Davide Delle Monache : Citation Profile

Are you Davide Delle Monache?

Banca d'Italia

9

H index

8

i10 index

203

Citations

RESEARCH PRODUCTION:

9

Articles

27

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2006 - 2024). See details.
   Cites by year: 11
   Journals where Davide Delle Monache has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 10 (4.69 %)

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   Permalink: http://citec.repec.org/pde480
   Updated: 2024-12-03    RAS profile: 2024-07-05    
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Relations with other researchers

Works with:

Petrella, Ivan (11)

Venditti, Fabrizio (5)

Busetti, Fabio (5)

De Polis, Andrea (3)

Pacella, Claudia (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Davide Delle Monache.

Is cited by:

Koopman, Siem Jan (14)

Blasques, Francisco (10)

Ruiz, Esther (10)

Marcellino, Massimiliano (8)

Petrella, Ivan (7)

Poncela, Pilar (6)

Gonzalez-Rivera, Gloria (6)

Rodriguez Caballero, Carlos (6)

Nguyen, Hoang (5)

Rossi, Barbara (5)

Wintenberger, Olivier (5)

Cites to:

Koop, Gary (31)

Giannone, Domenico (28)

Koopman, Siem Jan (25)

Harvey, Andrew (25)

Reichlin, Lucrezia (24)

Korobilis, Dimitris (22)

Sargent, Thomas (21)

Pesaran, Mohammad (19)

Lucas, Andre (17)

Watson, Mark (17)

Cogley, Timothy (17)

Main data

Where Davide Delle Monache has published?

Journals with more than one article published# docs
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area5
Questioni di Economia e Finanza (Occasional Papers) / Bank of Italy, Economic Research and International Relations Area3
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
Working Paper Series / European Central Bank2

Recent works citing Davide Delle Monache (2024 and 2023)

YearTitle of citing document
2023When Inflation Again Matters: Do Domestic and Global Output Gaps Determine Inflation in the EU?. (2023). Sinicakova, Marianna ; Sulikova, Veronika ; Budova, Jana. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:25:y:2023:i:63:p:575.

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2024Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2023Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan. In: Papers. RePEc:arx:papers:2301.13604.

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2024Some considerations on the Phillips curve after the pandemic. (2024). Viviano, Eliana ; lo Bello, Salvatore. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_842_24.

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2023AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2023Risky news and credit market sentiment. (2023). Thorsrud, Leif Anders ; Labonne, Paul. In: Working Papers. RePEc:bny:wpaper:0125.

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2023Labour at risk. (2023). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: Working Paper Series. RePEc:ecb:ecbwps:20232840.

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2023Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834.

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2023Fast estimation of a large TVP-VAR model with score-driven volatilities. (2023). Hong, Yongmiao ; Ye, Shiqi ; Zheng, Tingguo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s0165188923001689.

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2023Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models. (2023). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002719.

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2024Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails. (2024). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003500.

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2024Retire: Robust expectile regression in high dimensions. (2024). Zhou, Wen-Xin ; Wang, Zian ; Tan, Kean Ming ; Man, Rebeka. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001537.

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2023Mixed-frequency Growth-at-Risk with the MIDAS-QR method: Evidence from China. (2023). Jiang, Cuixia ; Xu, Mengnan ; Fu, Weizhong. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:4:s0939362523000651.

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2023Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment. (2023). Fan, Caiyun ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300368x.

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2023Macroeconomic downside risk and the effect of monetary policy. (2023). Wu, Jian ; Deng, Chuang. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001769.

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2023A Bayesian estimation approach of random switching exponential smoothing with application to credit forecast. (2023). Qian, Zhiyong ; Wang, Tong ; Hu, Shulan. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008978.

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2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

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2024A time-varying skewness model for Growth-at-Risk. (2024). Iseringhausen, Martin. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:229-246.

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2024Inflation at risk in advanced and emerging market economies. (2024). Mehrotra, Aaron ; Zampolli, Fabrizio ; Contreras, Juan ; Banerjee, Ryan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000123.

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2024Dynamic connectedness of inflation around the world: A time-varying approach from G7 and E7 countries. (2024). Xiao, Xiyue ; Hong, Yun ; Qu, BO ; Jiang, Yanhui. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:111-125.

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2023Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160.

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2023Impact of Financial Factors on the Economic Cycle Dynamics in Selected European Countries. (2023). Grecu, Robert-Adrian ; Dumitrescu, Bogdan Andrei. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:12:p:492-:d:1284846.

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2024Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk. (2024). Manuel, Ed ; Lloyd, Simon ; Panchev, Konstantin. In: IMF Economic Review. RePEc:pal:imfecr:v:72:y:2024:i:1:d:10.1057_s41308-023-00199-7.

