Details about Marco Jacopo Lombardi

Access statistics for papers by Marco Jacopo Lombardi.

Last updated 2013-05-05. Update your information in the RePEc Author Service.

Short-id: plo54

Working Papers

2012

1. Monetary policy and the oil futures market
   Discussion Papers, Deutsche Bundesbank, Research Centre
2. Oil price density forecasts: Exploring the linkages with stock markets
   Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
   Also in Working Paper, Norges Bank (2012) View citations (1)
3. Short-Term Forecasting of the Japanese Economy Using Factor Models
   Working Papers, Bank of Canada
   Also in Working Paper Series, European Central Bank (2012)
4. The impact of monetary policy shocks on commodity prices
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (6)
   Also in Working Paper Series, European Central Bank (2010) View citations (10)

2011

5. Bayesian prior elicitation in DSGE models: macro- vs micro-priors
   Working Paper Series, European Central Bank View citations (1)
   See also Journal Article in Journal of Economic Dynamics and Control (2012)
6. Do Financial Investors Destabilize the Oil Price?
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration View citations (8)
   Also in Working Paper Series, European Central Bank (2011) View citations (8)
7. Forecasting economic growth in the euro area during the great moderation and the great recession
   Working Paper Series, European Central Bank View citations (1)

2010

8. Energy markets and the euro area macroeconomy
   Occasional Paper Series, European Central Bank View citations (1)
9. Global commodity cycles and linkages a FAVAR approach
   Working Paper Series, European Central Bank View citations (5)
   See also Journal Article in Empirical Economics (2012)
10. ‘Lean’ versus ‘Rich’ Data Sets: Forecasting during the Great Moderation and the Great Recession
    Working Papers, Bank of Canada

2009

11. External shocks and international inflation linkages - a Global VAR analysis
    Working Paper Series, European Central Bank View citations (6)
12. Indirect inference of elliptical fat tailed distributions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
13. The Role of Financial Variables in Predicting Economic Activity
    Working Paper Series, European Central Bank View citations (5)
    See also Journal Article in Journal of Forecasting (2012)
14. The Role of Financial Variables in Predicting Economic Activity in the Euro Area
    IMF Working Papers, International Monetary Fund

2007

15. (Un)naturally Low? Sequential Monte Carlo Tracking of the US Natural Interest Rate
    DNB Working Papers, Netherlands Central Bank, Research Department
    Also in Working Paper Series, European Central Bank (2007) View citations (3)
16. Indirect estimation of elliptical stable distributions
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2009)

2006

17. (Un)naturally low?
    Computing in Economics and Finance 2006, Society for Computational Economics
18. Indirect estimation of alpha-stable stochastic volatility models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2009)

2005

19. The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti"
    See also Journal Article in Journal of Applied Econometrics (2008)

2004

20. Bayesian inference for alpha-stable distributions: a random walk MCMC approach
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2007)
21. Indirect estimation of alpha-stable distributions and processes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (3)
22. On-line Bayesian estimation of AR signals in symmetric alpha-stable noise
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (3)

2002

23. Analytic Hessian Matrices and the Computation of FIGARCH Estimates
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (1)
24. GARCH-based Volatility Forecasts for Market Volatility Indices
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (3)

Undated

25. Key elements of global inflation
    Discussion Papers, University of Nottingham, GEP
    See also Chapter (2010)

Journal Articles

2012

1. Bayesian prior elicitation in DSGE models: Macro- vs micropriors
   Journal of Economic Dynamics and Control, 2012, 36, (2), 294-313 View citations (1)
   See also Working Paper (2011)
2. Global commodity cycles and linkages: a FAVAR approach
   Empirical Economics, 2012, 43, (2), 651-670
   See also Working Paper (2010)
3. The Role of Financial Variables in predicting economic activity
   Journal of Forecasting, 2012, 31, (1), 15-46
   See also Working Paper (2009)

2009

4. Indirect estimation of [alpha]-stable stochastic volatility models
   Computational Statistics & Data Analysis, 2009, 53, (6), 2298-2308 View citations (1)
   See also Working Paper (2006)
5. Indirect estimation of elliptical stable distributions
   Computational Statistics & Data Analysis, 2009, 53, (6), 2309-2324
   See also Working Paper (2007)

2008

6. Indirect Estimation of α-Stable Distributions and Processes
   Econometrics Journal, 2008, 11, (1), 193-208 View citations (1)
7. The effect of seasonal adjustment on the properties of business cycle regimes
   Journal of Applied Econometrics, 2008, 23, (2), 257-278
   See also Working Paper (2005)

2007

8. Bayesian inference for [alpha]-stable distributions: A random walk MCMC approach
   Computational Statistics & Data Analysis, 2007, 51, (5), 2688-2700 View citations (4)
   See also Working Paper (2004)

Chapters

2010

1. Key Elements of Global Inflation
   A chapter in Inflation in an Era of Relative Price Shocks, 2010 View citations (1)
   See also Working Paper