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Details about Davide Delle Monache

E-mail:
Homepage:https://sites.google.com/site/dellemonachedavide/home
Postal address:Via Nazionale, 91. 00184. Rome. italy
Workplace:Banca d'Italia (Bank of Italy), (more information at EDIRC)

Access statistics for papers by Davide Delle Monache.

Last updated 2021-12-26. Update your information in the RePEc Author Service.

Short-id: pde480


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Working Papers

2021

  1. Modeling and forecasting macroeconomic downside risk
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (12)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) Downloads View citations (16)
    EMF Research Papers, Economic Modelling and Forecasting Group (2020) Downloads View citations (5)

2020

  1. Price dividend ratio and long-run stock returns: a score driven state space model
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
    Also in EMF Research Papers, Economic Modelling and Forecasting Group (2019) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) Downloads
    Working Paper Series, European Central Bank (2020) Downloads

    See also Journal Article in Journal of Business & Economic Statistics (2021)
  2. The time-varying risk of Italian GDP
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (6)
    See also Journal Article in Economic Modelling (2021)

2019

  1. 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 Downloads View citations (3)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2021)
  2. Efficient Matrix Approach for Classical Inference in State Space Models
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (3)
    See also Journal Article in Economics Letters (2019)

2018

  1. 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 Downloads View citations (7)

2017

  1. Does the ARFIMA really shift?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  2. 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 Downloads View citations (3)
    See also Journal Article in Statistical Methods & Applications (2019)
  3. Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity
    Working Paper Series, European Central Bank Downloads View citations (16)

2016

  1. Adaptive Models and Heavy Tails with an Application to Inflation Forecasting
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (1)
    Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2016) Downloads View citations (1)
    MPRA Paper, University Library of Munich, Germany (2016) Downloads View citations (1)

    See also Journal Article in International Journal of Forecasting (2017)
  2. Adaptive models and heavy tails
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2014) Downloads View citations (4)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2014) Downloads View citations (1)
    Bank of England working papers, Bank of England (2016) Downloads View citations (7)
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2014) Downloads View citations (13)
  3. Adaptive state space models with applications to the business cycle and financial stress
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)

2015

  1. 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 Downloads View citations (11)
    See also Chapter (2016)
  2. Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach
    Studies in Economics, School of Economics, University of Kent Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads

Journal Articles

2021

  1. Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*
    Oxford Bulletin of Economics and Statistics, 2021, 83, (4), 982-1001 Downloads
    See also Working Paper (2019)
  2. Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model
    Journal of Business & Economic Statistics, 2021, 39, (4), 1054-1065 Downloads
    See also Working Paper (2020)
  3. The time-varying risk of Italian GDP
    Economic Modelling, 2021, 101, (C) Downloads View citations (1)
    See also Working Paper (2020)

2019

  1. Efficient matrix approach for classical inference in state space models
    Economics Letters, 2019, 181, (C), 22-27 Downloads View citations (3)
    See also Working Paper (2019)
  2. Real and financial cycles: estimates using unobserved component models for the Italian economy
    Statistical Methods & Applications, 2019, 28, (3), 541-569 Downloads View citations (4)
    See also Working Paper (2017)

2017

  1. Adaptive models and heavy tails with an application to inflation forecasting
    International Journal of Forecasting, 2017, 33, (2), 482-501 Downloads View citations (15)
    See also Working Paper (2016)

2009

  1. 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 Downloads View citations (7)

2006

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

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 Downloads View citations (8)
    See also Working Paper (2015)
 
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