Alessandro Giovannelli

University of Rome Tor Vergata

Via di Tor Vergata

Rome, Lazio 00133

Italy

SCHOLARLY PAPERS

10

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14

CROSSREF CITATIONS

8

Scholarly Papers (10)

1.

Corporate Social Responsibility and Earnings Forecasting Unbiasedness

CEIS Working Paper No. 233
Number of pages: 32 Posted: 04 May 2012 Last Revised: 28 Nov 2014
Leonardo Becchetti, Rocco Ciciretti and Alessandro Giovannelli
University of Rome Tor Vergata - Faculty of Economics, Tor Vergata University of Rome - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 654 (52,712)
Citation 13

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Earnings per Share, Analyst Forecast, Corporate Social Responsibility

2.

Forecasting Stock Returns with Large Dimensional Factor Models

Number of pages: 46 Posted: 26 Apr 2017 Last Revised: 14 Jul 2021
Alessandro Giovannelli, Daniele Massacci and Stefano Soccorsi
University of Rome Tor Vergata, King's College London and Department of Economics, Lancaster University Management School
Downloads 558 (64,538)
Citation 5

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Stock Returns Forecasting, Factor Model, Large Data Sets, Forecast Evaluation.

3.

Nowcasting Monthly GDP with Big Data: A Model Averaging Approach

CEIS Working Paper No. 482
Number of pages: 43 Posted: 15 May 2020
Tommaso Proietti and Alessandro Giovannelli
University of Rome II - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 223 (178,681)

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Mixed-Frequency Data, Dynamic Factor Models, State Space Models, Shrinkage

Nowcasting GDP and its Components in a Data-Rich Environment: The Merits of the Indirect Approach

CEIS Working Paper No. 489
Number of pages: 116 Posted: 04 Jun 2020 Last Revised: 07 Aug 2020
University of Rome Tor Vergata, University of Rome II - Department of Economics and Finance, Ministry of Economy and Finance, Italy, Government of the Italian Republic (Italy) - Ministry of Economy and Finance - RGS, Sogei S.p.A. and Ministry of Economy and Finance, Italy
Downloads 92 (360,592)
Citation 1

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Mixed-Frequency Data, Dynamic Factor Models, Growth Accounting, Model Averaging, Ledoit-Wolf Shrinkage.

Nowcasting GDP and its Components in a Data-Rich Environment: The Merits of the Indirect Approach

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 2 (2020)
Number of pages: 48 Posted: 19 Mar 2021
University of Rome Tor Vergata, Ministry of Economy and Finance, Italy, Sogei S.p.A., University of Rome II - Department of Economics and Finance, Government of the Italian Republic (Italy) - Ministry of Economy and Finance - RGS and Ministry of Economy and Finance, Italy
Downloads 18 (696,360)

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Mixed frequency data; dynamic factor models; growth accounting; model averaging; Ledoit-Wolf shrinkage

5.

On the Selection of Common Factors for Macroeconomic Forecasting

CEIS Working Paper No. 332
Number of pages: 33 Posted: 14 Mar 2015
Alessandro Giovannelli and Tommaso Proietti
University of Rome Tor Vergata and University of Rome II - Department of Economics and Finance
Downloads 110 (318,038)
Citation 2

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Variable selection; Multiple testing; p-value weighting

6.

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
Alessandro Giovannelli
University of Rome Tor Vergata
Downloads 106 (326,242)
Citation 2

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Kernel Principal Component Analysis, Large Dataset, Artificial Neural Networks, QuickNet, Forecasting

7.

A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices

CEIS Working Paper No. 410
Number of pages: 26 Posted: 19 Jul 2017
Tommaso Proietti and Alessandro Giovannelli
University of Rome II - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 53 (480,310)

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Toeplitz systems; Optimal linear prediction; Partial autocorrelation function

8.

A Test of Sufficient Condition for Infinite-Step Granger Noncausality in Infinite Order Vector Autoregressive Process

CEIS Working Paper No. 496
Number of pages: 16 Posted: 25 Jun 2020
Umberto Triacca, Olivier Damette and Alessandro Giovannelli
University of L'Aquila - Department of Information Engineering, Computer Science and Mathematics, BETA-CNRS, Université de Lorraine and University of Rome Tor Vergata
Downloads 18 (673,176)

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Granger causality, Hypothesis testing, Time series, Vector autoregressive Models

9.

Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting

Number of pages: 43 Posted: 18 Apr 2016
Mario Forni, Alessandro Giovannelli, Marco Lippi and Stefano Soccorsi
Università di Modena; Centre for Economic Policy Research (CEPR), University of Rome Tor Vergata, Dipartimento di Scienze Economiche (DiSSE) and Department of Economics, Lancaster University Management School
Downloads 0 (830,407)
Citation 6
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10.

Nonlinear Forecasting Using a Large Number of Predictors

Rivista Italiana degli Economisti, Vol. 1, April 2012
Posted: 12 Mar 2012
Alessandro Giovannelli
University of Rome Tor Vergata

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artificial neural networks, Bayesian regularization, factor model, forecasting, principal components analysis