Details about Alessandro Giovannelli

Access statistics for papers by Alessandro Giovannelli.

Last updated 2024-02-07. Update your information in the RePEc Author Service.

Short-id: pgi264

Working Papers

2023

1. Band-Pass Filtering with High-Dimensional Time Series
   Papers, arXiv.org
   Also in CEIS Research Paper, Tor Vergata University, CEIS (2023)
2. The Forecasting performance of the Factor model with Martingale Difference errors
   Papers, arXiv.org

2022

3. On the impact of serial dependence on penalized regression methods
   LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy

2020

4. A Test of Sufficient Condition for Infinite-step Granger Noncausality in Infinite Order Vector Autoregressive Process
   CEIS Research Paper, Tor Vergata University, CEIS
5. Forecasting Stock Returns with Large Dimensional Factor Models
   Working Papers, Lancaster University Management School, Economics Department View citations (5)
   See also Journal Article Forecasting stock returns with large dimensional factor models, Journal of Empirical Finance, Elsevier (2021) View citations (2) (2021)
6. Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach
   CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
   See also Journal Article Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach, International Journal of Forecasting, Elsevier (2021) View citations (6) (2021)
7. Nowcasting Monthly GDP with Big Data: a Model Averaging Approach
   CEIS Research Paper, Tor Vergata University, CEIS View citations (4)
   See also Journal Article Nowcasting monthly GDP with big data: A model averaging approach, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2021) View citations (6) (2021)

2017

8. A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   Also in CEIS Research Paper, Tor Vergata University, CEIS (2017) View citations (1)
   See also Journal Article A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices, Biometrika, Biometrika Trust (2018) View citations (1) (2018)

2016

9. Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (9)
   Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2016) View citations (19)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (12)
   See also Journal Article Dynamic factor model with infinite‐dimensional factor space: Forecasting, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (47) (2018)

2015

10. On the Selection of Common Factors for Macroeconomic Forecasting
    CEIS Research Paper, Tor Vergata University, CEIS View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (2)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (3)

2013

11. Corporate Social Responsibility and Earnings Forecasting Unbiasedness
    CEIS Research Paper, Tor Vergata University, CEIS View citations (32)
    See also Journal Article Corporate social responsibility and earnings forecasting unbiasedness, Journal of Banking & Finance, Elsevier (2013) View citations (31) (2013)

2012

12. Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies
    CEIS Research Paper, Tor Vergata University, CEIS View citations (3)

Journal Articles

2021

1. Forecasting stock returns with large dimensional factor models
   Journal of Empirical Finance, 2021, 63, (C), 252-269 View citations (2)
   See also Working Paper Forecasting Stock Returns with Large Dimensional Factor Models, Working Papers (2020) View citations (5) (2020)
2. Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach
   International Journal of Forecasting, 2021, 37, (4), 1376-1398 View citations (6)
   See also Working Paper Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach, CEIS Research Paper (2020) View citations (1) (2020)
3. Nowcasting monthly GDP with big data: A model averaging approach
   Journal of the Royal Statistical Society Series A, 2021, 184, (2), 683-706 View citations (6)
   See also Working Paper Nowcasting Monthly GDP with Big Data: a Model Averaging Approach, CEIS Research Paper (2020) View citations (4) (2020)

2020

4. Are GDP forecasts optimal? Evidence on European countries
   International Journal of Forecasting, 2020, 36, (3), 963-973 View citations (5)

2018

5. A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices
   Biometrika, 2018, 105, (4), 783-795 View citations (1)
   See also Working Paper A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices, CREATES Research Papers (2017) View citations (1) (2017)
6. Dynamic factor model with infinite‐dimensional factor space: Forecasting
   Journal of Applied Econometrics, 2018, 33, (5), 625-642 View citations (47)
   See also Working Paper Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting, Working Papers ECARES (2016) View citations (9) (2016)

2013

7. Corporate social responsibility and earnings forecasting unbiasedness
   Journal of Banking & Finance, 2013, 37, (9), 3654-3668 View citations (31)
   See also Working Paper Corporate Social Responsibility and Earnings Forecasting Unbiasedness, CEIS Research Paper (2013) View citations (32) (2013)

2012

8. Nonlinear Forecasting Using a Large Number of Predictors
   Rivista italiana degli economisti, 2012, (1), 143-150