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Details about Lucia Alessi

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Workplace:Joint Research Centre, European Commission, (more information at EDIRC)

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Short-id: pal837


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Working Papers

2016

  1. The response of asset prices to monetary policy shocks: stronger than thought
    Working Paper Series, European Central Bank Downloads View citations (1)

2015

  1. Comparing different early warning systems: Results from a horse race competition among members of the Macro-prudential Research Network
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)

2014

  1. Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences
    Working Paper Series, European Central Bank Downloads View citations (14)
    See also Journal Article in Journal of Business & Economic Statistics (2014)
  2. Identifying excessive credit growth and leverage
    Working Paper Series, European Central Bank Downloads View citations (15)

2009

  1. 'Real time'early warning indicators for costly asset price boom/bust cycles: a role for global liquidity
    Working Paper Series, European Central Bank Downloads View citations (68)
  2. A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (9)
  3. Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
    Working Paper Series, European Central Bank Downloads View citations (8)
  4. Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  5. The distribution of households consumption-expenditure budget shares
    Working Paper Series, European Central Bank Downloads View citations (2)
    See also Journal Article in Structural Change and Economic Dynamics (2012)

2008

  1. The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households
    Papers on Economics and Evolution, Philipps University Marburg, Department of Geography
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2008) Downloads

2007

  1. A Review of Nonfundamentalness and Identification in Structural VAR Models
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads View citations (10)
  2. A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads View citations (3)
  3. On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads
  4. On the distributional properties of household consumption expenditures. The case of Italy
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads View citations (4)
    See also Journal Article in Empirical Economics (2010)

2006

  1. A Dynamic Factor Analysis of Business Cycle on Firm-Level Data
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads View citations (3)
  2. Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads View citations (10)
  3. Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads View citations (4)

Journal Articles

2014

  1. Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences
    Journal of Business & Economic Statistics, 2014, 32, (4), 483-500 Downloads View citations (15)
    See also Working Paper (2014)
  2. On policymakers’ loss functions and the evaluation of early warning systems: Comment
    Economics Letters, 2014, 124, (3), 338-340 Downloads View citations (2)
  3. Rejoinder
    Journal of Business & Economic Statistics, 2014, 32, (4), 514-515 Downloads

2013

  1. The common component of firm growth
    Structural Change and Economic Dynamics, 2013, 26, (C), 73-82 Downloads View citations (3)

2012

  1. The distribution of household consumption-expenditure budget shares
    Structural Change and Economic Dynamics, 2012, 23, (1), 69-91 Downloads
    See also Working Paper (2009)

2011

  1. Non‐Fundamentalness in Structural Econometric Models: A Review
    International Statistical Review, 2011, 79, (1), 16-47 View citations (16)
  2. Quasi real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity
    European Journal of Political Economy, 2011, 27, (3), 520-533 Downloads View citations (119)

2010

  1. Improved penalization for determining the number of factors in approximate factor models
    Statistics & Probability Letters, 2010, 80, (23-24), 1806-1813 Downloads View citations (74)
  2. On the distributional properties of household consumption expenditures: the case of Italy
    Empirical Economics, 2010, 38, (3), 717-741 Downloads View citations (5)
    See also Working Paper (2007)

2009

  1. Global liquidity as an early warning indicator for asset price boom/bust cycles
    Research Bulletin, 2009, 8, 7-9 Downloads View citations (1)
 
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