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

877

Citations

RESEARCH PRODUCTION:

11

Articles

31

Papers

2

Chapters

RESEARCH ACTIVITY:

   12 years (2009 - 2021). See details.
   Cites by year: 73
   Journals where Michele Modugno has often published
   Relations with other researchers
   Recent citing documents: 98.    Total self citations: 19 (2.12 %)

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   Permalink: http://citec.repec.org/pmo711
   Updated: 2023-11-04    RAS profile: 2023-06-08    
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Relations with other researchers

Works with:

Lee, Seung Jung (3)

Afanasyeva, Elena (3)

Palomino, Francisco (2)

Wu, Jason (2)

Favara, Giovanni (2)

De Pooter, Michiel (2)

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)

Miranda-Agrippino, Silvia (14)

Lenza, Michele (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)

Fleming, Michael (10)

Adrian, Tobias (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 (2023 and 2022)

YearTitle of citing document
2022Stock Market Responses to Monetary Policy Shocks: Universal Firm-Level Evidence. (2022). Kaplan, Spagnolo Nicola ; Peren, Arin Kerim. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4571.

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2022Quasi 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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2022Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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

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2022Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938.

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2022Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions. (2021). Ng, Serena ; Bai, Jushan ; Cahan, Ercument. In: Papers. RePEc:arx:papers:2103.03045.

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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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2022Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310.

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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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2022Macroeconomic Predictions using Payments Data and Machine Learning. (2022). Desai, Ajit ; James, . In: Papers. RePEc:arx:papers:2209.00948.

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2022Unit Averaging for Heterogeneous Panels. (2022). Morozov, Vladislav ; Brownlees, Christian. In: Papers. RePEc:arx:papers:2210.14205.

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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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2022Real Exchange Rate Decompositions. (2022). Fontaine, Jean-Sebastien ; Feunou, Bruno ; Krohn, Ingomar. In: Discussion Papers. RePEc:bca:bocadp:22-6.

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2022Macroeconomic Predictions Using Payments Data and Machine Learning. (2022). Desai, Ajit ; Chapman, James. In: Staff Working Papers. RePEc:bca:bocawp:22-10.

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2022Nowcasting Brazilian GDP with Electronic Payments Data. (2022). Cesar, Raquel Nadal. In: Working Papers Series. RePEc:bcb:wpaper:564.

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2022.

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2022A Real-Time Historical Database of Macroeconomic Indicators for Russia. (2022). Sterkhova (Zhivaykina), Aleksandra ; Seleznev, Sergei ; Ponomarenko, Alexey ; Gornostaev, Dmitry. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:1:p:88-103.

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2022Proyecciones macroeconómicas con datos en frecuencias mixtas. Modelos ADL-MIDAS, U-MIDAS y TF-MIDAS con aplicaciones para Uruguay. (2022). Alvarez, Santiago Etchegaray. In: Documentos de trabajo. RePEc:bku:doctra:2022004.

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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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2022Output fluctuations and portfolio flows to emerging economies: The role of monetary uncertainty. (2022). Ba, Nguyen. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:3:p:285-295.

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2022Seismonomics: Listening to the heartbeat of the economy. (2022). Tiozzo Pezzoli, Luca ; Tosetti, Elisa. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:s2:p:s288-s309.

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2022Forecasting UK inflation bottom up. (2021). Potjagailo, Galina ; Kapetanios, George ; Kalamara, Eleni ; Joseph, Andreas. In: Bank of England working papers. RePEc:boe:boeewp:0915.

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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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2022Firm Expectations and News: Micro v Macro. (2022). Enders, Zeno ; Muller, Gernot ; Niemann, Knut ; Menkhoff, Manuel ; Born, Benjamin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10192.

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2022Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9839.

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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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2022Nowcasting Macroeconomic Variables Using High-Frequency Fiscal Data. (2022). Ambrisko, Robert . In: Working Papers. RePEc:cnb:wpaper:2022/5.

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2022One scheme fits all: a central fiscal capacity for the EMU targeting eurozone, national and regional shocks. (2022). van Spronsen, Josha ; Cimadomo, Jacopo ; Beetsma, Roel. In: Working Paper Series. RePEc:ecb:ecbwps:20222666.

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2022How well-behaved are revisions to quarterly fiscal data in the euro area?. (2022). Schall, Robert ; Faria, Thomas ; Bakowski, Krzysztof. In: Working Paper Series. RePEc:ecb:ecbwps:20222676.

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2022The certification role of the EU-wide stress testing exercises in the stock market. What can we learn from the stress tests (2014-2021)?. (2022). Marques, Aurea ; Ongena, Steven ; Durrani, Agha. In: Working Paper Series. RePEc:ecb:ecbwps:20222711.

