Marco Lippi : Citation Profile


Are you Marco Lippi?

Istituto Einaudi per l'Economia e la Finanza (EIEF)

22

H index

27

i10 index

4060

Citations

RESEARCH PRODUCTION:

30

Articles

60

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   30 years (1988 - 2018). See details.
   Cites by year: 135
   Journals where Marco Lippi has often published
   Relations with other researchers
   Recent citing documents: 204.    Total self citations: 47 (1.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli391
   Updated: 2020-10-17    RAS profile: 2018-12-23    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Forni, Mario (14)

Hallin, Marc (8)

Soccorsi, Stefano (4)

Giovannelli, Alessandro (4)

Luciani, Matteo (2)

Barigozzi, Matteo (2)

Gambetti, Luca (2)

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

Is cited by:

Marcellino, Massimiliano (157)

Hallin, Marc (149)

Barigozzi, Matteo (149)

Forni, Mario (133)

Giannone, Domenico (129)

Gambetti, Luca (125)

Reichlin, Lucrezia (119)

Pesaran, M (99)

Luciani, Matteo (68)

Chudik, Alexander (67)

Kabundi, Alain (60)

Cites to:

Forni, Mario (156)

Reichlin, Lucrezia (129)

Hallin, Marc (91)

Watson, Mark (43)

Giannone, Domenico (40)

Ng, Serena (39)

Bai, Jushan (32)

Stock, James (31)

veronese, giovanni (16)

Cristadoro, Riccardo (16)

Boivin, Jean (15)

Main data


Where Marco Lippi has published?


Journals with more than one article published# docs
Journal of Econometrics5
Econometric Theory3
Journal of Monetary Economics2
Ricerche Economiche2
The Review of Economics and Statistics2

Working Papers Series with more than one paper published# docs
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles12
Working Papers ECARES / ULB -- Universite Libre de Bruxelles8
Center for Economic Research (RECent) / University of Modena and Reggio E., Dept. of Economics "Marco Biagi"7
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy5
EIEF Working Papers Series / Einaudi Institute for Economics and Finance (EIEF)2
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area2
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Marco Lippi (2020 and 2019)


YearTitle of citing document
2019Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings. (2019). Pea, Daniel ; Rodriguez-Caballero, Carlos Vladimir ; Catao, Duvan Humberto. In: CREATES Research Papers. RePEc:aah:create:2019-23.

Full description at Econpapers || Download paper

2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; von Sachs, R ; Barigozzi, M. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019024.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Factor-Driven Two-Regime Regression. (2019). Shin, Youngki ; SEO, MYUNG HWAN ; Lee, Sokbae (Simon) ; Liao, Yuan. In: Papers. RePEc:arx:papers:1810.11109.

Full description at Econpapers || Download paper

2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

Full description at Econpapers || Download paper

2019Robust Nearly-Efficient Estimation of Large Panels with Factor Structures. (2019). Zaffaroni, Paolo ; Avarucci, Marco . In: Papers. RePEc:arx:papers:1902.11181.

Full description at Econpapers || Download paper

2019Estimation of Cross-Sectional Dependence in Large Panels. (2019). GAO, Jiti ; Zhang, BO ; Yang, Yanrong ; Pan, Guangming. In: Papers. RePEc:arx:papers:1904.06843.

Full description at Econpapers || Download paper

2019Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

Full description at Econpapers || Download paper

2019Identifiability of Structural Singular Vector Autoregressive Models. (2019). Braumann, Alexander ; Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04096.

Full description at Econpapers || Download paper

2019Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models. (2019). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.09841.

Full description at Econpapers || Download paper

2020Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

Full description at Econpapers || Download paper

2019Approximate Factor Models with Strongly Correlated Idiosyncratic Errors. (2019). Michailidis, George ; Lin, Jiahe. In: Papers. RePEc:arx:papers:1912.04123.

