1.
Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models
CEIS Working Paper No. 455
Number of pages: 25
Posted: 22 Mar 2019
Working Paper Series
University of Rome II - Department of Economics and Finance
Downloads
13
2.
A Horse Race in High Dimensional Space
CEIS Working Paper No. 452
Number of pages: 31
Posted: 15 Feb 2019
Working Paper Series
University of Rome, Tor Vergata and University of Rome, Tor Vergata
Downloads
16
3.
Robust Tests for Convergence Clubs
CEIS Working Paper No. 451
Number of pages: 44
Posted: 14 Feb 2019
Working Paper Series
University of Rome Tor Vergata Department of Economics and Finance, University of Guelph - Department of Economics, University of Cambridge - Faculty of Economics and Politics and Istanbul Bilgi University
Downloads
18
4.
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
CEIS Working Paper No. 450
Number of pages: 29
Posted: 07 Feb 2019
Working Paper Series
Aarhus University - School of Business and Social Sciences and University of Rome II - Department of Economics and Finance
There are 2 versions of this paper
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
Number of pages: 26
Posted: 19 Dec 2018
Downloads
69
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
CEIS Working Paper No. 450
Number of pages: 29
Posted: 07 Feb 2019
Downloads
51
Downloads
51
5.
Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of the US Banking Sector
CEIS Working Paper No. 445
Number of pages: 27
Posted: 06 Nov 2018
Working Paper Series
University of Rome II - Department of Economics and Finance, Maastricht University - Department of Quantitative Economics and ICE Data Services Italy
Downloads
30
6.
Wavelet Analysis for Temporal Disaggregation
CEIS Working Paper No. 444
Number of pages: 31
Posted: 29 Oct 2018
Working Paper Series
University of Rome, Tor Vergata
Downloads
26
7.
About Local Projection Impulse Response Function Reliability
CEIS Working Paper No. 440
Number of pages: 38
Posted: 27 Aug 2018
Working Paper Series
Central Bank of Malta Research Department
Downloads
19
8.
Estimating Models with Dynamic Network Interactions and Unobserved Heterogeneity
CEIS Working Paper No. 439
Number of pages: 50
Posted: 27 Aug 2018
Last Revised: 07 Nov 2018
Working Paper Series
University of Rome Tor Vergata Department of Economics and Finance and University of Rome, Tor Vergata - Department of Economics and Finance
Downloads
24
9.
Detecting Co-Movements in Noncausal Time Series
CEIS Working Paper No. 430
Number of pages: 37
Posted: 03 May 2018
Working Paper Series
University of Rome II - Department of Economics and Finance, Maastricht University - Department of Quantitative Economics and Maastricht University - Department of Quantitative Economics
Downloads
29
10.
Spikes and Memory in (Nord Pool) Electricity Price Spot Prices
CEIS Working Paper No. 422
Number of pages: 18
Posted: 18 Dec 2017
Working Paper Series
University of Rome II - Department of Economics and Finance, Aarhus University, School of Economics and Management and University of Aarhus
Downloads
14
11.
Modelling Crypto-Currencies Financial Time-Series
CEIS Working Paper No. 417
Number of pages: 39
Posted: 11 Dec 2017
Last Revised: 17 Dec 2017
Working Paper Series
Aarhus University - School of Business and Social Sciences and University of Rome, Tor Vergata, Faculty of Economics, Department of Economics, Law and Institutions
There are 2 versions of this paper
Modelling Crypto-Currencies Financial Time-Series
Number of pages: 38
Posted: 01 Sep 2017
Last Revised: 20 Dec 2017
Downloads
828
Modelling Crypto-Currencies Financial Time-Series
CEIS Working Paper No. 417
Number of pages: 39
Posted: 11 Dec 2017
Last Revised: 17 Dec 2017
Downloads
272
Downloads
272
12.
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices
CEIS Working Paper No. 410
Number of pages: 26
Posted: 19 Jul 2017
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Rome, Tor Vergata
Downloads
25
13.
Financial Literacy and Bank Runs: An Experimental Analysis
CEIS Working Paper No. 402
Number of pages: 36
Posted: 20 Apr 2017
Last Revised: 08 Jul 2017
Working Paper Series
University of Rome Tor Vergata - Dept. of Economics and Finance, Università LUISS Guido Carli, University of Rome, Tor Vergata and University of Rome, Tor Vergata
Downloads
143
14.
Theory and Practice of TFP Estimation: The Control Function Approach Using Stata
CEIS Working Paper No. 399
Number of pages: 50
Posted: 15 Feb 2017
Working Paper Series
University of Rome, Tor Vergata and Bank of Italy
Downloads
1,638
15.
Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model
CEIS Working Paper No. 397
Number of pages: 26
Posted: 07 Feb 2017
Last Revised: 23 Jul 2018
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Rome, Tor Vergata
Downloads
32
16.
