, Vincent ; Bricongne, Jean-Charles ; Felettigh, Alberto ; Cova, Pietro ; Dimitropoulou, Dimitra ; Hemmerle, Yannick ; Siena, Daniele ; Osbat, Chiara ; Venditti, Fabrizio ; Kuhnlenz, Markus ; Baumann, Ursel ; Zumer, Tina ; Parraga, Susana ; de Luigi, Clara ; Serafini, Roberta ; Mattias, Nilsson ; Carluccio, Juan ; Korhonen, Iikka ; Wacket, Helmut ; Banerjee, Biswajit ; Eichler, Eric ; Giron, Celestino ; Meinen, Philipp ; de Bandt, Olivier ; del Giudice, Davide ; van Schaik, Ilona ; Mozzanica, Mirco Balatti ; Dorrucci, Ettore ; Coim |
2021 | Employment and the conduct of monetary policy in the euro area. (2021). Vanhala, Juuso ; Ristiniemi, Annukka ; Pidkuyko, Myroslav ; Mongelli, Francesco ; Mazelis, Falk ; Lozej, Matija ; Hertweck, Matthias ; Dossche, Maarten ; Coenen, Günter ; BOBEICA, Elena ; Angino, Siria ; Nakov, Anton ; Justo, Ana Seco ; Botelho, Vasco ; Sokol, Andrej ; Hammermann, Felix ; Goy, Gavin ; Warne, Anders ; Kanutin, Andrew ; Polemidiotis, Marios ; Ajevskis, Viktors ; Motto, Roberto ; le Roux, Julien ; Saint-Guilhem, Arthur ; Bodnar, Katalin ; Slacalek, Jirka ; Lydon, Reamonn ; Salvador, Ramon Gomez ; da Silva, Antonio Dias ; Jacquinot, Pascal ; Ploj, Gasper ; Sondermann, David ; Montero, Jose ; Lhuissier, Stephane ; Rodrigues, Manuel Bernado ; Piton, Celine ; Obstbaum, Meri ; Gomes, Sandra ; de Philippis, Marta ; Thaler, Do |
2022 | Robust energy-to-peak filter design for a class of unstable polytopic systems with a macroeconomic application. (2022). Takacs, Tibor ; Gyurkovics, Eva. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:420:y:2022:i:c:s0096300321008110. Full description at Econpapers || Download paper |
2020 | Can systemic risk measures predict economic shocks? Evidence from China. (2020). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: China Economic Review. RePEc:eee:chieco:v:64:y:2020:i:c:s1043951x20301541. Full description at Econpapers || Download paper |
2021 | Economic policy uncertainty and China’s growth-at-risk. (2021). Deng, Xiang ; Zhu, Zixiang ; Cheng, Xiang ; Gu, Xin. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:70:y:2021:i:c:p:452-467. Full description at Econpapers || Download paper |
2021 | Missing observations in observation-driven time series models. (2021). Blasques, Francisco ; Koopman, S J ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:542-568. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2021 | Forecasting macroeconomic risks. (2021). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias ; Adams, Patrick A. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1173-1191. Full description at Econpapers || Download paper |
2021 | Factor 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. Full description at Econpapers || Download paper |
2022 | Dispelling the shadow of fiscal dominance? Fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic. (2022). Heinemann, Friedrich ; Nover, Justus ; Helbig, Samuel ; Havlik, Annika. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002291. Full description at Econpapers || Download paper |
2021 | Tail Forecasting with Multivariate Bayesian Additive Regression Trees. (2021). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Huber, Florian ; Clark, Todd ; Koop, Gary. In: Working Papers. RePEc:fip:fedcwq:90366. Full description at Econpapers || Download paper |
2020 | Inflation at Risk. (2020). Lopez-Salido, David ; Loria, Francesca. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-13. Full description at Econpapers || Download paper |
2022 | On the Real-Time Predictive Content of Financial Conditions Indices for Growth. (2022). McCracken, Michael ; Amburgey, Aaron. In: Working Papers. RePEc:fip:fedlwp:93642. Full description at Econpapers || Download paper |
2021 | The Growth-at-Risk (GaR) Framework: Implication For Ukraine. (2021). Lubchuk, Ihor ; Shmygel, Alona ; Ivanova, Anastasiya. In: IHEID Working Papers. RePEc:gii:giihei:heidwp10-2021. Full description at Econpapers || Download paper |
2021 | Vector autoregression models with skewness and heavy tails. (2021). Nguyen, Hoang ; Karlsson, Sune ; Mazur, Stepan. In: Working Papers. RePEc:hhs:oruesi:2021_008. Full description at Econpapers || Download paper |
2021 | Vulnerable Funding in the Global Economy.. (2021). Uribe, Jorge ; Garron, Ignacio ; Chuliá, Helena. In: IREA Working Papers. RePEc:ira:wpaper:202106. Full description at Econpapers || Download paper |
2022 | Inflation puzzles, the Phillips Curve and output expectations: new perspectives from the Euro Zone. (2022). Tamborini, Roberto ; Sardone, Alessandro ; Passamani, Giuliana . In: Empirica. RePEc:kap:empiri:v:49:y:2022:i:1:d:10.1007_s10663-021-09515-8. Full description at Econpapers || Download paper |
2021 | Gauging the Effect of Influential Observations on Measures of Relative Forecast Accuracy in a Post-COVID-19 Era: Application to Nowcasting Euro Area GDP Growth. (2021). Siliverstovs, Boriss. In: Working Papers. RePEc:ltv:wpaper:202101. Full description at Econpapers || Download paper |
2020 | ???????? ?? ??????????????? ?????? ? ??????????????? ?????????? ?????????. (2020). Fokin, Nikita ; Tretyakov, Dmitriy. In: MPRA Paper. RePEc:pra:mprapa:109556. Full description at Econpapers || Download paper |
2021 | Estimating business and financial cycles in Slovenia. (2021). Lenarčič, Črt ; Lenari, RT. In: MPRA Paper. RePEc:pra:mprapa:109977. Full description at Econpapers || Download paper |
2021 | What drives inflation and how? Evidence from additive mixed models selected by cAIC. (2021). Rossi, Enzo ; Volkmann, Alexander. In: Working Papers. RePEc:snb:snbwpa:2021-12. Full description at Econpapers || Download paper |
2021 | A new time-varying model for forecasting long-memory series. (2021). Grigoletto, Matteo ; Bisaglia, Luisa. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00517-7. Full description at Econpapers || Download paper |