Full description at Econpapers || Download paper

2019A Regularized Factor-augmented Vector Autoregressive Model. (2019). Schnaitmann, Julie ; Daniele, Maurizio. In: Papers. RePEc:arx:papers:1912.06049.

Full description at Econpapers || Download paper

2020Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

Full description at Econpapers || Download paper

2020Modeling High-Dimensional Unit-Root Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2005.03496.

Full description at Econpapers || Download paper

2020Macroeconomic Forecasting with Fractional Factor Models. (2020). Hartl, Tobias. In: Papers. RePEc:arx:papers:2005.04897.

Full description at Econpapers || Download paper

2020Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887.

Full description at Econpapers || Download paper

2020The Spectral Approach to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2007.13804.

Full description at Econpapers || Download paper

2020Economic Reality, Economic Media and Individuals Expectations. (2020). Persson, Kristoffer. In: Papers. RePEc:arx:papers:2007.13823.

Full description at Econpapers || Download paper

2020Simpler Proofs for Approximate Factor Models of Large Dimensions. (2020). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2008.00254.

Full description at Econpapers || Download paper

2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Liao, Yuan ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2009.10103.

Full description at Econpapers || Download paper

2019Credit risk-taking and maturity mismatch: the role of the yield curve. (2019). Sene, Gabriele ; Nobili, Andrea ; Ferrero, Giuseppe. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1220_19.

Full description at Econpapers || Download paper

2019Forecasting inflation in the euro area: countries matter!. (2019). Pacella, Claudia ; Capolongo, Angela. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1224_19.

Full description at Econpapers || Download paper

2020Asymmetry in the conditional distribution of euro-area inflation. (2020). Tagliabracci, Alex. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1270_20.

Full description at Econpapers || Download paper

2019The Global Financial Cycle and US Monetary Policy in an Interconnected World. (2019). Galesi, Alessandro ; Dees, Stephane. In: Working papers. RePEc:bfr:banfra:744.

Full description at Econpapers || Download paper

2019Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162.

Full description at Econpapers || Download paper

2019IS THERE A SINGLE SHOCK THAT DRIVES THE MAJORITY OF BUSINESS CYCLE FLUCTUATIONS?. (2019). Ben Zeev, Nadav. In: Working Papers. RePEc:bgu:wpaper:1906.

Full description at Econpapers || Download paper

2019The Effect of News Shocks and Monetary Policy. (2019). Zanetti, Francesco ; Korobilis, Dimitris ; Görtz, Christoph ; Tsoukalas, John ; Gortz, Christoph ; Gambetti, Luca. In: Discussion Papers. RePEc:bir:birmec:19-03.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Disinflation and reliability of underlying inflation measures. (2019). Ponomarenko, Alexey ; Deryugina, Elena. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps44.

Full description at Econpapers || Download paper

2020RATIONAL HEURISTICS? EXPECTATIONS AND BEHAVIORS IN EVOLVING ECONOMIES WITH HETEROGENEOUS INTERACTING AGENTS. (2020). Treibich, Tania ; Stiglitz, Joseph ; Roventini, Andrea ; Napoletano, Mauro ; Dosi, Giovanni. In: Economic Inquiry. RePEc:bla:ecinqu:v:58:y:2020:i:3:p:1487-1516.

Full description at Econpapers || Download paper

2019Firm Growth and Legal Environment. (2019). Barontini, Roberto ; Bozzi, Stefano ; Miroshnychenko, Ivan. In: Economic Notes. RePEc:bla:ecnote:v:48:y:2019:i:1:n:12116.

Full description at Econpapers || Download paper

2019When creativity strikes: news shocks and business cycle fluctuations. (2019). Miranda-Agrippino, Silvia ; Hacioglu Hoke, Sinem ; Bluwstein, Kristina. In: Bank of England working papers. RePEc:boe:boeewp:0788.

Full description at Econpapers || Download paper

2019Business Cycle Narratives. (2019). Thorsrud, Leif ; Larsen, Vegard. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7468.