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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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2022Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach. (2022). Wichitaksorn, Nuttanan. In: Journal of Asian Economics. RePEc:eee:asieco:v:78:y:2022:i:c:s1049007821001494.

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2022A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x.

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2022Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility. (2022). Yu, Xuewen ; Chan, Joshua. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002093.

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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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2022Nowcasting with large Bayesian vector autoregressions. (2022). Monti, Francesca ; Lenza, Michele ; Giannone, Domenico ; Cimadomo, Jacopo ; Sokol, Andrej. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:500-519.

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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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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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2022Early warning systems using dynamic factor models: An application to Asian economies. (2022). Villafuerte, James ; Truck, Stefan ; Sheen, Jeffrey ; Truong, Chi. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921000450.

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2022Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. (2022). Roestel, Jan ; Herwartz, Helmut. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000531.

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2022Boosting tax revenues with mixed-frequency data in the aftermath of COVID-19: The case of New York. (2022). Lahiri, Kajal ; Yang, Cheng. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:2:p:545-566.

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2022Nowcasting unemployment insurance claims in the time of COVID-19. (2022). Sinclair, Tara ; Larson, William D. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:2:p:635-647.

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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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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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2022What moves treasury yields?. (2022). Soofi-Siavash, Soroosh ; Moench, Emanuel. In: Journal of Financial Economics. RePEc:eee:jfinec:v:146:y:2022:i:3:p:1016-1043.

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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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2022Advance Layoff Notices and Labor Market Forecasting. (2020). Lunsford, Kurt ; Krolikowski, Pawel . In: Working Papers. RePEc:fip:fedcwq:87416.

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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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2022Nowcasting real GDP in Tunisia using large datasets and mixed-frequency models. (2022). Benlallouna, Brahim Mehdi ; ben Rhomdhane, Hagher. In: IHEID Working Papers. RePEc:gii:giihei:heidwp02-2022.

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2022Using National Payment System Data to Nowcast Economic Activity in Azerbaijan. (2022). Valirzayev, Hikmat ; Ramazanova, Nazrin ; Huseynov, Ilkin. In: IHEID Working Papers. RePEc:gii:giihei:heidwp23-2022.

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2022Central Bank Information Effects in Japan : The Role of Uncertainty Channel. (2022). Ono, Taiki ; Morita, Hiroshi ; Matsumoto, Ryo . In: Discussion paper series. RePEc:hit:hiasdp:hias-e-126.

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2022A Bootstrap Method to Test Granger-Causality in the Frequency Domain. (2022). Montanari, Angela ; Farne, Matteo. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10112-x.

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2022Nowcasting and monitoring SDG 8. (2022). Url, Thomas ; Bilek-Steindl, Sandra. In: Empirica. RePEc:kap:empiri:v:49:y:2022:i:2:d:10.1007_s10663-022-09533-0.

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2022Nowcasting Real GDP for Saudi Arabia1*. (2022). Barnett, William ; Alkhareif, Ryadh M. In: Open Economies Review. RePEc:kap:openec:v:33:y:2022:i:2:d:10.1007_s11079-021-09634-6.

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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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2022Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data. (2022). Labonne, Paul. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2022-23.

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2022Uncertainty Before and During COVID-19: A Survey. (2022). Castelnuovo, Efrem. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0279.

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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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2022Measuring uncertainty: A streamlined application for the Ecuadorian economy. (2022). González-Astudillo, Manuel ; Salcedo, Juan Jose ; Gonzalez-Astudillo, Manuel ; Avellan, Guillermo. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:4:d:10.1007_s00181-021-02069-5.

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2022Macroeconometric forecasting using a cluster of dynamic factor models. (2022). Glocker, Christian ; Kaniovski, Serguei. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:1:d:10.1007_s00181-021-02129-w.

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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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2022The impact of macroeconomic factors on food price inflation: an evidence from India. (2022). Goyari, Phanindra ; Ummalla, Mallesh ; Samal, Asharani. In: Future Business Journal. RePEc:spr:futbus:v:8:y:2022:i:1:d:10.1186_s43093-022-00127-7.

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2022A framework for now-casting and forecasting in augmented asset management. (2022). Kumari, Jaya ; Karim, Ramin ; Thaduri, Adithya ; Dersin, Pierre. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:13:y:2022:i:5:d:10.1007_s13198-022-01721-2.

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2022Dynamic factor models: Does the specification matter?. (2022). Miranda, Karen ; Ruiz, Esther ; Poncela, Pilar. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:13:y:2022:i:1:d:10.1007_s13209-021-00248-2.

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2022Do output gap estimates improve inflation forecasts in Slovakia?. (2022). Ostapenko, Nataliia. In: Working and Discussion Papers. RePEc:svk:wpaper:1088.

