Marco Lippi : Citation Profile


Are you Marco Lippi?

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

22

H index

28

i10 index

4174

Citations

RESEARCH PRODUCTION:

32

Articles

62

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   33 years (1988 - 2021). See details.
   Cites by year: 126
   Journals where Marco Lippi has often published
   Relations with other researchers
   Recent citing documents: 132.    Total self citations: 50 (1.18 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli391
   Updated: 2021-06-19    RAS profile: 2021-04-11    
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Relations with other researchers


Works with:

Forni, Mario (12)

Gambetti, Luca (4)

Giovannelli, Alessandro (4)

Hallin, Marc (4)

Soccorsi, Stefano (4)

Barigozzi, Matteo (4)

Luciani, Matteo (3)

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 (160)

Barigozzi, Matteo (159)

Hallin, Marc (155)

Forni, Mario (134)

Giannone, Domenico (129)

Gambetti, Luca (125)

Reichlin, Lucrezia (120)

Pesaran, M (98)

Chudik, Alexander (67)

Luciani, Matteo (65)

Kabundi, Alain (56)

Cites to:

Forni, Mario (178)

Reichlin, Lucrezia (140)

Hallin, Marc (101)

Ng, Serena (48)

Watson, Mark (48)

Giannone, Domenico (45)

Bai, Jushan (41)

Stock, James (33)

Cristadoro, Riccardo (19)

veronese, giovanni (19)

Boivin, Jean (16)

Main data


Where Marco Lippi has published?


Journals with more than one article published# docs
Journal of Econometrics6
Econometric Theory3
The Review of Economics and Statistics2
Ricerche Economiche2
Journal of Monetary Economics2

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"8
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy5
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area2
EIEF Working Papers Series / Einaudi Institute for Economics and Finance (EIEF)2
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Marco Lippi (2021 and 2020)


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

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

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2020Quasi 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.

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2020Identifiability of Structural Singular Vector Autoregressive Models. (2019). Braumann, Alexander ; Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04096.

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

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2021Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2020Forecasts with Bayesian vector autoregressions under real time conditions. (2020). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2004.04984.

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

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

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

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2021The Spectral Approach to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2007.13804.

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

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

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

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2020Instrumental Variable Identification of Dynamic Variance Decompositions. (2020). Wolf, Christian K ; Plagborg-Moller, Mikkel. In: Papers. RePEc:arx:papers:2011.01380.

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2020A Two-Way Transformed Factor Model for Matrix-Variate Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2011.09029.

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2021Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data. (2021). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2103.14626.

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2021Min(d)ing the President: A text analytic approach to measuring tax news. (2021). Smeekes, Stephan ; Bacsturk, Nalan ; Almeida, Rui Jorge ; Lieb, Lenard ; Jassem, Adam. In: Papers. RePEc:arx:papers:2104.03261.

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2021Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127.

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2021Machine Learning and Oil Price Point and Density Forecasting. (2021). Gaglianone, Wagner ; Lin, Yihao ; Issler, Joo Victor ; Teixeira, Osmani ; Cavalcanti, Pedro ; Bonnet, Alexandre. In: Working Papers Series. RePEc:bcb:wpaper:544.

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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.

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2021Labor Market Indicator for Colombia (LMI). (2021). Ramos-Veloza, Mario ; Hernandez-Bejarano, Manuel Dario ; Cristiano-Botia, Deicy J. In: Borradores de Economia. RePEc:bdr:borrec:1152.

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2021News Shocks under Financial Frictions. (2021). Zanetti, Francesco ; Görtz, Christoph ; Tsoukalas, John ; Gortz, Christoph. In: Discussion Papers. RePEc:bir:birmec:21-08.

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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.

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2021FORECASTING RUSSIAN CPI WITH DATA VINTAGES AND MACHINE LEARNING TECHNIQUES. (2021). Mamedli, Mariam ; Shibitov, Denis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps70.

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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.

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2020A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting. (2020). Hartigan, Luke ; Morley, James. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:271-293.

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2020On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy. (2020). Schlosser, Alexander ; Pruser, Jan. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:5:p:1217-1237.

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2020On aggregation of strongly dependent time series. (2020). Ghosh, Sucharita ; Liu, Haiyan ; Beran, Jan. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:690-710.

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2020News Shocks under Financial Frictions. (2020). Zanetti, Francesco ; Görtz, Christoph ; Tsoukalas, John D ; Gortz, Christoph. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8728.

