Details about Davide Delle Monache

Access statistics for papers by Davide Delle Monache.

Last updated 2024-07-05. Update your information in the RePEc Author Service.

Short-id: pde480

Working Papers

2023

1. Energy price shocks and inflation in the euro area
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (5)

2022

2. Modeling and Forecasting Macroeconomic Downside Risk
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (25)
   Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2021) View citations (21)
   See also Journal Article Modeling and Forecasting Macroeconomic Downside Risk, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (4) (2024)

2020

3. Price dividend ratio and long-run stock returns: a score driven state space model
   Working Paper Series, European Central Bank
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019)
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2020)
   See also Journal Article Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (4) (2021)
4. The time-varying risk of Italian GDP
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (6)
   See also Journal Article The time-varying risk of Italian GDP, Economic Modelling, Elsevier (2021) View citations (4) (2021)

2019

5. Domestic and global determinants of inflation: evidence from expectile regression
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (3)
   See also Journal Article Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2021) View citations (9) (2021)

2018

6. Financial markets effects of ECB unconventional monetary policy announcements
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (9)

2017

7. Does the ARFIMA really shift?
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
8. Real and financial cycles: estimates using unobserved component models for the Italian economy
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (4)
   See also Journal Article Real and financial cycles: estimates using unobserved component models for the Italian economy, Statistical Methods & Applications, Springer (2019) View citations (7) (2019)
9. Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity
   Working Paper Series, European Central Bank View citations (19)

2016

10. Adaptive models and heavy tails
    Bank of England working papers, Bank of England View citations (8)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2014) View citations (5)
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2016) View citations (3)
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2014) View citations (13)
11. Adaptive models and heavy tails with an application to inflation forecasting
    MPRA Paper, University Library of Munich, Germany View citations (1)
    Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2016) View citations (1)
    See also Journal Article Adaptive models and heavy tails with an application to inflation forecasting, International Journal of Forecasting, Elsevier (2017) View citations (28) (2017)
12. Adaptive state space models with applications to the business cycle and financial stress
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)

2015

13. Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (12)
    See also Chapter Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (12) (2016)
14. Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in Studies in Economics, School of Economics, University of Kent (2015)

Journal Articles

2024

1. Modeling and Forecasting Macroeconomic Downside Risk
   Journal of Business & Economic Statistics, 2024, 42, (3), 1010-1025 View citations (4)
   See also Working Paper Modeling and Forecasting Macroeconomic Downside Risk, CEPR Discussion Papers (2022) View citations (25) (2022)

2021

2. Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*
   Oxford Bulletin of Economics and Statistics, 2021, 83, (4), 982-1001 View citations (9)
   See also Working Paper Domestic and global determinants of inflation: evidence from expectile regression, Temi di discussione (Economic working papers) (2019) View citations (3) (2019)
3. Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model
   Journal of Business & Economic Statistics, 2021, 39, (4), 1054-1065 View citations (4)
   See also Working Paper Price dividend ratio and long-run stock returns: a score driven state space model, Working Paper Series (2020) (2020)
4. The time-varying risk of Italian GDP
   Economic Modelling, 2021, 101, (C) View citations (4)
   See also Working Paper The time-varying risk of Italian GDP, Temi di discussione (Economic working papers) (2020) View citations (6) (2020)

2019

5. Efficient matrix approach for classical inference in state space models
   Economics Letters, 2019, 181, (C), 22-27 View citations (6)
6. Real and financial cycles: estimates using unobserved component models for the Italian economy
   Statistical Methods & Applications, 2019, 28, (3), 541-569 View citations (7)
   See also Working Paper Real and financial cycles: estimates using unobserved component models for the Italian economy, Questioni di Economia e Finanza (Occasional Papers) (2017) View citations (4) (2017)

2017

7. Adaptive models and heavy tails with an application to inflation forecasting
   International Journal of Forecasting, 2017, 33, (2), 482-501 View citations (28)
   See also Working Paper Adaptive models and heavy tails with an application to inflation forecasting, MPRA Paper (2016) View citations (1) (2016)

2009

8. Computing the mean square error of unobserved components extracted by misspecified time series models
   Journal of Economic Dynamics and Control, 2009, 33, (2), 283-295 View citations (9)

2006

9. A structural time series approach to modelling multiple and resurgent meat scares in Italy
   Applied Economics, 2006, 38, (14), 1677-1688 View citations (10)

Chapters

2016

1. Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 539-565 View citations (12)
   See also Working Paper Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation, Birkbeck, Department of Economics, Mathematics & Statistics (2015) View citations (12) (2015)