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2023???????? ?? ??????????????? ?????? ? ??????????????? ?????????? ?????????. (2020). Fokin, Nikita ; Tretyakov, Dmitriy. In: MPRA Paper. RePEc:pra:mprapa:109556.

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2023Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051.

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2023TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES. (2023). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd E. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:3:p:979-1022.

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2024Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions. (2024). Huber, Florian ; Pruser, Jan. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:2:p:269-291.

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2024The macroeconomy as a random forest. (2024). Coulombe, Philippe Goulet. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:3:p:401-421.

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2023Forecasting inflation in open economies: What can a NOEM model do?. (2023). Martinezgarcia, Enrique ; Duncan, Roberto. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:3:p:481-513.

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Works by Davide Delle Monache:

YearTitleTypeCited
2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach In: CREATES Research Papers.
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2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach.(2015) In: Studies in Economics.
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This paper has nother version. Agregated cites: 0		paper
2017Does the ARFIMA really shift? In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2016Adaptive models and heavy tails with an application to inflation forecasting In: BCAM Working Papers.
[Full Text][Citation analysis]		paper25
2017Adaptive models and heavy tails with an application to inflation forecasting.(2017) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 25		article
2016Adaptive models and heavy tails with an application to inflation forecasting.(2016) In: MPRA Paper.
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This paper has nother version. Agregated cites: 25		paper
2014Adaptive Models and Heavy Tails In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper12
2016Adaptive models and heavy tails.(2016) In: Temi di discussione (Economic working papers).
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This paper has nother version. Agregated cites: 12		paper
2016Adaptive models and heavy tails.(2016) In: Bank of England working papers.
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This paper has nother version. Agregated cites: 12		paper
2014Adaptive Models and Heavy Tails.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 12		paper
2015Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper10
2016Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation.(2016) In: Advances in Econometrics.
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This paper has nother version. Agregated cites: 10		chapter
2017Real and financial cycles: estimates using unobserved component models for the Italian economy In: Questioni di Economia e Finanza (Occasional Papers).
[Full Text][Citation analysis]		paper11
2019Real and financial cycles: estimates using unobserved component models for the Italian economy.(2019) In: Statistical Methods & Applications.
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This paper has nother version. Agregated cites: 11		article
2018Financial markets effects of ECB unconventional monetary policy announcements In: Questioni di Economia e Finanza (Occasional Papers).
[Full Text][Citation analysis]		paper8
2023Energy price shocks and inflation in the euro area In: Questioni di Economia e Finanza (Occasional Papers).
[Full Text][Citation analysis]		paper4
2019Domestic and global determinants of inflation: evidence from expectile regression In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper8
2021Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*.(2021) In: Oxford Bulletin of Economics and Statistics.
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This paper has nother version. Agregated cites: 8		article
2020The time-varying risk of Italian GDP In: Temi di discussione (Economic working papers).
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2021The time-varying risk of Italian GDP.(2021) In: Economic Modelling.
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This paper has nother version. Agregated cites: 8		article
2020Price dividend ratio and long-run stock returns: a score driven state space model In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper2
2019Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model.(2019) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 2		paper
2020Price dividend ratio and long-run stock returns: a score driven state space model.(2020) In: Working Paper Series.
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2021Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model.(2021) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 2		article
2021Modeling and forecasting macroeconomic downside risk In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper36
2020Modeling and Forecasting Macroeconomic Downside Risk.(2020) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 36		paper
2024Modeling and Forecasting Macroeconomic Downside Risk.(2024) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 36		article
2016Adaptive state space models with applications to the business cycle and financial stress In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper10
2017Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity In: Working Paper Series.
[Full Text][Citation analysis]		paper20
2009Computing the mean square error of unobserved components extracted by misspecified time series models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article9
2019Efficient matrix approach for classical inference in state space models In: Economics Letters.
[Full Text][Citation analysis]		article7
2014Adaptive Models and Heavy Tails In: Working Papers.
[Full Text][Citation analysis]		paper5
2006A structural time series approach to modelling multiple and resurgent meat scares in Italy In: Applied Economics.
[Full Text][Citation analysis]		article10
2016Adaptive Models and Heavy Tails with an Application to Inflation Forecasting In: EMF Research Papers.
[Full Text][Citation analysis]		paper1
2019Efficient Matrix Approach for Classical Inference in State Space Models In: EMF Research Papers.
[Full Text][Citation analysis]		paper8
2019Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model In: EMF Research Papers.
[Full Text][Citation analysis]		paper0
2020Modelling and Forecasting Macroeconomic Downside Risk In: EMF Research Papers.
[Full Text][Citation analysis]		paper9

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team