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

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2021Estimating Shadow Policy Rates in a Small Open Economy and the Role of Foreign Factors. (2021). Kirchner, Markus ; Fornero, Jorge ; Molina, Carlos. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:915.

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

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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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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2020PCCI – a data-rich measure of underlying inflation in the euro area. (2020). BOBEICA, Elena ; Banbura, Marta ; Babura, Marta. In: Statistics Paper Series. RePEc:ecb:ecbsps:202038.

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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.

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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.

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

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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.

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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.

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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.

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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.

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2020The People’s bank of China’s response to the coronavirus pandemic: A quantitative assessment. (2020). Funke, Michael ; Tsang, Andrew. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:465-473.

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2021Forecasting imports with information from abroad. (2021). Lehmann, Robert ; Grimme, Christian ; Noeller, Marvin. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:109-117.

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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.

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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.

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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.

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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.

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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.

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2021Augmented factor models with applications to validating market risk factors and forecasting bond risk premia. (2021). Liao, Yuan ; Ke, Yuan ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:269-294.

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2021Time-varying general dynamic factor models and the measurement of financial connectedness. (2021). Soccorsi, Stefano ; von Sachs, Rainer ; Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:324-343.

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2021Autoregressive models for matrix-valued time series. (2021). Yang, Dan ; Xiao, Han ; Chen, Rong. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:539-560.

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2021On factor models with random missing: EM estimation, inference, and cross validation. (2021). Su, Liangjun ; Miao, KE ; Jin, Sainan. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:745-777.

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2020Flexible copula models with dynamic dependence and application to financial data. (2020). Joe, Harry ; Krupskii, Pavel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:148-167.

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2021Evaluating restricted common factor models for non-stationary data. (2021). Fachin, Stefano ; Di Iorio, Francesca. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:64-75.

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2021Spurious cross-sectional dependence in credit spread changes. (2021). McAleer, Michael ; Jaskowski, Marcin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:12-27.

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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.

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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.

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2021Cyclical convergence in per capita carbon dioxide emission in US states: A dynamic unobserved component approach. (2021). Cabezas-Ares, Alfredo ; Delgado-Rodriguez, Maria Jesus ; de Lucas-Santos, Sonia. In: Energy. RePEc:eee:energy:v:217:y:2021:i:c:s0360544220324567.

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2020Research on Chinas financial systemic risk contagion under jump and heavy-tailed risk. (2020). Liu, Xi-Hua ; Gong, Xiao-Li ; Zhang, Wei ; Xiong, Xiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302283.

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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.

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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.

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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.

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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.

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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.

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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.

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2021ALICE: Composite leading indicators for euro area inflation cycles. (2021). Zekaite, Zivile ; de Bondt, Gabe ; Hahn, Elke. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:687-707.

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2021Granger causality detection in high-dimensional systems using feedforward neural networks. (2021). Olmo, Jose ; Mancini, Tullio ; Calvo-Pardo, Hector . In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:920-940.

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2021Mixed-frequency approaches to nowcasting GDP: An application to Japan. (2021). Kido, Yosuke ; Hirakata, Naohisa ; Otaka, Kazuki ; Chikamatsu, Kyosuke. In: Japan and the World Economy. RePEc:eee:japwor:v:57:y:2021:i:c:s0922142521000049.

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2021Investment and uncertainty: Are large firms different from small ones?. (2021). Panagiotidis, Theodore ; Printzis, Panagiotis. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:184:y:2021:i:c:p:302-317.

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2020Financial cycles: Characterisation and real-time measurement. (2020). Peltonen, Tuomas A ; Hiebert, Paul P ; Schuler, Yves S. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:100:y:2020:i:c:s0261560619301597.

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2020Monetary policy news in the US: Effects on emerging market capital flows. (2020). Vasishtha, Garima ; Dahlhaus, Tatjana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620302072.

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2021Reprint: Monetary policy news in the US: Effects on emerging market capital flows. (2021). Dahlhaus, Tatjana ; Vasishtha, Garima. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:114:y:2021:i:c:s0261560621000528.

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2021The Global Financial Cycle and US monetary policy in an interconnected world. (2021). Dees, Stephane ; Galesi, Alessandro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:115:y:2021:i:c:s0261560621000449.

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2020The expectational effects of news in business cycles: Evidence from forecast data. (2020). Nguyen, Thuy Lan ; Miyamoto, Wataru. In: Journal of Monetary Economics. RePEc:eee:moneco:v:116:y:2020:i:c:p:184-200.

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2021Does demand noise matter? Identification and implications. (2021). Benhima, Kenza ; Poilly, Celine. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:278-295.

