Details about Gianni Amisano

Access statistics for papers by Gianni Amisano.

Last updated 2024-03-06. Update your information in the RePEc Author Service.

Short-id: pam27

Working Papers

2025

1. Underlying Inflation: An Ensemble Averaging Approach
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)

2019

2. Uncertainty Shocks, Monetary Policy and Long-Term Interest Rates
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
   Also in Working Paper Series, European Central Bank (2019) View citations (5)

2014

3. A money-based indicator for deflation risk
   VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association View citations (1)
   Also in Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics (2014)

2013

4. Money Growth and Inflation: evidence from a Markov Switching Bayesian VAR
   Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics View citations (6)
5. Prediction using several macroeconomic models
   Working Paper Series, European Central Bank View citations (15)
   See also Journal Article Prediction Using Several Macroeconomic Models, The Review of Economics and Statistics, MIT Press (2017) View citations (44) (2017)

2011

6. Analysis of variance for bayesian inference
   Working Paper Series, European Central Bank View citations (1)
   See also Journal Article Analysis of Variance for Bayesian Inference, Econometric Reviews, Taylor & Francis Journals (2014) View citations (14) (2014)
7. Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
   Working Paper Series, European Central Bank View citations (19)
   See also Journal Article Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations, Journal of Economic Dynamics and Control, Elsevier (2011) View citations (20) (2011)

2010

8. A nonlinear DSGE model of the term structure with regime shifts
   2010 Meeting Papers, Society for Economic Dynamics View citations (5)
9. Euro area inflation persistence in an estimated nonlinear dsge model
   Post-Print, HAL View citations (30)
   Also in Working Paper series, Rimini Centre for Economic Analysis (2007) View citations (12)
   Working Paper Series, European Central Bank (2007) View citations (29)
   Working Papers, University of Brescia, Department of Economics (2007) View citations (15)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (12)
   See also Journal Article Euro area inflation persistence in an estimated nonlinear DSGE model, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (36) (2010)
10. Money growth and inflation: a regime switching approach
    Working Paper Series, European Central Bank View citations (15)
    See also Journal Article Money growth and inflation: A regime switching approach, Journal of International Money and Finance, Elsevier (2013) View citations (49) (2013)

2009

11. EMU and the adjustment to asymmetric shocks: the case of Italy
    Working Paper Series, European Central Bank View citations (10)
12. Optimal Prediction Pools
    Working Paper Series, European Central Bank View citations (13)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2008) View citations (4)
    See also Journal Article Optimal prediction pools, Journal of Econometrics, Elsevier (2011) View citations (259) (2011)

2008

13. Building composite leading indexes in a dynamic factor model framework: a new proposal
    LIUC Papers in Economics, Cattaneo University (LIUC)
14. Comparing and evaluating Bayesian predictive distributions of assets returns
    Working Paper Series, European Central Bank View citations (4)
    See also Journal Article Comparing and evaluating Bayesian predictive distributions of asset returns, International Journal of Forecasting, Elsevier (2010) View citations (305) (2010)
15. Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk
    Working Paper Series, European Central Bank View citations (9)
    Also in Working Papers, University of Brescia, Department of Economics (2007) View citations (9)
16. Particle Filters for Markov-Switching Stochastic-Correlation Models
    Working Papers, University of Brescia, Department of Economics View citations (11)

2007

17. Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns
    Working Papers, University of Brescia, Department of Economics View citations (26)
    Also in Working Paper Series, European Central Bank (2007) View citations (33)
    See also Journal Article Hierarchical Markov normal mixture models with applications to financial asset returns, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (76) (2011)

2006

18. Euro area inflation persistence in an estimated nonlinear
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (7)

2005

19. Assessing ECB?s Credibility During the First Years of the Eurosystem: A Bayesian Empirical Investigation
    Working Papers, University of Brescia, Department of Economics View citations (1)
20. Comparing Density Forecsts via Weighted Likelihood Ratio Tests
    Working Papers, University of Brescia, Department of Economics View citations (15)
    See also Journal Article Comparing Density Forecasts via Weighted Likelihood Ratio Tests, Journal of Business & Economic Statistics, American Statistical Association (2007) View citations (442) (2007)
21. Entry in Pharmaceutical submarkets: A Bayesian Panel Probit Approach
    Working Papers, University of Brescia, Department of Economics

2003

22. Unemployment and labour taxation: an econometric analysis
    LIUC Papers in Economics, Cattaneo University (LIUC)
23. Unemployment persistence in Italy. An econometric analysis with multivariate time varying parameter models
    LIUC Papers in Economics, Cattaneo University (LIUC)

2002

24. What goes up sometimes stays up: Shocks and Institutions as Determinants of Unemployment Persistence
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in LIUC Papers in Economics, Cattaneo University (LIUC) (2002) View citations (7)
    See also Journal Article What goes up sometimes stays up: shocks and institutions as determinants of unemployment persistence, Scottish Journal of Political Economy, Scottish Economic Society (2003) View citations (24) (2003)