Full description at Econpapers || Download paper

2019The effect of news shocks and monetary policy. (2019). Zanetti, Francesco ; Korobilis, Dimitris ; Görtz, Christoph ; Tsoukalas, John D ; Gortz, Christoph ; Gambetti, Luca. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7578.

Full description at Econpapers || Download paper

2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

Full description at Econpapers || Download paper

2019Forecasting Imports with Information from Abroad. (2019). Lehmann, Robert ; Grimme, Christian ; Noeller, Marvin. In: ifo Working Paper Series. RePEc:ces:ifowps:_294.

Full description at Econpapers || Download paper

2019Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia. (2019). Enciso, Enrique Lopez. In: Tiempo y Economía. RePEc:col:000485:017226.

Full description at Econpapers || Download paper

2019Austerity and Public debt Dynamics. (2019). Mei, Pierfrancesco ; Favero, Carlo A. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14072.

Full description at Econpapers || Download paper

2020Nowcasting German GDP. (2020). Strohsal, Till ; Reichlin, Lucrezia ; Hasenzagl, Thomas ; Senftleben-Konig, Charlotte Charlotte ; Andreini, Paolo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14323.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Have we been measuring monetary policy correctly? Analysing the Federal Reserve’s policies over the last century. (2019). Pavon-Prado, David. In: IFCS - Working Papers in Economic History.WH. RePEc:cte:whrepe:28342.

Full description at Econpapers || Download paper

20191. (2019). . In: Working Papers. RePEc:cty:dpaper:dp16/19.

Full description at Econpapers || Download paper

2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/283963.

Full description at Econpapers || Download paper

2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

Full description at Econpapers || Download paper

2019On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. (2019). Hallin, Marc ; Valls, Pedro L ; Hotta, Luis K ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/298201.

Full description at Econpapers || Download paper

2019Diffusion index-based inflation forecasts for the euro area. (2001). Mestre, Ricardo ; Henry, Jerome ; Angelini, Elena. In: Working Paper Series. RePEc:ecb:ecbwps:20010061.

Full description at Econpapers || Download paper

2019Mind the gap: a multi-country BVAR benchmark for the Eurosystem projections. (2019). Paredes, Joan ; Lenza, Michele ; Lalik, Magdalena ; Angelini, Elena . In: Working Paper Series. RePEc:ecb:ecbwps:20192227.

Full description at Econpapers || Download paper

2019The CSPP at work - yield heterogeneity and the portfolio rebalancing channel. (2019). Zaghini, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20192264.

Full description at Econpapers || Download paper

2019Unconventional monetary policy and corporate bond issuance. (2019). Zaghini, Andrea ; De Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20192329.

Full description at Econpapers || Download paper

2020The simpler the better: measuring financial conditions for monetary policy and financial stability. (2020). Arrigoni, Simone ; Venditti, Fabrizio ; Bobasu, Alina. In: Working Paper Series. RePEc:ecb:ecbwps:20202451.

Full description at Econpapers || Download paper

2020Nowcasting with large Bayesian vector autoregressions. (2020). Sokol, Andrej ; Giannone, Domenico ; Cimadomo, Jacopo ; Monti, Francesca ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20202453.

Full description at Econpapers || Download paper

2019Forecasting occupancy rate with Bayesian compression methods. (2019). Tsionas, Mike ; Assaf, George A. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:439-449.

Full description at Econpapers || Download paper

2020Synchronization of regional growth dynamics in China. (2020). Stewart, Shamar ; Ni, Jinlan ; Ma, Jun ; Bian, Zhicun . In: China Economic Review. RePEc:eee:chieco:v:61:y:2020:i:c:s1043951x18301305.

Full description at Econpapers || Download paper

2019The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel. (2019). Zaghini, Andrea. In: Journal of Corporate Finance. RePEc:eee:corfin:v:56:y:2019:i:c:p:282-297.

