Details about Lucia Alessi

Access statistics for papers by Lucia Alessi.

Last updated 2017-07-10. Update your information in the RePEc Author Service.

Short-id: pal837

Working Papers

2016

1. The response of asset prices to monetary policy shocks: stronger than thought
   Working Paper Series, European Central Bank View citations (4)

2015

2. 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 View citations (11)

2014

3. 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 View citations (26)
   See also Journal Article in Journal of Business & Economic Statistics (2014)
4. Identifying excessive credit growth and leverage
   Working Paper Series, European Central Bank View citations (23)
5. Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options
   ESRB Occasional Paper Series, European Systemic Risk Board View citations (43)

2009

6. 'Real time'early warning indicators for costly asset price boom/bust cycles: a role for global liquidity
   Working Paper Series, European Central Bank View citations (97)
7. A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (11)
8. Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
   Working Paper Series, European Central Bank View citations (8)
9. Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
10. The distribution of households consumption-expenditure budget shares
    Working Paper Series, European Central Bank View citations (2)
    See also Journal Article in Structural Change and Economic Dynamics (2012)

2008

11. A review of nonfundamentalness and identification in structural VAR models
    Working Paper Series, European Central Bank View citations (1)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) View citations (10)
12. A robust criterion for determining the number of static factors in approximate factor models
    Working Paper Series, European Central Bank View citations (13)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) View citations (3)
13. The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy
    Also in Papers on Economics and Evolution, Philipps University Marburg, Department of Geography (2008)

2007

14. 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
    See also Journal Article in Advances in Complex Systems (ACS) (2009)
15. 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 View citations (4)
    See also Journal Article in Empirical Economics (2010)

2006

16. 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 View citations (3)
17. 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 View citations (10)
18. 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 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 View citations (30)
   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 View citations (2)
3. Rejoinder
   Journal of Business & Economic Statistics, 2014, 32, (4), 514-515

2013

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

2012

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

2011

6. Non‐Fundamentalness in Structural Econometric Models: A Review
   International Statistical Review, 2011, 79, (1), 16-47 View citations (28)
7. 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 View citations (157)

2010

8. Improved penalization for determining the number of factors in approximate factor models
   Statistics & Probability Letters, 2010, 80, (23-24), 1806-1813 View citations (109)
9. On the distributional properties of household consumption expenditures: the case of Italy
   Empirical Economics, 2010, 38, (3), 717-741 View citations (5)
   See also Working Paper (2007)

2009

10. Global liquidity as an early warning indicator for asset price boom/bust cycles
    Research Bulletin, 2009, 8, 7-9 View citations (1)
11. ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS
    Advances in Complex Systems (ACS), 2009, 12, (02), 157-167 View citations (1)
    See also Working Paper (2007)