Disentangling Adverse Selection, Moral Hazard and Supply Induced Demand: An Empirical Analysis of the Demand for Healthcare Services
CEIS Working Paper No. 389
Number of pages: 66
Posted: 29 Jun 2016
Last Revised: 31 Oct 2018
Working Paper Series
University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS), University of Lausanne and Bank of Italy
Downloads
116
17.
A Spatial Diffusion Model with Common Factors and an Application to Cigarette Consumption
CEIS Working Paper No. 381
Number of pages: 29
Posted: 31 May 2016
Working Paper Series
University of Rome, Tor Vergata - Faculty of Economics and University of Groningen - Faculty of Economics and Business
Downloads
124
18.
Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
CEIS Working Paper No. 375
Number of pages: 36
Posted: 05 Apr 2016
Working Paper Series
Aarhus University - School of Business and Social Sciences and Free University of Bolzano-Bozen
Downloads
58
19.
A Data-Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models
CEIS Working Paper No. 374
Number of pages: 30
Posted: 31 Mar 2016
Working Paper Series
University of Hohenheim, University of Rome II - Department of Economics and Finance and University of Kent - Canterbury Campus
Downloads
46
20.
Spatial Panel Data Models Using Stata
CEIS Working Paper No. 373
Number of pages: 41
Posted: 29 Mar 2016
Last Revised: 28 Jul 2016
Working Paper Series
University of Rome, Tor Vergata - Department of Economics and Finance, University of Edinburgh and CEIS Tor Vergata
Downloads
1,109
21.
The W Matrix in Network and Spatial Econometrics: Issues Relating to Specification and Estimation
CEIS Working Paper No. 369
Number of pages: 27
Posted: 18 Feb 2016
Working Paper Series
University of Rome Tor Vergata Department of Economics and Finance and University of Cambridge - Department of Land Economy
Downloads
152
22.
The Effect of Survey Design on Extreme Response Style: Rating Job Satisfaction
CEIS Working Paper No. 365
Number of pages: 28
Posted: 10 Feb 2016
Working Paper Series
University of Rome Tor Vergata Department of Economics and Finance and University of Rome, Tor Vergata
Downloads
60
23.
The Model Confidence Set Package for R
CEIS Working Paper No. 362
Number of pages: 23
Posted: 20 Nov 2015
Working Paper Series
University of Padova and Aarhus University - School of Business and Social Sciences
Downloads
110
24.
The Effect of Discretion on Procurement Performance
CEIS Working Paper No. 361
Number of pages: 85
Posted: 17 Nov 2015
Working Paper Series
Stockholm School of Economics (SITE), HEC Montreal and University of Wisconsin - Madison
There are 2 versions of this paper
The Effect of Discretion on Procurement Performance
CEIS Working Paper No. 361
Number of pages: 85
Posted: 17 Nov 2015
Downloads
131
The Effect of Discretion on Procurement Performance
CEPR Discussion Paper No. DP11286
Number of pages: 87
Posted: 24 May 2016
Downloads
131
25.
Common Feature Analysis of Economic Time Series: An Overview and Recent Developments
CEIS Working Paper No. 355
Number of pages: 29
Posted: 07 Oct 2015
Last Revised: 23 Oct 2015
Working Paper Series
University Lumsa and University of Rome II - Department of Economics and Finance
Downloads
96
26.
Large Scale Covariance Estimates for Portfolio Selection
CEIS Working Paper No. 353
Number of pages: 43
Posted: 09 Aug 2015
Last Revised: 04 Sep 2015
Working Paper Series
University of Rome, Tor Vergata - Department of Economics and Finance
Downloads
49
27.
Seasonal Changes in Central England Temperatures
CEIS Working Paper No. 347
Number of pages: 29
Posted: 17 Jun 2015
Working Paper Series
University of Rome II - Department of Economics and Finance and Aarhus University - CREATES
Downloads
25
28.
Generalised Partial Autocorrelations and the Mutual Information between Past and Future
CEIS Working Paper No. 344
Number of pages: 17
Posted: 06 Jun 2015
Working Paper Series
University of Bologna - Department of Statistics and University of Rome II - Department of Economics and Finance
Downloads
20
29.
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area
CEIS Working Paper No. 340
Number of pages: 45
Posted: 14 Apr 2015
Working Paper Series
University of Rome II - Department of Economics and Finance, University of Hohenheim and Eurostat
Downloads
28
30.
Spatial Panel Data Model with Error Dependence: A Bayesian Separable Covariance Approach
CEIS Working Paper No. 338
Number of pages: 34
Posted: 11 Apr 2015
Working Paper Series
Dep. Economics Management and Quantitative Methods and University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
Downloads
37
31.
On the Selection of Common Factors for Macroeconomic Forecasting
CEIS Working Paper No. 332
Number of pages: 33
Posted: 14 Mar 2015
Working Paper Series
University of Rome, Tor Vergata and University of Rome II - Department of Economics and Finance
Downloads
91
32.
