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
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Working Papers
2016
- The response of asset prices to monetary policy shocks: stronger than thought
Working Paper Series, European Central Bank View citations (5)
2015
- 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 (21)
2014
- 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 (40)
See also Journal Article in Journal of Business & Economic Statistics (2014)
- Identifying excessive credit growth and leverage
Working Paper Series, European Central Bank View citations (27)
2009
- '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 (101)
- A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (11)
- Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
Working Paper Series, European Central Bank View citations (11)
- Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
- 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
- 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)
- A robust criterion for determining the number of static factors in approximate factor models
Working Paper Series, European Central Bank View citations (14)
Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) View citations (3)
- 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
- 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)
- 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
- 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)
- 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)
- 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
- 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 (46)
See also Working Paper (2014)
- On policymakers’ loss functions and the evaluation of early warning systems: Comment
Economics Letters, 2014, 124, (3), 338-340 View citations (6)
- Rejoinder
Journal of Business & Economic Statistics, 2014, 32, (4), 514-515
2013
- The common component of firm growth
Structural Change and Economic Dynamics, 2013, 26, (C), 73-82 View citations (3)
2012
- The distribution of household consumption-expenditure budget shares
Structural Change and Economic Dynamics, 2012, 23, (1), 69-91 
See also Working Paper (2009)
2011
- Non‐Fundamentalness in Structural Econometric Models: A Review
International Statistical Review, 2011, 79, (1), 16-47 View citations (32)
- 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 (202)
2010
- Improved penalization for determining the number of factors in approximate factor models
Statistics & Probability Letters, 2010, 80, (23-24), 1806-1813 View citations (134)
- On the distributional properties of household consumption expenditures: the case of Italy
Empirical Economics, 2010, 38, (3), 717-741 View citations (11)
See also Working Paper (2007)
2009
- Global liquidity as an early warning indicator for asset price boom/bust cycles
Research Bulletin, 2009, 8, 7-9 View citations (1)
- 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 (2)
See also Working Paper (2007)
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