Michele Modugno : Citation Profile


Are you Michele Modugno?

Federal Reserve Board (Board of Governors of the Federal Reserve System)

12

H index

13

i10 index

894

Citations

RESEARCH PRODUCTION:

11

Articles

31

Papers

2

Chapters

RESEARCH ACTIVITY:

   12 years (2009 - 2021). See details.
   Cites by year: 74
   Journals where Michele Modugno has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 19 (2.08 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmo711
   Updated: 2024-01-16    RAS profile: 2023-10-11    
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Relations with other researchers


Works with:

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

Is cited by:

Giannone, Domenico (39)

Caruso, Alberto (23)

Petrella, Ivan (22)

Marcellino, Massimiliano (20)

Chernis, Tony (19)

Ferrara, Laurent (18)

Luciani, Matteo (18)

Galvão, Ana (16)

Cimadomo, Jacopo (15)

Lenza, Michele (14)

Miranda-Agrippino, Silvia (14)

Cites to:

Giannone, Domenico (91)

Reichlin, Lucrezia (86)

Banbura, Marta (23)

Swanson, Eric (20)

Forni, Mario (16)

Lippi, Marco (16)

Bauer, Michael (14)

Lenza, Michele (12)

Marcellino, Massimiliano (11)

Hallin, Marc (10)

Fleming, Michael (10)

Main data


Where Michele Modugno has published?


Journals with more than one article published# docs
International Journal of Forecasting3
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)11
Working Paper Series / European Central Bank6
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)4
Working Papers ECARES / ULB -- Universite Libre de Bruxelles4
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Michele Modugno (2024 and 2023)


YearTitle of citing document
2023Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887.

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2023Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000.

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2023Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556.

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2023Should Bank Stress Tests Be Fair?. (2022). Li, Mike ; Glasserman, Paul. In: Papers. RePEc:arx:papers:2207.13319.

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2023Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2023Multidimensional dynamic factor models. (2023). Pellegrino, Filippo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2301.12499.

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2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

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2023Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2023sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings. (2023). Gibberd, Alex ; Chan, Tak-Shing ; Mosley, Luke. In: Papers. RePEc:arx:papers:2303.14125.

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2023Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256.

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2023Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2023From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Klieber, Karin ; Frenette, Mikael ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2311.16333.

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2023.

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2023Monitoring Financial Conditions and Downside Risk to Economic Activity in Australia. (2023). Hartigan, Luke ; Wright, Michelle. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:325:p:253-287.

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2023.

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2023Yield curve sensitivity to investor positioning around economic shocks. (2023). Stoja, Evarist ; Saha, Shreyosi ; Kinston, Rafael ; Boneva, Leva ; Altmeyer, Patrick. In: Bank of England working papers. RePEc:boe:boeewp:1029.

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2023Firm Expectations and News: Micro v Macro. (2023). Müller, Gernot ; Menkhoff, Manuel ; Enders, Zeno ; Niemann, Knut ; Muller, Gernot J ; Born, Benjamin. In: ifo Working Paper Series. RePEc:ces:ifowps:_400.

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2023Where is the Inflation? The Diverging Patterns of Prices of Goods and Services. (2023). Wlasiuk, Juan M ; Carlomagno, Guillermo ; Bajraj, Gent. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:969.

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2023Nowcasting employment in the euro area. (2023). Toth, Mate Barnabas ; Bodnar, Katalin ; Belousova, Irina ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20232815.

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2023GDP revisions are not cool: the impact of statistical agencies’ trade-o?. (2023). Paredes, Joan ; Asimakopoulos, Stylianos ; Garcia, Jose Salvado ; Lalik, Magdalena. In: Working Paper Series. RePEc:ecb:ecbwps:20232857.

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2023US monetary policy spillovers to European banks. (2023). Jung, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20232876.

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2023Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000160.

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2023Nowcasting the output gap. (2023). Wong, Benjamin ; Morley, James ; Berger, Tino. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:18-34.

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2023Factor-based imputation of missing values and covariances in panel data of large dimensions. (2023). Bai, Jushan ; Ng, Serena ; Cahan, Ercument. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:113-131.

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2023Large dimensional latent factor modeling with missing observations and applications to causal inference. (2023). Pelger, Markus ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:271-301.

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2023Comparing stochastic volatility specifications for large Bayesian VARs. (2023). Chan, Joshua. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446.

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2023High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research. (2023). Anderson, Brian ; Deistler, Manfred ; Lippi, Marco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:3-16.

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2023Risk substitution in cryptocurrencies: Evidence from BRICS announcements. (2023). Pisera, Stefano ; Paltrinieri, Andrea ; Dreassi, Alberto ; Chiaramonte, Laura ; Alon, Ilan ; Goodell, John W. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000553.

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2023Monetary policy uncertainty and corporate cash holdings: Evidence from China. (2023). Wang, Xingjian ; Han, Haozhe. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000384.

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2023Weekly economic activity: Measurement and informational content. (2023). Guggia, Valentino ; Glocker, Christian ; Wegmuller, Philipp. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:228-243.