Full description at Econpapers || Download paper

2019Simultaneous statistical inference in dynamic factor models: Chi-square approximation and model-based bootstrap. (2019). Dickhaus, Thorsten ; Sirotko-Sibirskaya, Natalia . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:129:y:2019:i:c:p:30-46.

Full description at Econpapers || Download paper

2019How does government spending news affect interest rates? Evidence from the United States. (2019). Liu, Dingming ; Dingming, Liu ; Yong, Chen . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301460.

Full description at Econpapers || Download paper

2020Identifying noise shocks. (2020). Koop, Gary ; Chan, Joshua ; Eisenstat, Eric ; Benati, Luca. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301770.

Full description at Econpapers || Download paper

2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

Full description at Econpapers || Download paper

2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

Full description at Econpapers || Download paper

2020Monetary policy and systemic risk-taking in the euro area banking sector. (2020). Kabundi, Alain ; de Simone, Francisco Nadal . In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:736-758.

Full description at Econpapers || Download paper

2019Towards a financial cycle for the U.S., 1973–2014. (2019). Jacobs, Jan ; An, J ; Bezemer, Dirk J ; Rozite, Kristiana . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305643.

Full description at Econpapers || Download paper

2019Did financial factors matter during the Great Recession?. (2019). Paccagnini, Alessia. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:26-30.

Full description at Econpapers || Download paper

2019Factor models for matrix-valued high-dimensional time series. (2019). Wang, Dong ; Chen, Rong ; Liu, Xialu . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:231-248.

Full description at Econpapers || Download paper

2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

Full description at Econpapers || Download paper

2019Robust covariance estimation for approximate factor models. (2019). Fan, Jianqing ; Zhong, Yiqiao ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:5-22.

Full description at Econpapers || Download paper

2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

Full description at Econpapers || Download paper

2019Consistent estimation of time-varying loadings in high-dimensional factor models. (2019). Urga, Giovanni ; Hillebrand, Eric ; Mikkelsen, Jakob Guldbak . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:535-562.

Full description at Econpapers || Download paper

2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

Full description at Econpapers || Download paper

2019Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification. (2019). Schumacher, Christian ; Kaufmann, Sylvia. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:116-134.

Full description at Econpapers || Download paper

2019The value of news for economic developments. (2019). Thorsrud, Leif A ; Larsen, Vegard H. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:203-218.

Full description at Econpapers || Download paper

2019Adaptive hierarchical priors for high-dimensional vector autoregressions. (2019). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:241-271.

Full description at Econpapers || Download paper

2019Rank regularized estimation of approximate factor models. (2019). Bai, Jushan ; Ng, Serena. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:78-96.

Full description at Econpapers || Download paper

2020A robust procedure to build dynamic factor models with cluster structure. (2020). Galeano, Pedro ; Alonso, Andres M ; Pea, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:35-52.

Full description at Econpapers || Download paper

2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

Full description at Econpapers || Download paper

2020Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70.

Full description at Econpapers || Download paper

2020Factor-adjusted regularized model selection. (2020). Ke, Yuan ; Fan, Jianqing ; Wang, Kaizheng. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:71-85.

Full description at Econpapers || Download paper

2020Estimating latent asset-pricing factors. (2020). Pelger, Markus ; Lettau, Martin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:1-31.

Full description at Econpapers || Download paper

2019On the sources of information about latent variables in DSGE models. (2019). Iskrev, Nikolay. In: European Economic Review. RePEc:eee:eecrev:v:119:y:2019:i:c:p:318-332.

Full description at Econpapers || Download paper

2020The euro-area government spending multiplier at the effective lower bound. (2020). Melina, Giovanni ; Fragetta, Matteo ; di Serio, Mario ; Amendola, Adalgiso. In: European Economic Review. RePEc:eee:eecrev:v:127:y:2020:i:c:s0014292120301124.