Outlier Detection in Structural Time Series Models: The Indicator Saturation Approach
CEIS Working Paper No. 325
Number of pages: 46
Posted: 24 Aug 2014
Working Paper Series
University of Hohenheim and University of Rome II - Department of Economics and Finance
Downloads
93
33.
Exponential Smoothing, Long Memory and Volatility Prediction
CEIS Working Paper No. 319
Number of pages: 31
Posted: 05 Aug 2014
Working Paper Series
University of Rome II - Department of Economics and Finance
Downloads
137
34.
Growth Forecast Errors and Government Investment and Consumption Multipliers
CEIS Working Paper No. 301
Number of pages: 24
Posted: 19 Dec 2013
Last Revised: 17 Feb 2015
Working Paper Series
University of Rome, Tor Vergata
Downloads
56
35.
Distributional vs. Quantile Regression
CEIS Working Paper No. 300
Number of pages: 45
Posted: 17 Dec 2013
Working Paper Series
University of Illinois at Urbana-Champaign - Department of Economics, Dep. Economics Management and Quantitative Methods and University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
Downloads
309
36.
Generalizing Smooth Transition Autoregressions
CEIS Working Paper No. 294
Number of pages: 56
Posted: 16 Oct 2013
Last Revised: 27 Sep 2014
Working Paper Series
University of Rome II - Department in Economics, Law and Institutions
Downloads
41
37.
Generalised Linear Spectral Models
CEIS Working Paper No. 290
Number of pages: 27
Posted: 07 Oct 2013
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads
35
38.
Macroeconomic Forecasting and Structural Analysis Through Regularized Reduced-Rank Regression
CEIS Working Paper No. 289
Number of pages: 25
Posted: 05 Oct 2013
Working Paper Series
Bank of Italy and University of Rome II - Department of Economics and Finance
Downloads
42
39.
EuroMInd-C: A Disaggregate Monthly Indicator of Economic Activity for the Euro Area and Member Countries
CEIS Working Paper No. 287
Number of pages: 40
Posted: 03 Oct 2013
Working Paper Series
Government of the Italian Republic (Italy) - Department of the Treasury, Aarhus University - CREATES, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance
Downloads
50
40.
Clustering Macroeconomic Variables
CEIS Working Paper No. 283
Number of pages: 27
Posted: 11 Jun 2013
Working Paper Series
University of Rome, Tor Vergata
Downloads
80
41.
The Generalised Autocovariance Function
CEIS Working Paper No. 276
Number of pages: 33
Posted: 07 May 2013
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads
33
42.
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications
CEIS Working Paper No. 272
Number of pages: 39
Posted: 21 Apr 2013
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads
57
43.
Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies
CEIS Working Paper No. 255
Number of pages: 30
Posted: 07 Nov 2012
Working Paper Series
University of Rome, Tor Vergata
Downloads
95
44.
Stochastic Frontier Analysis Using Stata
CEIS Working Paper No. 251
Number of pages: 48
Posted: 13 Sep 2012
Last Revised: 03 Mar 2014
Working Paper Series
University of Rome, Tor Vergata - Department of Economics and Finance, Food and Agriculture Organization of the United Nations, Bank of Italy and University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
Downloads
2,655
45.
Consistent Estimation of the 'True' Fixed-Effects Stochastic Frontier Model
CEIS Working Paper No. 231
Number of pages: 29
Posted: 25 Apr 2012
Working Paper Series
University of Rome, Tor Vergata - Department of Economics and Finance and Bank of Italy
Downloads
195
46.
A General to Specific Approach for Constructing Composite Business Cycle Indicators
CEIS Working Paper No. 224
Number of pages: 19
Posted: 27 Feb 2012
Working Paper Series
University of Rome II - Department of Economics and Finance, University of Rome, Tor Vergata and Maastricht University - Department of Economics
Downloads
45
47.
Modelling Comovements of Economic Time Series: A Selective Survey
CEIS Working Paper No. 215
Number of pages: 33
Posted: 26 Oct 2011
Working Paper Series
University Lumsa and University of Rome II - Department of Economics and Finance
Downloads
140
48.
Principal Stratification in Sample Selection Problems with Non Normal Error Terms
CEIS Tor Vergata Research Paper No. 194
Number of pages: 31
Posted: 13 May 2011
Working Paper Series
University of Rome, Tor Vergata - Faculty of Economics and University of Southern Denmark - Department of Business and Economics
Downloads
34
49.
An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis
CEIS Working Paper No. 184
Number of pages: 9
Posted: 31 Jan 2011
Working Paper Series
University of Rome II - Department of Economics and Finance and affiliation not provided to SSRN
Downloads
53
50.
A Medium-N Approach to Macroeconomic Forecasting
CEIS Working Paper No. 176
Number of pages: 20
Posted: 10 Dec 2010
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Rome, Tor Vergata
Downloads
67
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