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

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2022Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions. (2022). Miranda-Agrippino, Silvia ; Mirandaagrippino, Silvia ; Galvo, Ana Beatriz ; Anesti, Nikoleta. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:1:p:42-62.

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2022Common factors of commodity prices. (2022). Giannone, Domenico ; Ferrara, Laurent ; delle Chiaie, Simona. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:3:p:461-476.

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2022Measuring real activity using a weekly economic index. (2022). Trivedi, Mihir ; Stock, James H ; Mertens, Karel ; Lewis, Daniel J. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:4:p:667-687.

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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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2022Forecasting Interest Rates with Shifting Endpoints: The Role of the Demographic Age Structure. (2022). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: Working Papers. RePEc:wyi:wpaper:002606.

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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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2022What moves markets?. (2022). Schmeling, Maik ; Kerssenfischer, Mark. In: Discussion Papers. RePEc:zbw:bubdps:162022.

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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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2010An Area Wide Real Time Data Base for the Euro Area.(2010) In: Working Papers ECARES.
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2010An area-wide real-time database for the euro area.(2010) In: Working Paper Series.
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2012An Area-Wide Real-Time Database for the Euro Area.(2012) In: The Review of Economics and Statistics.
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2012Now-casting and the real-time data flow In: CEPR Discussion Papers.
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2012Now-Casting and the Real-Time Data Flow.(2012) In: Working Papers ECARES.
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2013Now-casting and the real-time data flow.(2013) In: Working Paper Series.
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2013Now-Casting and the Real-Time Data Flow.(2013) In: Handbook of Economic Forecasting.
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2013Unspanned Macroeconomic Factors in the Yields Curve In: Working Papers ECARES.
[Full Text][Citation analysis]		paper51
2014Unspanned macroeconomic factors in the yield curve.(2014) In: Finance and Economics Discussion Series.
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2016Unspanned Macroeconomic Factors in the Yield Curve.(2016) In: Journal of Business & Economic Statistics.
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2014Low Frequency Effects of Macroeconomic News on Government Bond Yields In: Working Papers ECARES.
[Full Text][Citation analysis]		paper40
2017Low frequency effects of macroeconomic news on government bond yields.(2017) In: Journal of Monetary Economics.
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2014Low Frequency Effects of Macroeconomic News on Government Bond Yields.(2014) In: Finance and Economics Discussion Series.
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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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2010Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data In: Working Paper Series.
[Full Text][Citation analysis]		paper255
2014MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PATTERN OF MISSING DATA.(2014) In: Journal of Applied Econometrics.
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2011Nowcasting inflation using high frequency data In: Working Paper Series.
[Full Text][Citation analysis]		paper41
2013Now-casting inflation using high frequency data.(2013) In: International Journal of Forecasting.
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2016A global trade model for the euro area In: Working Paper Series.
[Full Text][Citation analysis]		paper8
2015A Global Trade Model for the Euro Area.(2015) In: Finance and Economics Discussion Series.
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2017A Global Trade Model for the Euro Area.(2017) In: International Journal of Central Banking.
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2016Nowcasting Turkish GDP and news decomposition In: International Journal of Forecasting.
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2016Nowcasting Turkish GDP and News Decomposition.(2016) In: Finance and Economics Discussion Series.
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2017A now-casting model for Canada: Do U.S. variables matter? In: International Journal of Forecasting.
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2016A Nowcasting Model for Canada: Do U.S. Variables Matter?.(2016) In: Finance and Economics Discussion Series.
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2021Monetary policy uncertainty and monetary policy surprises In: Journal of International Money and Finance.
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2020Monetary Policy Uncertainty and Monetary Policy Surprises.(2020) In: Finance and Economics Discussion Series.
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2021Reprint: Monetary policy uncertainty and monetary policy surprises In: Journal of International Money and Finance.
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2016Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models In: Advances in Econometrics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper33
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.
[Full Text][Citation analysis]		paper13
2020Sowing the Seeds of Financial Imbalances: The Role of Macroeconomic Performance In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper2
2021The Information Content of Stress Test Announcements In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper2
2018Monetary Policy Surprises and Monetary Policy Uncertainty In: FEDS Notes.
[Full Text][Citation analysis]		paper9
2018The Relationship between Macroeconomic Overheating and Financial Vulnerability : A Narrative Investigation In: FEDS Notes.
[Full Text][Citation analysis]		paper0
2018The Relationship between Macroeconomic Overheating and Financial Vulnerability : A Quantitative Exploration In: FEDS Notes.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper3
2012Nowcasting with Daily Data In: 2012 Meeting Papers.
[Full Text][Citation analysis]		paper6
2011Essays on real-time econometrics and forecasting In: ULB Institutional Repository.
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