Full description at Econpapers || Download paper

2019Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?. (2019). Zhang, Dayong ; Ma, Yan-Ran ; Pan, Jiaofeng ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:536-544.

Full description at Econpapers || Download paper

2020Energy commodity uncertainties and the systematic risk of US industries. (2020). Balli, Faruk ; Naeem, Muhammad Abubakr ; de Bruin, Anne ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303846.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019A multilevel factor approach for the analysis of CDS commonality and risk contribution. (2019). Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119302197.

Full description at Econpapers || Download paper

2020News and why it is not shocking: The role of micro-foundations. (2020). Minford, A. Patrick ; Meenagh, David ; Mai, Vo Phuong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300834.

Full description at Econpapers || Download paper

2019Google data in bridge equation models for German GDP. (2019). Gotz, Thomas B ; Knetsch, Thomas A. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:45-66.

Full description at Econpapers || Download paper

2019Predictive regressions under asymmetric loss: Factor augmentation and model selection. (2019). Hacioglu Hoke, Sinem ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:80-99.

Full description at Econpapers || Download paper

2019Nowcasting and forecasting GDP in emerging markets using global financial and macroeconomic diffusion indexes. (2019). Swanson, Norman R ; Guney, Ethem I ; Cepni, Oguzhan. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:555-572.

Full description at Econpapers || Download paper

2019Combining wavelet decomposition with machine learning to forecast gold returns. (2019). Risse, Marian. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:601-615.

Full description at Econpapers || Download paper

2019Macroeconomic forecasting for Australia using a large number of predictors. (2019). Hyndman, Rob ; Jiang, Bin ; Athanasopoulos, George ; Panagiotelis, Anastasios ; Vahid, Farshid. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:616-633.

Full description at Econpapers || Download paper

2019Bagged neural networks for forecasting Polish (low) inflation. (2019). Szafranek, Karol. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:1042-1059.

Full description at Econpapers || Download paper

2019Growth in stress. (2019). Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Maldonado, Javier. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:948-966.

Full description at Econpapers || Download paper

2019Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections. (2019). Paredes, Joan ; Lenza, Michele ; Lalik, Magdalena ; Angelini, Elena. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1658-1668.

Full description at Econpapers || Download paper

2019Macroeconomic news and market reaction: Surprise indexes meet nowcasting. (2019). Caruso, Alberto. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1725-1734.

Full description at Econpapers || Download paper

2020Forecasting inflation with online prices. (2020). Bertolotto, Manuel I ; Aparicio, Diego. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:232-247.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model. (2020). Wolters, Maik ; Reif, Magnus ; Heinrich, Markus ; Carstensen, Kai. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:829-850.

Full description at Econpapers || Download paper

2020A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth. (2020). Cheung, Calista ; Chernis, Tony ; Velasco, Gabriella. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:851-872.

Full description at Econpapers || Download paper

2019US monetary policy and the euro area. (2019). Hanisch, Max. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:77-96.

Full description at Econpapers || Download paper

201920 years of WEHIA: A journey in search of a safer road. (2019). Kirman, Alan ; Gallegati, Mauro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:5-14.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Marco Lippi:


YearTitleTypeCited
1993The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment. In: American Economic Review.
[Full Text][Citation analysis]
article156
1993The dynamic effects of aggregate demand and supply disturbances: comment.(1993) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 156
paper
2017Noisy News in Business Cycles In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]
article67
2013Noisy News in Business cycles.(2013) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 67
paper
2014Noisy News in Business Cycles.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 67
paper
2014Noisy News in Business Cycles.(2014) In: Center for Economic Research (RECent).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 67
paper
2001A real time coincident indicator of the euro area business cycle In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]
paper66
2007New Eurocoin: Tracking Economic Growth in Real Time In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]
paper158
2006New EuroCOIN: Tracking Economic Growth in Real Time.(2006) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 158
paper
2008New Eurocoin: Tracking Economic Growth in Real Time.(2008) In: Center for Economic Research (RECent).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 158
paper
2010New Eurocoin: Tracking Economic Growth in Real Time.(2010) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 158
article
2005The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article495
2003The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting.(2003) In: LEM Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 495
paper
2005The generalised dynamic factor model: one sided estimation and forecasting.(2005) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 495
paper
2002The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting.(2002) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 495
paper
1998Aggregation of Simple Linear Dynamics: Exact Asymptotic Results In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]
paper0
1998Aggregation of simple linear dynamics: exact asymptotic results.(1998) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper42
2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Working Papers ECARES.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42
paper
2017Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42
article
2016Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis.(2016) In: EIEF Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42
paper
2015Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Center for Economic Research (RECent).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42
paper
2016Dynamic Factor model with infinite dimensional factor space: forecasting In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper32
2016Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting.(2016) In: Working Papers ECARES.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
paper
2016Dynamic Factor model with infinite dimensional factor space: forecasting.(2016) In: Center for Economic Research (RECent).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
paper
2018Dynamic factor model with infinite‐dimensional factor space: Forecasting.(2018) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
article
2016Eigenvalue Ratio Estimators for the Number of Common Factors In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper0
1999The Generalized Dynamic Factor Model: Identification and Estimation In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper1076
2000The Generalized Dynamic-Factor Model: Identification And Estimation.(2000) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1076
article
2000The generalised dynamic factor model: identification and estimation.(2000) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 1076
paper
2000Reference Cycles: The NBER Methodology Revisited In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper40
2000The Generalized Dynamic Factor Model: Representation Theory In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper322
2001THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY.(2001) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 322
article
2001EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper145
2003EUROCOIN: A REAL TIME COINCIDENT INDICATOR OF THE EURO AREA BUSINESS CYCLE.(2003) In: Computing in Economics and Finance 2003.
[Citation analysis]
This paper has another version. Agregated cites: 145
paper
2002Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area? In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper226
2003Do financial variables help forecasting inflation and real activity in the euro area?.(2003) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 226
article
2003Do financial variables help forecasting inflation and real activity in the Euro area ?.(2003) In: ULB Institutional Repository.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 226
paper
2003Opening the Black Box: Structural Factor Models versus Structural VARs In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper47
1993Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper52
1994Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle.(1994) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
article
1994Diffusion of technical change and the decomposition of output into trend and cycle.(1994) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 52
paper
2013Noise Bubbles In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper3
2014Noise Bubbles.(2014) In: Center for Economic Research (RECent).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2017Noise Bubbles.(2017) In: Economic Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2004ISSUES CONCERNING THE APPROXIMATION UNDERLYING THE SPECTRAL REPRESENTATION THEOREM In: Econometric Theory.
[Full Text][Citation analysis]
article0
2003Issues Concerning the Approximation Underlying the Spectral Representation Theorem.(2003) In: LEM Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS In: Econometric Theory.
[Full Text][Citation analysis]
article289