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2023Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence. (2023). Verbeken, Brecht ; Boudt, Kris ; Borms, Samuel ; Algaba, Andres. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:266-278.

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2023Nowcasting German GDP: Foreign factors, financial markets, and model averaging. (2023). Senftleben-Konig, Charlotte ; Reichlin, Lucrezia ; Hasenzagl, Thomas ; Andreini, Paolo ; Strohsal, Till. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:298-313.

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2023Does the Phillips curve help to forecast euro area inflation?. (2023). Bobeica, Elena ; Babura, Marta. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:364-390.

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2023Nowcasting food inflation with a massive amount of online prices. (2023). Szafranek, Karol ; Stelmasiak, Damian ; Macias, Pawe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:809-826.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model. (2023). Bhattacharjee, Arnab ; Kohns, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1384-1412.

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2023Nowcasting GDP with a pool of factor models and a fast estimation algorithm. (2023). Schroder, Maximilian ; Eraslan, Sercan. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1460-1476.

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2023News indices on country fundamentals. (2023). Kocsis, Zalan ; Fulop, Andras. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001565.

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2023Monetary policy uncertainty, monetary policy surprises and stock returns. (2023). Bask, Mikael ; Sekandary, Ghezal. In: Journal of Economics and Business. RePEc:eee:jebusi:v:124:y:2023:i:c:s0148619522000625.

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2023Global financial cycles since 1880. (2023). Wolters, Maik ; Potjagailo, Galina. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560623000025.

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2023Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models. (2023). Gaglianone, Wagner ; Araujo, Gustavo Silva. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000042.

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2023Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies. (2023). Yunus, Nafeesa. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:211-232.

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2023Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting. (2023). Wu, Ping ; Poon, Aubrey ; Mitchell, James ; McIntyre, Stuart ; Koop, Gary. In: Working Papers. RePEc:fip:fedcwq:96086.

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2023Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model. (2023). Zhong, Molin ; Khazanov, Alexey ; Guerron-Quintana, Pablo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-27.

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2023The US, Economic News, and the Global Financial Cycle. (2023). Kroner, Niklas ; Boehm, Christoph E. In: International Finance Discussion Papers. RePEc:fip:fedgif:1371.

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2023Nowcasting Economic Activity Using Electricity Market Data: The Case of Lithuania. (2023). Grybauskas, Andrius ; Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina ; Lukauskas, Mantas. In: Economies. RePEc:gam:jecomi:v:11:y:2023:i:5:p:134-:d:1137785.

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2023.

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2023Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world. (2023). Ma, Feng ; Toan, Luu Duc ; Hong, Yanran ; Liang, Chao. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:4:d:10.1007_s11156-023-01140-9.

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2023Empirical DSGE model evaluation with interest rate expectations measures and preferences over safe assets. (2023). Rannenberg, Ansgar ; Lejeune, Thomas ; de Walque, Grégory. In: Working Paper Research. RePEc:nbb:reswpp:202302-433.

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2023Evaluating the Importance of Monetary Policy Uncertainty: The Long- and Short-Term Effects and Responses. (2023). Wang, Jikai ; Feng, Kai ; Hong, Yanran ; Hu, Yang. In: Evaluation Review. RePEc:sae:evarev:v:47:y:2023:i:2:p:264-286.

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2023Measuring tourism demand nowcasting performance using a monotonicity test. (2023). Liu, Ying ; Song, Haiyan ; Wang, Yongjing. In: Tourism Economics. RePEc:sae:toueco:v:29:y:2023:i:5:p:1302-1327.

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2023Nowcasting Japan’s GDP. (2023). Tachi, Yuta ; Hayashi, Fumio. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02301-w.

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2023Dissecting Brazilian agriculture business cycles in high-dimensional and time-irregular span contexts. (2023). Castro, Nicole Renno ; Maranho, Andre Nunes. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:4:d:10.1007_s00181-023-02391-0.

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2023Global and local components of output gaps. (2023). Muhlebach, Nina ; Eckert, Florian. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:5:d:10.1007_s00181-023-02419-5.

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2023Nowcasting Turkish Food Inflation Using Daily Online Prices. (2023). Yazgan, Ege M ; Soybilgen, Bari ; Kaya, Huseyin. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:19:y:2023:i:2:d:10.1007_s41549-023-00084-2.

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2023The Usefulness of High-Frequency Alternative Data to Obtain Nowcasts for Japan’s GDP: Evidence from Credit Card Data. (2023). Urasawa, Satoshi. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:19:y:2023:i:2:d:10.1007_s41549-023-00085-1.

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2023Sparse Warcasting. (2023). Constantinescu, Mihnea. In: Working Papers. RePEc:ukb:wpaper:01/2023.

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2023Global financial uncertainty. (2023). Castelnuovo, Efrem ; Caggiano, Giovanni. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:3:p:432-449.

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2023Nowcasting from cross?sectionally dependent panels. (2023). Nandi, Shaoni ; Fosten, Jack. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:6:p:898-919.

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2023Asset allocation with recursive parameter updating and macroeconomic regime identifiers. (2023). Meinerding, Christoph ; Goodarzi, Milad. In: Discussion Papers. RePEc:zbw:bubdps:062023.