1994

25. BAYESIAN ANALYSIS OF INTEGRATION AT DIFFERENT FREQUENCIES IN QUARTERLY DATA
    Economic Research Papers, University of Warwick - Department of Economics
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1994)

Undated

26. The Dynamics of Firms' Entry and Diversification: A Bayesian Panel Probit Approach. A Cross-country analysis
    Working Papers, University of Brescia, Department of Economics

Journal Articles

2023

1. Monetary policy and long‐term interest rates
   Quantitative Economics, 2023, 14, (2), 689-716

2017

2. Mutual Funds Dynamics and Economic Predictors
   Journal of Financial Econometrics, 2017, 15, (2), 302-330 View citations (2)
3. Prediction Using Several Macroeconomic Models
   The Review of Economics and Statistics, 2017, 99, (5), 912–925 View citations (44)
   See also Working Paper Prediction using several macroeconomic models, Working Paper Series (2013) View citations (15) (2013)

2014

4. Analysis of Variance for Bayesian Inference
   Econometric Reviews, 2014, 33, (1-4), 270-288 View citations (14)
   See also Working Paper Analysis of variance for bayesian inference, Working Paper Series (2011) View citations (1) (2011)

2013

5. Diversification by entry into a new submarket?
   Applied Economics, 2013, 45, (12), 1507-1518
6. ENTRY INTO PHARMACEUTICAL SUBMARKETS: A BAYESIAN PANEL PROBIT ANALYSIS
   Journal of Applied Econometrics, 2013, 28, (4), 667-701 View citations (10)
7. Money growth and inflation: A regime switching approach
   Journal of International Money and Finance, 2013, 33, (C), 118-145 View citations (49)
   See also Working Paper Money growth and inflation: a regime switching approach, Working Paper Series (2010) View citations (15) (2010)

2012

8. Prediction with Misspecified Models
   American Economic Review, 2012, 102, (3), 482-86 View citations (50)

2011

9. Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
   Journal of Economic Dynamics and Control, 2011, 35, (12), 2167-2185 View citations (20)
   See also Working Paper Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations, Working Paper Series (2011) View citations (19) (2011)
10. Hierarchical Markov normal mixture models with applications to financial asset returns
    Journal of Applied Econometrics, 2011, 26, (1), 1-29 View citations (76)
    See also Working Paper Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns, Working Papers (2007) View citations (26) (2007)
11. Optimal prediction pools
    Journal of Econometrics, 2011, 164, (1), 130-141 View citations (259)
    See also Working Paper Optimal Prediction Pools, Working Paper Series (2009) View citations (13) (2009)
12. The euro area sovereign crisis: monitoring spillovers and contagion
    Research Bulletin, 2011, 14, 2-4 View citations (11)

2010

13. ASSESSING EUROPEAN CENTRAL BANK'S CREDIBILITY DURING THE FIRST YEARS OF THE EUROSYSTEM: A BAYESIAN EMPIRICAL INVESTIGATION
    Manchester School, 2010, 78, (5), 437-459 View citations (7)
14. Comparing and evaluating Bayesian predictive distributions of asset returns
    International Journal of Forecasting, 2010, 26, (2), 216-230 View citations (305)
    See also Working Paper Comparing and evaluating Bayesian predictive distributions of assets returns, Working Paper Series (2008) View citations (4) (2008)
15. Enhancing monetary analysis
    Research Bulletin, 2010, 11, 2-6 View citations (4)
16. Euro area inflation persistence in an estimated nonlinear DSGE model
    Journal of Economic Dynamics and Control, 2010, 34, (10), 1837-1858 View citations (36)
    See also Working Paper Euro area inflation persistence in an estimated nonlinear dsge model, Post-Print (2010) View citations (30) (2010)

2007

17. Comparing Density Forecasts via Weighted Likelihood Ratio Tests
    Journal of Business & Economic Statistics, 2007, 25, 177-190 View citations (442)
    See also Working Paper Comparing Density Forecsts via Weighted Likelihood Ratio Tests, Working Papers (2005) View citations (15) (2005)

2004

18. Profit related pay in Italy
    International Journal of Manpower, 2004, 25, (5), 463-478 View citations (1)

2003

19. Bayesian inference in cointegrated systems
    Research in Economics, 2003, 57, (4), 287-314 View citations (1)
20. What goes up sometimes stays up: shocks and institutions as determinants of unemployment persistence
    Scottish Journal of Political Economy, 2003, 50, (4), 440-470 View citations (24)
    See also Working Paper What goes up sometimes stays up: Shocks and Institutions as Determinants of Unemployment Persistence, Tinbergen Institute Discussion Papers (2002) View citations (3) (2002)