Davide Delle Monache

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

6

DOWNLOADS

909

SSRN CITATIONS
Rank 13,175

SSRN RANKINGS

Top 13,175

in Total Papers Citations

61

CROSSREF CITATIONS

28

Scholarly Papers (6)

1.

Financial Markets Effects of ECB Unconventional Monetary Policy Announcements

Bank of Italy Occasional Paper No. 424
Number of pages: 30 Posted: 17 Apr 2018
Guido Bulligan and Davide Delle Monache
Bank of Italy and Bank of Italy
Downloads 263 (170,262)
Citation 7

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monetary policy announcements, event study, financial markets, unconventional monetary policy

2.
Downloads 255 (175,600)
Citation 5

Modeling and Forecasting Macroeconomic Downside Risk

Bank of Italy Temi di Discussione (Working Paper) No. 1324
Number of pages: 100 Posted: 25 May 2021
Bank of Italy, University of Warwick - Warwick Business School and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 255 (174,939)
Citation 3

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business cycle, financial conditions, downside risk, skewness, score driven models

Modeling and Forecasting Macroeconomic Downside Risk

CEPR Discussion Paper No. DP15109
Number of pages: 100 Posted: 18 Aug 2020 Last Revised: 29 Mar 2022
University of Warwick - Warwick Business School, Bank of Italy and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
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Citation 2
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Business cycle, Downside risk, financial conditions, score driven models, Skewness

3.

Domestic and Global Determinants of Inflation: Evidence from Expectile Regression

Bank of Italy Temi di Discussione (Working Paper) No. 1225, June 2019
Number of pages: 31 Posted: 10 Aug 2019
Fabio Busetti, Michele Caivano and Davide Delle Monache
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 160 (267,524)
Citation 2

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asymmetric least squares, globalization, inflation quantiles, Phillips curve, time varying parameters

Price Dividend Ratio and Long-Run Stock Returns: A Score Driven State Space Model

Bank of Italy Temi di Discussione (Working Paper) No. 1296
Number of pages: 63 Posted: 13 Oct 2020
Bank of Italy, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and European Central Bank (ECB)
Downloads 81 (435,493)
Citation 18

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state space models, time-varying parameters, score-driven models, equity premium, present-value models

Price Dividend Ratio and Long-Run Stock Returns: A Score Driven State Space Model

Number of pages: 83 Posted: 03 Feb 2020
Bank of Italy, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and European Central Bank (ECB)
Downloads 51 (553,587)

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equity premium, present-value models., score-driven models, state space models, time-varying parameters

Price Dividend Ratio and Long-Run Stock Returns: A Score Driven State Space Model

CEPR Discussion Paper No. DP14107
Number of pages: 69 Posted: 04 Dec 2019
Bank of Italy, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and European Central Bank (ECB)
Downloads 1 (979,465)
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Equity premium, present-value models, score-driven models, State space models, time-varying parameters

5.

Real and Financial Cycles: Estimates Using Unobserved Component Models for the Italian Economy

Bank of Italy Occasional Paper No. 382
Number of pages: 39 Posted: 04 Oct 2017
Guido Bulligan, Lorenzo Burlon, Davide Delle Monache and Andrea Silvestrini
Bank of Italy, European Central Bank (ECB), Bank of Italy and Bank of Italy
Downloads 67 (478,080)
Citation 2

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business cycle, financial cycle, unobserved components, model-based filters

6.

The Time-varying Risk of Italian GDP

Bank of Italy Temi di Discussione (Working Paper) No. 1288
Number of pages: 41 Posted: 25 Aug 2020
Fabio Busetti, Michele Caivano, Davide Delle Monache and Claudia Pacella
Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 31 (652,781)
Citation 20

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asymmetric least squares, expectiles, density forecasts, GDP growth, risks