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2020Observed expectations, news shocks, and the business cycle. (2020). Rajbhandari, Ashish ; Milani, Fabio. In: Research in Economics. RePEc:eee:reecon:v:74:y:2020:i:2:p:95-118.

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2020Sequential testing for structural stability in approximate factor models. (2020). Trapani, Lorenzo ; Barigozzi, Matteo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:8:p:5149-5187.

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2020Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model. (2020). Angelopoulos, Jason ; Visvikis, Ilias D ; Sahoo, Satya. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311081.

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2020Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. (2020). Valls Pereira, Pedro ; Hallin, Marc ; Trucios, Carlos Cesar ; Hotta, Luiz Koodi. In: Textos para discussão. RePEc:fgv:eesptd:521.

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2020Financial Conditions and Economic Activity: Insights from Machine Learning. (2020). Kiley, Michael. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-95.

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2020FRED-SD: A Real-Time Database for State-Level Data with Forecasting Applications. (2020). Owyang, Michael ; Kliesen, Kevin ; jackson, laura ; Bokun, Kathryn. In: Working Papers. RePEc:fip:fedlwp:88720.

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2021Evaluating Growth-at-Risk as a tool for monitoring macro-financial risks in the Peruvian economy. (2021). Nivin, Rafael ; Chicana, Diego. In: IHEID Working Papers. RePEc:gii:giihei:heidwp07-2021.

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2020Another look into the factor model black box: factors interpretation and structural (in)stability. (2019). Doz, Catherine ; Despois, Thomas. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02235543.

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2020Possibilité d’une union monétaire dans la zone CEDEAO : Test de coordination des politiques budgétaires et monétaires. (2020). Yenlide, Tchablemane. In: Working Papers. RePEc:hal:wpaper:hal-02560792.

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2021Building Back Better: How Big Are Green Spending Multipliers?. (2021). Fragetta, Matteo ; Batini, Nicoletta ; Waldron, Anthony ; Melina, Giovanni ; di Serio, Mario. In: IMF Working Papers. RePEc:imf:imfwpa:2021/087.

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2020Information Aggregation and P-Hacking. (2020). Zhong, Xun ; Rytchkov, Oleg. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:4:p:1605-1626.

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2020Quantile Factor Models. (2020). Dolado, Juan J ; Chen, Liang ; Gonzalo, Jesus. In: IZA Discussion Papers. RePEc:iza:izadps:dp13870.

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2020NOWCASTING REAL GDP FOR SAUDI ARABIA. (2020). William, William ; Alkhareif, Ryadh M. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202018.

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2020Estimating Non-stationary Common Factors: Implications for Risk Sharing. (2020). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9875-9.

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2020Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models. (2020). Cavicchioli, Maddalena. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9877-7.

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2020Estimating a Dynamic Factor Model in EViews Using the Kalman Filter and Smoother. (2020). Solberger, Martin ; Spnberg, Erik. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09912-z.

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2020Non-structural and structural models in productivity analysis: study of the British Isles during the 2007–2009 financial crisis. (2020). Sickles, Robin C ; Gong, Binlei. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:53:y:2020:i:2:d:10.1007_s11123-019-00571-8.

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2020Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions. (2020). Wochner, Daniel. In: KOF Working papers. RePEc:kof:wpskof:20-472.

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2020Forecasting Stock Returns with Large Dimensional Factor Models. (2020). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Working Papers. RePEc:lan:wpaper:305661169.

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2020Market dynamics and integration of the financial markets of the NAFTA countries. (2020). Ruiz-Porras, Antonio ; Anguiano, Javier Emmanuel . In: Lecturas de Economía. RePEc:lde:journl:y:2020:i:92:p:67-100.

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2021What Moves Treasury Yields?. (2021). Moench, Emanuel ; Soofi-Siavash, Soroosh. In: Bank of Lithuania Working Paper Series. RePEc:lie:wpaper:88.

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2020The Impact of Domestic and Foreign Monetary Policy on Iran\s economy: Global Modeling. (2020). Dehbaghi, Simin Akbari ; Ahangari, Majid ; Arman, Seyed Aziz . In: Journal of Money and Economy. RePEc:mbr:jmonec:v:15:y:2020:i:2:p:151-180.

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2020Rational Heuristics? Expectations and Behaviors in Evolving Economies with Heterogeneous Interacting Agents. (2020). Stiglitz, Joseph ; Roventini, Andrea ; Napoletano, Mauro ; Dosi, Giovanni ; Treibich, Tania. In: NBER Working Papers. RePEc:nbr:nberwo:26922.

