Details about Marco Jacopo Lombardi

Access statistics for papers by Marco Jacopo Lombardi.

Last updated 2009-11-06. Update your information in the RePEc Author Service.

Short-id: plo54

Working Papers

2009

1. External shocks and international inflation linkages - a Global VAR analysis
   Working Paper Series, European Central Bank

2007

2. (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. Indirect estimation of elliptical stable distributions
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
   See also Journal Article in Computational Statistics & Data Analysis (2009)

2006

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

2005

6. 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

7. 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
   See also Journal Article in Computational Statistics & Data Analysis (2007)
8. Indirect estimation of alpha-stable distributions and processes
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations
   See also Journal Article in Econometrics Journal (2008)
9. 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

2002

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

Journal Articles

2009

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

2008

3. Indirect Estimation of α-Stable Distributions and Processes
   Econometrics Journal, 2008, 11, (1), 193-208
   See also Working Paper (2004)
4. 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

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