Alessandro Giovannelli

University of Rome Tor Vergata

Via di Tor Vergata

Rome, Lazio 00133

Italy

SCHOLARLY PAPERS

8

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11

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6

Scholarly Papers (8)

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 631 (44,390)
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: 02 Apr 2018
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 354 (90,136)
Citation 4

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

3.

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 100 (283,124)
Citation 2

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

4.

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 96 (290,727)
Citation 1

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Variable selection; Multiple testing; p-value weighting

5.

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 31 (492,777)

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Toeplitz systems; Optimal linear prediction; Partial autocorrelation function

6.

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 27 (513,962)

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

7.

Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting

CEPR Discussion Paper No. DP11161
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 (710,004)
Citation 2
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8.

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