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2020Modelling Non-stationary Big Data. (2020). Hendry, David ; Castle, Jennifer ; Doornik, Jurgen . In: Economics Series Working Papers. RePEc:oxf:wpaper:905.

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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.
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article157
1993The dynamic effects of aggregate demand and supply disturbances: comment.(1993) In: ULB Institutional Repository.
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2017Noisy News in Business Cycles In: American Economic Journal: Macroeconomics.
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article76
2013Noisy News in Business cycles.(2013) In: CEPR Discussion Papers.
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paper
2014Noisy News in Business Cycles.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 76
paper
2014Noisy News in Business Cycles.(2014) In: Center for Economic Research (RECent).
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This paper has another version. Agregated cites: 76
paper
2001A real time coincident indicator of the euro area business cycle In: Temi di discussione (Economic working papers).
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paper66
2007New Eurocoin: Tracking Economic Growth in Real Time In: Temi di discussione (Economic working papers).
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paper164
2006New EuroCOIN: Tracking Economic Growth in Real Time.(2006) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 164
paper
2008New Eurocoin: Tracking Economic Growth in Real Time.(2008) In: Center for Economic Research (RECent).
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This paper has another version. Agregated cites: 164
paper
2010New Eurocoin: Tracking Economic Growth in Real Time.(2010) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 164
article
2005The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting In: Journal of the American Statistical Association.
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article515
2002The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting.(2002) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 515
paper
2003The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting.(2003) In: LEM Papers Series.
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This paper has another version. Agregated cites: 515
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: 515
paper
1998Aggregation of Simple Linear Dynamics: Exact Asymptotic Results In: STICERD - Econometrics Paper Series.
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paper1
1998Aggregation of simple linear dynamics: exact asymptotic results.(1998) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 1
paper
2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis In: CEPR Discussion Papers.
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paper44
2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Working Papers ECARES.
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This paper has another version. Agregated cites: 44
paper
2017Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 44
article
2016Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis.(2016) In: EIEF Working Papers Series.
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This paper has another version. Agregated cites: 44
paper
2015Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Center for Economic Research (RECent).
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This paper has another version. Agregated cites: 44
paper
2016Dynamic Factor model with infinite dimensional factor space: forecasting In: CEPR Discussion Papers.
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paper34
2016Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting.(2016) In: Working Papers ECARES.
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This paper has another version. Agregated cites: 34
paper
2016Dynamic Factor model with infinite dimensional factor space: forecasting.(2016) In: Center for Economic Research (RECent).
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This paper has another version. Agregated cites: 34
paper
2018Dynamic factor model with infinite‐dimensional factor space: Forecasting.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 34
article
2016Eigenvalue Ratio Estimators for the Number of Common Factors In: CEPR Discussion Papers.
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paper0
2020Common Component Structural VARs In: CEPR Discussion Papers.
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paper0
2020Common Components Structural VARs.(2020) In: Center for Economic Research (RECent).
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This paper has another version. Agregated cites: 0
paper
1999The Generalized Dynamic Factor Model: Identification and Estimation In: CEPR Discussion Papers.
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paper1118
2000The Generalized Dynamic-Factor Model: Identification And Estimation.(2000) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 1118
article
2000The generalised dynamic factor model: identification and estimation.(2000) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 1118
paper
2000Reference Cycles: The NBER Methodology Revisited In: CEPR Discussion Papers.
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paper40
2000The Generalized Dynamic Factor Model: Representation Theory In: CEPR Discussion Papers.
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paper329
2001THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY.(2001) In: Econometric Theory.
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This paper has another version. Agregated cites: 329
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.
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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.
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paper234
2003Do financial variables help forecasting inflation and real activity in the euro area?.(2003) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 234
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: 234
paper
2003Opening the Black Box: Structural Factor Models versus Structural VARs In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper44
1993Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper53
1994Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle.(1994) In: Review of Economic Studies.
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This paper has another version. Agregated cites: 53
article
1994Diffusion of technical change and the decomposition of output into trend and cycle.(1994) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 53
paper
2013Noise Bubbles In: CEPR Discussion Papers.
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paper3
2014Noise Bubbles.(2014) In: Center for Economic Research (RECent).
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paper
2017Noise Bubbles.(2017) In: Economic Journal.
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article
2004ISSUES CONCERNING THE APPROXIMATION UNDERLYING THE SPECTRAL REPRESENTATION THEOREM In: Econometric Theory.
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article0
2003Issues Concerning the Approximation Underlying the Spectral Representation Theorem.(2003) In: LEM Papers Series.