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2023Firm expectations and news: Micro v macro. (2023). Enders, Zeno ; Niemann, Knut ; Muller, Gernot J ; Menkhoff, Manuel ; Born, Benjamin. In: Working Papers. RePEc:zbw:pp1859:43.

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Works by Michele Modugno:


YearTitleTypeCited
2010An Area-Wide Real-Time Database for the Euro Area In: CEPR Discussion Papers.
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paper88
2010An Area Wide Real Time Data Base for the Euro Area.(2010) In: Working Papers ECARES.
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This paper has nother version. Agregated cites: 88
paper
2010An area-wide real-time database for the euro area.(2010) In: Working Paper Series.
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This paper has nother version. Agregated cites: 88
paper
2012An Area-Wide Real-Time Database for the Euro Area.(2012) In: The Review of Economics and Statistics.
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This paper has nother version. Agregated cites: 88
article
2012Now-casting and the real-time data flow In: CEPR Discussion Papers.
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paper243
2012Now-Casting and the Real-Time Data Flow.(2012) In: Working Papers ECARES.
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This paper has nother version. Agregated cites: 243
paper
2013Now-casting and the real-time data flow.(2013) In: Working Paper Series.
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This paper has nother version. Agregated cites: 243
paper
2013Now-Casting and the Real-Time Data Flow.(2013) In: Handbook of Economic Forecasting.
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This paper has nother version. Agregated cites: 243
chapter
2013Unspanned Macroeconomic Factors in the Yields Curve In: Working Papers ECARES.
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paper52
2014Unspanned macroeconomic factors in the yield curve.(2014) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 52
paper
2016Unspanned Macroeconomic Factors in the Yield Curve.(2016) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 52
article
2014Low Frequency Effects of Macroeconomic News on Government Bond Yields In: Working Papers ECARES.
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paper41
2017Low frequency effects of macroeconomic news on government bond yields.(2017) In: Journal of Monetary Economics.
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article
2014Low Frequency Effects of Macroeconomic News on Government Bond Yields.(2014) In: Finance and Economics Discussion Series.
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paper
2014Low Frequency Effects of Macroeconomic News on Government Bond Yields.(2014) In: CSEF Working Papers.
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2009The forecasting power of internal yield curve linkages In: Working Paper Series.
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paper9
2010Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data In: Working Paper Series.
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paper257
2014MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PATTERN OF MISSING DATA.(2014) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 257
article
2011Nowcasting inflation using high frequency data In: Working Paper Series.
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paper44
2013Now-casting inflation using high frequency data.(2013) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 44
article
2016A global trade model for the euro area In: Working Paper Series.
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paper8
2015A Global Trade Model for the Euro Area.(2015) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 8
paper
2017A Global Trade Model for the Euro Area.(2017) In: International Journal of Central Banking.
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This paper has nother version. Agregated cites: 8
article
2016Nowcasting Turkish GDP and news decomposition In: International Journal of Forecasting.
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article21
2016Nowcasting Turkish GDP and News Decomposition.(2016) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 21
paper
2017A now-casting model for Canada: Do U.S. variables matter? In: International Journal of Forecasting.
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article16
2016A Nowcasting Model for Canada: Do U.S. Variables Matter?.(2016) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 16
paper
2021Monetary policy uncertainty and monetary policy surprises In: Journal of International Money and Finance.
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article15
2020Monetary Policy Uncertainty and Monetary Policy Surprises.(2020) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 15
paper
2021Reprint: Monetary policy uncertainty and monetary policy surprises In: Journal of International Money and Finance.
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article11
2016Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models In: Advances in Econometrics.
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chapter21
2015Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models.(2015) In: Finance and Economics Discussion Series.
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2014The Importance of Updating: Evidence from a Brazilian Nowcasting Model In: Finance and Economics Discussion Series.
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2015The importance of updating: Evidence from a Brazilian nowcasting model.(2015) In: OECD Journal: Journal of Business Cycle Measurement and Analysis.
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2016Financial Vulnerabilities, Macroeconomic Dynamics, and Monetary Policy In: Finance and Economics Discussion Series.
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2020Sowing the Seeds of Financial Imbalances: The Role of Macroeconomic Performance In: Finance and Economics Discussion Series.
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2021The Information Content of Stress Test Announcements In: Finance and Economics Discussion Series.
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2018Monetary Policy Surprises and Monetary Policy Uncertainty In: FEDS Notes.
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paper9
2018The Relationship between Macroeconomic Overheating and Financial Vulnerability : A Narrative Investigation In: FEDS Notes.
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2018The Relationship between Macroeconomic Overheating and Financial Vulnerability : A Quantitative Exploration In: FEDS Notes.
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2020Macroeconomic News and Stock Prices Over the FOMC Cycle In: FEDS Notes.
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2021Back to the Present: Learning about the Euro Area through a Now-casting Model In: International Finance Discussion Papers.
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2012Nowcasting with Daily Data In: 2012 Meeting Papers.
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2011Essays on real-time econometrics and forecasting In: ULB Institutional Repository.
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