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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


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Working Papers

2023

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

2022

  1. 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 Downloads

2020

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

2017

  1. A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in CEIS Research Paper, Tor Vergata University, CEIS (2017) Downloads View citations (1)

    See also Journal Article A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices, Biometrika, Biometrika Trust (2018) Downloads View citations (1) (2018)

2016

  1. Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (9)
    Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2016) Downloads View citations (19)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads 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) Downloads View citations (47) (2018)

2015

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

2013

  1. Corporate Social Responsibility and Earnings Forecasting Unbiasedness
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (31)
    See also Journal Article Corporate social responsibility and earnings forecasting unbiasedness, Journal of Banking & Finance, Elsevier (2013) Downloads View citations (28) (2013)

2012

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

Journal Articles

2021

  1. Forecasting stock returns with large dimensional factor models
    Journal of Empirical Finance, 2021, 63, (C), 252-269 Downloads View citations (2)
    See also Working Paper Forecasting Stock Returns with Large Dimensional Factor Models, Working Papers (2020) Downloads 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 Downloads 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) Downloads 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 Downloads View citations (6)
    See also Working Paper Nowcasting Monthly GDP with Big Data: a Model Averaging Approach, CEIS Research Paper (2020) Downloads View citations (4) (2020)

2020

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

2018

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

2013

  1. Corporate social responsibility and earnings forecasting unbiasedness
    Journal of Banking & Finance, 2013, 37, (9), 3654-3668 Downloads View citations (28)
    See also Working Paper Corporate Social Responsibility and Earnings Forecasting Unbiasedness, CEIS Research Paper (2013) Downloads View citations (31) (2013)

2012

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