Details about Claudia Foroni
Access statistics for papers by Claudia Foroni.
Last updated 2022-12-28. Update your information in the RePEc Author Service.
Short-id: pfo230
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Working Papers
2022
- Are low frequency macroeconomic variables important for high frequency electricity prices?
Papers, arXiv.org
- Explaining Deviations from Okun's Law
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in Working Paper Series, European Central Bank (2022)
- The financial accelerator mechanism: does frequency matter?
Working Papers, Federal Reserve Bank of Cleveland View citations (2)
Also in Working Paper Series, European Central Bank (2022) View citations (1)
2021
- A mixed frequency BVAR for the euro area labour market
Working Paper Series, European Central Bank View citations (2)
- Digitalisation: channels, impacts and implications for monetary policy in the euro area
Occasional Paper Series, European Central Bank View citations (7)
2020
- Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis
CIRANO Working Papers, CIRANO View citations (38)
Also in Working Paper Series, European Central Bank (2020) View citations (38) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (34)
See also Journal Article in International Journal of Forecasting (2022)
2019
- Forecasting daily electricity prices with monthly macroeconomic variables
Working Paper Series, European Central Bank View citations (3)
- Much ado about nothing? The shale oil revolution and the global supply curve
Working Paper Series, European Central Bank View citations (6)
2018
- Mixed frequency models with MA components
Discussion Papers, Deutsche Bundesbank View citations (2)
Also in Working Paper Series, European Central Bank (2018) View citations (5)
2017
- Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns
Staff Working Papers, Bank of Canada View citations (1)
See also Journal Article in Journal of International Money and Finance (2018)
- 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 View citations (20)
See also Journal Article in Economics Letters (2017)
- Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
CEPR Discussion Papers, C.E.P.R. Discussion Papers
2015
- Forecasting commodity currencies: the role of fundamentals with short-lived predictive content
Working Paper, Norges Bank View citations (8)
- Labor Supply Factors and Economic Fluctuations
Working Paper, Norges Bank View citations (18)
See also Journal Article in International Economic Review (2018)
- Using low frequency information for predicting high frequency variables
Working Paper, Norges Bank View citations (8)
See also Journal Article in International Journal of Forecasting (2018)
2014
- Density forecasts with MIDAS models
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (5)
Also in Working Paper, Norges Bank (2014) View citations (5)
See also Journal Article in Journal of Applied Econometrics (2017)
- Markov-Switching Mixed-Frequency VAR Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
See also Journal Article in International Journal of Forecasting (2015)
- Mixed frequency structural VARs
Working Paper, Norges Bank View citations (9)
2013
- A survey of econometric methods for mixed-frequency data
Economics Working Papers, European University Institute View citations (78)
Also in Working Paper, Norges Bank (2013) View citations (82)
- Mixed frequency structural models: estimation, and policy analysis
Working Paper, Norges Bank View citations (7)
2012
- A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables
Economics Working Papers, European University Institute View citations (13)
- U-MIDAS: MIDAS regressions with unrestricted lag polynomials
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (35)
Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2011) View citations (16)
Journal Articles
2022
- Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis
International Journal of Forecasting, 2022, 38, (2), 596-612 View citations (8)
See also Working Paper (2020)
2021
- The impact of the COVID-19 pandemic on the euro area labour market
Economic Bulletin Articles, 2021, 8 View citations (14)
2020
- Regional labour market developments during the great financial crisis and subsequent recovery
Economic Bulletin Boxes, 2020, 4 View citations (1)
- Short-time work schemes and their effects on wages and disposable income
Economic Bulletin Boxes, 2020, 4 View citations (3)
2019
- Mixed‐frequency models with moving‐average components
Journal of Applied Econometrics, 2019, 34, (5), 688-706 View citations (3)
2018
- Assessing the predictive ability of sovereign default risk on exchange rate returns
Journal of International Money and Finance, 2018, 81, (C), 242-264 View citations (8)
See also Working Paper (2017)
- LABOR SUPPLY FACTORS AND ECONOMIC FLUCTUATIONS
International Economic Review, 2018, 59, (3), 1491-1510 View citations (38)
See also Working Paper (2015)
- Using low frequency information for predicting high frequency variables
International Journal of Forecasting, 2018, 34, (4), 774-787 View citations (26)
See also Working Paper (2015)
2017
- A daily indicator of economic growth for the euro area
International Journal of Computational Economics and Econometrics, 2017, 7, (1/2), 43-63 View citations (4)
- Density Forecasts With Midas Models
Journal of Applied Econometrics, 2017, 32, (4), 783-801 View citations (16)
See also Working Paper (2014)
- Explaining the time-varying effects of oil market shocks on US stock returns
Economics Letters, 2017, 155, (C), 84-88 View citations (24)
See also Working Paper (2017)
2016
- Mixed frequency structural vector auto-regressive models
Journal of the Royal Statistical Society Series A, 2016, 179, (2), 403-425 View citations (10)
2015
- Markov-switching mixed-frequency VAR models
International Journal of Forecasting, 2015, 31, (3), 692-711 View citations (17)
See also Working Paper (2014)
- Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials
Journal of the Royal Statistical Society Series A, 2015, 178, (1), 57-82 View citations (125)
2014
- A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates
International Journal of Forecasting, 2014, 30, (3), 554-568 View citations (81)
- MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS
Journal of Applied Econometrics, 2014, 29, (7), 1118-1144 View citations (23)
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