2021 | A time-varying skewness model for Growth-at-Risk. (2021). Iseringhausen, Martin. In: Working Papers. RePEc:stm:wpaper:49. Full description at Econpapers || Download paper |
2021 | Time-varying state correlations in state space models and their estimation via indirect inference. (2021). van den Brakel, Jan ; Smeekes, Stephan ; Palm, Franz ; Koopman, Siem Jan ; Schiavoni, Caterina. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210020. Full description at Econpapers || Download paper |
2020 | Phillips Curve and output expectations: New perspectives from the Euro Zone. (2020). Tamborini, Roberto ; Passamani, Giuliana ; Sardone, Alessandro. In: DEM Working Papers. RePEc:trn:utwprg:2020/6. Full description at Econpapers || Download paper |
2021 | Expecting the unexpected: economic growth under stress. (2021). Ruiz, Esther ; Rodriguez-Caballero, Vladimir ; Gonzalez-Rivera, Gloria. In: Working Papers. RePEc:ucr:wpaper:202106. Full description at Econpapers || Download paper |
2021 | Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them. (2019). Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1711. Full description at Econpapers || Download paper |
2022 | Estimating growth at risk with skewed stochastic volatility models. (2022). Wolf, Elias. In: Discussion Papers. RePEc:zbw:fubsbe:20222. Full description at Econpapers || Download paper |
2020 | The ruling of the Federal Constitutional Court concerning the public sector purchase program: A practical way forward. (2020). Wieland, Volker ; Siekmann, Helmut. In: IMFS Working Paper Series. RePEc:zbw:imfswp:140. Full description at Econpapers || Download paper |
2020 | Does monetary policy impact international market co-movements?. (2020). Pelizzon, Loriana ; Caporin, Massimiliano ; Plazzi, Alberto. In: SAFE Working Paper Series. RePEc:zbw:safewp:276. Full description at Econpapers || Download paper |
2020 | The Phillips Curve at the ECB. (2020). Lane, Philip ; Eser, Fabian ; Karadi, Peter ; Osbat, Chiara ; Moretti, Laura. In: VfS Annual Conference 2020 (Virtual Conference): Gender Economics. RePEc:zbw:vfsc20:224627. Full description at Econpapers || Download paper |
2021 | Dispelling the shadow of fiscal dominance? Fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic. (2021). Nover, Justus ; Helbig, Samuel ; Heinemann, Friedrich ; Havlik, Annika. In: ZEW Discussion Papers. RePEc:zbw:zewdip:21050. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 another 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 | 13 |
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 another version. Agregated cites: 13 | article | |
2016 | Adaptive models and heavy tails with an application to inflation forecasting.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | 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 another version. Agregated cites: 13 | 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 another 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 another version. Agregated cites: 12 | paper | |
2014 | Adaptive Models and Heavy Tails.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2014 | Adaptive Models and Heavy Tails.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another 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 another 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 | 7 |
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 another version. Agregated cites: 7 | article | |
2018 | Financial markets effects of ECB unconventional monetary policy announcements In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 7 |
2019 | Domestic and global determinants of inflation: evidence from expectile regression In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 2 |
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 another version. Agregated cites: 2 | article | |
2020 | The time-varying risk of Italian GDP In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 6 |
2021 | The time-varying risk of Italian GDP.(2021) In: Economic Modelling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | 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 | 0 |
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 another version. Agregated cites: 0 | 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 another version. Agregated cites: 0 | 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 another version. Agregated cites: 0 | 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 another version. Agregated cites: 0 | paper | |
2021 | Modeling and forecasting macroeconomic downside risk In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 22 |
2020 | Modeling and Forecasting Macroeconomic Downside Risk.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2020 | Modelling and Forecasting Macroeconomic Downside Risk.(2020) In: EMF Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2016 | Adaptive state space models with applications to the business cycle and financial stress In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2017 | Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity In: Working Paper Series. [Full Text][Citation analysis] | paper | 17 |
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 | 7 |
2019 | Efficient matrix approach for classical inference in state space models In: Economics Letters. [Full Text][Citation analysis] | article | 4 |
2019 | Efficient Matrix Approach for Classical Inference in State Space Models.(2019) In: EMF Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2006 | A structural time series approach to modelling multiple and resurgent meat scares in Italy In: Applied Economics. [Full Text][Citation analysis] | article | 9 |
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