2008Opening the Black Box: Structural Factor Models with Large Cross-Sections.(2008) In: Working Papers ECARES.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 289
paper
2007Opening the black box: structural factor models with large cross-sections.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 289
paper
2007Opening the Black Box: Structural Factor Models with Large Cross-Sections.(2007) In: Center for Economic Research (RECent).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 289
paper
2012Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations In: Working Papers ECARES.
[Full Text][Citation analysis]
paper48
2015Dynamic factor models with infinite-dimensional factor spaces: One-sided representations.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
article
2013Factor Models in High-Dimensional Time Series: A Time-Domain Approach In: Working Papers ECARES.
[Full Text][Citation analysis]
paper22
2013Factor models in high-dimensional time series—A time-domain approach.(2013) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
article
2014Dynamic Factor Models, Cointegration and Error Correction Mechanisms In: Working Papers ECARES.
[Full Text][Citation analysis]
paper8
2016Dynamic Factor Models, Cointegration, and Error Correction Mechanisms.(2016) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2017Optimal Dimension Reduction for High-dimensional and Functional Time Series In: Working Papers ECARES.
[Full Text][Citation analysis]
paper2
2018Optimal dimension reduction for high-dimensional and functional time series.(2018) In: Statistical Inference for Stochastic Processes.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2011One-Sided Representations of Generalized Dynamic Factor Models In: Working Papers ECARES.
[Full Text][Citation analysis]
paper1
2011One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: EIEF Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2011One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: DSS Empirical Economics and Econometrics Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1991Trend-Cycle Decompositions and Measures of Persistence: Does Time Aggregation Matter? In: Economic Journal.
[Full Text][Citation analysis]
article5
1991Trend-cycle decompositions and measures of persistence: does time aggregation matter?.(1991) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
1988On the dynamic shape of aggregated error correction models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article15
2004The generalized dynamic factor model consistency and rates In: Journal of Econometrics.
[Full Text][Citation analysis]
article160
2004The generalised dynamic factor model: consistency and rates.(2004) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 160
paper
2011The general dynamic factor model: One-sided representation results In: Journal of Econometrics.
[Full Text][Citation analysis]
article18
1994VAR analysis, nonfundamental representations, blaschke matrices In: Journal of Econometrics.
[Full Text][Citation analysis]
article132
1994VAR analysis, non-fundamental representations, Blashke matrices.(1994) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 132
paper
1994Common and uncommon trends and cycles In: European Economic Review.
[Full Text][Citation analysis]
article11
1994Common and uncommon trends and cycles.(1994) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
2001Innovation and corporate growth in the evolution of the drug industry In: International Journal of Industrial Organization.
[Full Text][Citation analysis]
article139
2001Innovation and Corporate Growth in the Evolution of the Drug Industry.(2001) In: LEM Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139
paper
1994Aggregation: Aggregate production functions and related topics, collected papers by Franklin M. Fisher : Franklin M. Fisher, edited by John Monz (The MIT Press, Cambridge, MA) pp. xxiv-280, $45.00 (cl In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]
article0
1999Aggregation of linear dynamic microeconomic models In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article17
1992On persistence of shocks to economic variables : A common misconception In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article9
1992On persistence of shocks to economic variables: a common misconception.(1992) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 9
paper
1993Editors note In: Ricerche Economiche.
[Full Text][Citation analysis]
article0
1993Editors note In: Ricerche Economiche.
[Full Text][Citation analysis]
article0
2017Non-Stationary Dynamic Factor Models for Large Datasets In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper11
2004A dynamic factor analysis of the response of U. S. interest rates to news In: Working Papers.
[Full Text][Citation analysis]
paper1
2004A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News.(2004) In: LEM Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1990Issues on Aggregation and Microfundations of Macroeconomics. In: Roma la Sapienza - Scienze Economiche.
[Citation analysis]
paper0
1998The Principle of Labor Value In: International Journal of Political Economy.
[Full Text][Citation analysis]
article0
2016Eigenvalue Ratio Estimators for the Number of Dynamic Factors In: Center for Economic Research (RECent).
[Full Text][Citation analysis]
paper1
2007Il primo esercizio italiano di valutazione della ricerca: una prima valutazione In: Rivista italiana degli economisti.
[Full Text][Citation analysis]
article4
1997Aggregation and the Microfoundations of Dynamic Macroeconomics In: OUP Catalogue.
[Citation analysis]
book105
1988Part III - How well does established theory work In: LEM Chapters Series.
[Full Text][Citation analysis]
chapter0
2000Processes of corporate growth in the evolution of an innovation-driven industry. The case of pharmaceuticals. In: LEM Papers Series.
[Full Text][Citation analysis]
paper6
2001Coincident and leading indicators for the Euro area In: ULB Institutional Repository.
[Citation analysis]
paper129
1991Permanent and temporary fluctuations in macroeconomics In: ULB Institutional Repository.
[Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2020. Contact: CitEc Team