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This paper has another version. Agregated cites: 0
paper
2009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS In: Econometric Theory.
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article291
2008Opening the Black Box: Structural Factor Models with Large Cross-Sections.(2008) In: Working Papers ECARES.
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This paper has another version. Agregated cites: 291
paper
2007Opening the black box: structural factor models with large cross-sections.(2007) In: Working Paper Series.
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paper
2007Opening the Black Box: Structural Factor Models with Large Cross-Sections.(2007) In: Center for Economic Research (RECent).
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This paper has another version. Agregated cites: 291
paper
2012Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations In: Working Papers ECARES.
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paper51
2015Dynamic factor models with infinite-dimensional factor spaces: One-sided representations.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 51
article
2013Factor Models in High-Dimensional Time Series: A Time-Domain Approach In: Working Papers ECARES.
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paper24
2013Factor models in high-dimensional time series—A time-domain approach.(2013) In: Stochastic Processes and their Applications.
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This paper has another version. Agregated cites: 24
article
2014Dynamic Factor Models, Cointegration and Error Correction Mechanisms In: Working Papers ECARES.
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paper8
2016Dynamic Factor Models, Cointegration, and Error Correction Mechanisms.(2016) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 8
paper
2017Optimal Dimension Reduction for High-dimensional and Functional Time Series In: Working Papers ECARES.
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paper2
2018Optimal dimension reduction for high-dimensional and functional time series.(2018) In: Statistical Inference for Stochastic Processes.
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article
2011One-Sided Representations of Generalized Dynamic Factor Models In: Working Papers ECARES.
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paper1
2011One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: EIEF Working Papers Series.
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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.
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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.
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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.
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article15
2004The generalized dynamic factor model consistency and rates In: Journal of Econometrics.
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article161
2004The generalised dynamic factor model: consistency and rates.(2004) In: ULB Institutional Repository.
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2011The general dynamic factor model: One-sided representation results In: Journal of Econometrics.
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article21
2021Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors In: Journal of Econometrics.
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article0
1994VAR analysis, nonfundamental representations, blaschke matrices In: Journal of Econometrics.
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article137
1994VAR analysis, non-fundamental representations, Blashke matrices.(1994) In: ULB Institutional Repository.
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1994Common and uncommon trends and cycles In: European Economic Review.
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1994Common and uncommon trends and cycles.(1994) In: ULB Institutional Repository.
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2001Innovation and corporate growth in the evolution of the drug industry In: International Journal of Industrial Organization.
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article140
2001Innovation and Corporate Growth in the Evolution of the Drug Industry.(2001) In: LEM Papers Series.
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This paper has another version. Agregated cites: 140
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.
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article0
1999Aggregation of linear dynamic microeconomic models In: Journal of Mathematical Economics.
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article17
1992On persistence of shocks to economic variables : A common misconception In: Journal of Monetary Economics.
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article10
1992On persistence of shocks to economic variables: a common misconception.(1992) In: ULB Institutional Repository.
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1993Editors note In: Ricerche Economiche.
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1993Editors note In: Ricerche Economiche.
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2016Non-Stationary Dynamic Factor Models for Large Datasets In: Finance and Economics Discussion Series.
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paper13
2004A dynamic factor analysis of the response of U. S. interest rates to news In: Working Papers.
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paper1
2004A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News.(2004) In: LEM Papers Series.
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1990Issues on Aggregation and Microfundations of Macroeconomics. In: Roma la Sapienza - Scienze Economiche.
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paper0
2020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors In: Econometrics.
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1998The Principle of Labor Value In: International Journal of Political Economy.
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article0
2016Eigenvalue Ratio Estimators for the Number of Dynamic Factors In: Center for Economic Research (RECent).
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paper1
2007Il primo esercizio italiano di valutazione della ricerca: una prima valutazione In: Rivista italiana degli economisti.
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article4
1997Aggregation and the Microfoundations of Dynamic Macroeconomics In: OUP Catalogue.
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book100
1988Part III - How well does established theory work In: LEM Chapters Series.
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chapter0
2000Processes of corporate growth in the evolution of an innovation-driven industry. The case of pharmaceuticals. In: LEM Papers Series.
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paper6
2001Coincident and leading indicators for the Euro area In: ULB Institutional Repository.
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paper131
1991Permanent and temporary fluctuations in macroeconomics In: ULB Institutional Repository.
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