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Details about Claudia Foroni

Workplace:European Central Bank, (more information at EDIRC)

Access statistics for papers by Claudia Foroni.

Last updated 2021-03-15. Update your information in the RePEc Author Service.

Short-id: pfo230


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Working Papers

2020

  1. Are low frequency macroeconomic variables important for high frequency electricity prices?
    Papers, arXiv.org Downloads
  2. Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis
    CIRANO Working Papers, CIRANO Downloads View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) Downloads View citations (1)
    Working Paper Series, European Central Bank (2020) Downloads View citations (5)

2019

  1. Forecasting daily electricity prices with monthly macroeconomic variables
    Working Paper Series, European Central Bank Downloads View citations (1)
  2. Much ado about nothing? The shale oil revolution and the global supply curve
    Working Paper Series, European Central Bank Downloads View citations (2)

2018

  1. Mixed frequency models with MA components
    Working Paper Series, European Central Bank Downloads View citations (3)
    Also in Discussion Papers, Deutsche Bundesbank (2018) Downloads

2017

  1. Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns
    Staff Working Papers, Bank of Canada Downloads View citations (1)
    See also Journal Article in Journal of International Money and Finance (2018)
  2. Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (9)
    See also Journal Article in Economics Letters (2017)
  3. Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2016) Downloads View citations (2)

2016

  1. A daily indicator of economic growth for the euro area
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (1)
    See also Journal Article in International Journal of Computational Economics and Econometrics (2017)

2015

  1. Forecasting commodity currencies: the role of fundamentals with short-lived predictive content
    Working Paper, Norges Bank Downloads View citations (7)
  2. Labor Supply Factors and Economic Fluctuations
    Working Paper, Norges Bank Downloads View citations (15)
    See also Journal Article in International Economic Review (2018)
  3. Using low frequency information for predicting high frequency variables
    Working Paper, Norges Bank Downloads View citations (8)
    See also Journal Article in International Journal of Forecasting (2018)

2014

  1. Density forecasts with MIDAS models
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (5)
    Also in Working Paper, Norges Bank (2014) Downloads View citations (5)

    See also Journal Article in Journal of Applied Econometrics (2017)
  2. Markov-Switching Mixed-Frequency VAR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2015)
  3. Mixed frequency structural VARs
    Working Paper, Norges Bank Downloads View citations (6)

2013

  1. A survey of econometric methods for mixed-frequency data
    Working Paper, Norges Bank Downloads View citations (54)
    Also in Economics Working Papers, European University Institute (2013) Downloads View citations (44)
  2. Mixed frequency structural models: estimation, and policy analysis
    Working Paper, Norges Bank Downloads View citations (5)

2012

  1. A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables
    Economics Working Papers, European University Institute Downloads View citations (13)
  2. U-MIDAS: MIDAS regressions with unrestricted lag polynomials
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (33)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2011) Downloads View citations (4)

Journal Articles

2021

  1. The impact of the COVID-19 pandemic on the euro area labour market
    Economic Bulletin Articles, 2021, 8 Downloads

2020

  1. Regional labour market developments during the great financial crisis and subsequent recovery
    Economic Bulletin Boxes, 2020, 4 Downloads
  2. Short-time work schemes and their effects on wages and disposable income
    Economic Bulletin Boxes, 2020, 4 Downloads

2019

  1. Mixed‐frequency models with moving‐average components
    Journal of Applied Econometrics, 2019, 34, (5), 688-706 Downloads View citations (1)

2018

  1. Assessing the predictive ability of sovereign default risk on exchange rate returns
    Journal of International Money and Finance, 2018, 81, (C), 242-264 Downloads View citations (4)
    See also Working Paper (2017)
  2. LABOR SUPPLY FACTORS AND ECONOMIC FLUCTUATIONS
    International Economic Review, 2018, 59, (3), 1491-1510 Downloads View citations (20)
    See also Working Paper (2015)
  3. Using low frequency information for predicting high frequency variables
    International Journal of Forecasting, 2018, 34, (4), 774-787 Downloads View citations (13)
    See also Working Paper (2015)

2017

  1. A daily indicator of economic growth for the euro area
    International Journal of Computational Economics and Econometrics, 2017, 7, (1/2), 43-63 Downloads
    See also Working Paper (2016)
  2. Density Forecasts With Midas Models
    Journal of Applied Econometrics, 2017, 32, (4), 783-801 Downloads View citations (11)
    See also Working Paper (2014)
  3. Explaining the time-varying effects of oil market shocks on US stock returns
    Economics Letters, 2017, 155, (C), 84-88 Downloads View citations (12)
    See also Working Paper (2017)

2016

  1. Mixed frequency structural vector auto-regressive models
    Journal of the Royal Statistical Society Series A, 2016, 179, (2), 403-425 Downloads View citations (4)

2015

  1. Markov-switching mixed-frequency VAR models
    International Journal of Forecasting, 2015, 31, (3), 692-711 Downloads View citations (13)
    See also Working Paper (2014)
  2. Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials
    Journal of the Royal Statistical Society Series A, 2015, 178, (1), 57-82 Downloads View citations (79)

2014

  1. A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates
    International Journal of Forecasting, 2014, 30, (3), 554-568 Downloads View citations (49)
  2. MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS
    Journal of Applied Econometrics, 2014, 29, (7), 1118-1144 Downloads View citations (21)
 
Page updated 2021-05-13