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PhD Publications

Year 2024

Year 2023

  • Carbonari L., Maurici F., Firm Heterogeneity, Financial Frictions and Ambiguity, Jpournal of Economic Dymanics and Control, January 2023, http://dx.doi.org/10.2139/ssrn.4325518 

  • Cubadda G., Mazzali M., The Vector Error Correction Index Model: Representation, Estimation and Identification, The Econometrics Journal, published on October 23, 2023, https://doi.org/10.1093/ectj/utad023 .

  • Corrado L., Grassi S., Paolillo A., Silgado-Gomez E., The macroeconomic spillovers from space activity, PNAS, published on October 16, 2023,120 (43) e2221342120, https://doi.org/10.1073/pnas.2221342120 .

  • Giorgi F., Herzel S., and Pigato P., "A reinforcement learning algorithm for trading commodities." Applied Stochastic Models in Business and Industry (2023). https://onlinelibrary.wiley.com/doi/full/10.1002/asmb.2825

  • Miroshnychenko I.,  Vocalelli G., De Massis A., Grassi S., Ravazzolo F., The Covid-19 Pandemic and Family Business Performance, Small Business Economics, published on April 2023, DOI:10.1007/s11187-023-00766-2 .

  • Buccheri G., Grassi S., Vocalelli G., Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility, Journal of Financial Econometrics, published in March 2023, DOI:10.1093/jjfinec/nbad006.

  •  Vespignani J. L., Grassi S., Ravazzolo F., Vocalelli G., Global Money Supply and Energy and Non-Energy Commodity Prices: A MS-TV-VAR Approach, SSRN Electronic Journal, published on January 2023, DOI:10.2139/ssrn.4366597.

Year 2022

  • Mancini S., L. Becchetti, N. Solferino, The effects of domestic and EU incentives on ecological transition investment: a propensity score matching analysis, Industrial and Corporate Change, Volume 31, Issue 6, December 2022, Pages 1517−1544.

  • Pisicoli, B. (2022). Banking diversity, financial complexity and resilience to financial shocks: evidence from Italian provinces. International Review of Applied Economics36(3), 338-402.

  • Marchionne, F., Pisicoli, B., & Fratianni, M. (2022). Regulation, financial crises, and liberalization traps. Journal of Financial Stability, 101060.

  • Bencivelli, L., & Pisicoli, B. (2022). Foreign investors and target firms’ financial structure. International Economics169, 230-251.

  • Marchionne, F., Pisicoli, B., & Fratianni, M. (2022). Regulation and crises: A concave story. The North American Journal of Economics and Finance62, 101740.
  • Russo, A., Farcomeni, A., Zelli, R., Pittau, M. G., (2022). "Covariate-modulated rectangular Latent Markov models with an unknown number of regime profiles", Statistical Modelling, (forthcoming).

Year 2021

To be updated

Year 2020

  • Catania L., Di Mari R., "Hierarchical Markov-switching models for multivariate integer-valued time-series", Journal of Econometrics, March.
  • Pavan G., Pozzi A., Rovigatti G., "Strategic Entry and Potential Competition: Evidence from Compressed Gas Fuel Retail", International Journal of Industrial Organization, 69.
  • Pinna G.M., "Virtually everywhere? Digitalisation and the euro area and EU economies",  European Central Bank, Occasional Paper Series, No 244 - contributor.
  • Anderton, R., Pinna G.M. and Jarvis, V., "Some measurement issues and the digital economy", Box 2 in Virtually everywhere? Digitalisation and the euro area and EU economies, European Central Bank, Occasional Paper Series, No 244.

Year 2019

  • Catania L., and Sandholdt M., "Bitcoin at High Frequency", Journal of Risk and Financial Management, 12(1), 36.
  • Catania L., Grassi S., and Ravazzolo F., "Forecasting Cryptocurrencies Under Model and Parameter Instability", International Journal of Forecasting, 35(2), 485-501.
  • Catania L., Ardia D., and Boudt K., "Generalized Autoregressive Score Models in R: The GAS Package", Journal of Statistical Software, 88(6).
  • Bernardi M., and Catania L., "Switching generalized autoregressive score copula models with application to systemic risk", Journal of Applied Econometrics, 34(1), 43-65.
  • Catania L., Di Mari R., Santucci de Magistris P., "Dynamic Discrete Mixtures for High Frequency Prices", SSRN Electronic Journal, January.
  • Di Mari R., Bakk Z., and Punzo A., "A random-covariate approach for distal outcome prediction with latent class analysis", Structural Equation Modeling: A Multidisciplinary Journal, August.
  • Di Mari R., Rocci R., and Gattone S.A., "Scale-constrained approaches for maximum likelihood estimation and model selection of clusterwise linear regression models", Statistical Methods and Applications, June.
  • Flemming J., L’Huillier J.P., and Piguillem F., “Macro-Prudential Taxation in Good Times”, Journal of International Economics, 121,103251.
  • Pezzuto R., “The Age Distribution of the Labour Force as Evidence of Prior Production Movements: The Italian Data for 1911 and the Long Swing in Investment from Unification to the Great War”, Rivista di Storia Economica, 35(3), pp. 249-268.
  • Silgado-Gómez E., "Sovereign Uncertainty", SSRN, November 10, https://ssrn.com/abstract=3485321 or http://dx.doi.org/10.2139/ssrn.3485321.

Year 2018

Papers

  • Berlingieri G., Calligaris S., and Criscuolo C.,"The Productivity-Wage Premium: Does Size Still Matter in a Service Economy?", American Economic Association, 108, 328-33.
  • Calligaris S., Del Gatto M., Hassan F., Ottaviano G., and Schivardi F., "The productivity puzzle and misallocation: an Italian perspective publication", Economic Policy, 33 (96), 635–684.
  • Ardia D., Boudt K., and Catania L., "Downside Risk Evaluation with the R Package GAS", The R Journal, 10(2), 410-421.
  • Catania L., and Nonejad N., "Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package", Journal of Statistical Software, 84(11).
  • Ardia D., Bluteau K., Boudt K., and Catania L., "Forecasting Risk with Markov-Switching GARCH Models: A large-scale performance study", International Journal of Forecasting, 34(4), 733-747.
  • Bernardi M., and Catania L., "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling", Journal of Empirical Finance, 48, 1-18.
  • Bernardi M., and Catania L., "The Model Confidence Set package for R", International Journal of Computational Economics and Econometrics, 8(2), 144 - 158.
  • Becchetti L., Ciciretti R. and Dalò A., "Fishing the Corporate Social Responsibility risk factors", Journal of Financial Stability, 37, 25-48.
  • Di Mari R., and Bakk Z., "Mostly harmless direct effects: a comparison of different latent markov modeling approaches", Structural Equation Modeling: A Multidisciplinary Journal, 25(3), 467-483.
  • Rocci R., Gattone S. A., and Di Mari R., "A data driven equivariant approach to constrained Gaussian mixture modeling", Advances in Data Analysis and Classification, 12(2), 235-260.
  • Fasani S., and Rossi L., "Are Uncertainty Shocks Aggregate Demand Shocks?", Economics Letters, Vol. 167, 142 146.
  • Mollisi V., and Rovigatti G., "Theory and Practice of TFP Estimation: The Control Function Approach Using Stata", The Stata Journal, 18 (3), 618-662.

 

Chapter in books

  • Balza L., Espinasa R., and Jimenez R., “Transforming Oil Abundance into Sector Performance: Which Institutions Really Matter?” in Transparent Governance in an Age of Abundance: Experiences from the Extractive Industries in LAC, edited by Masson M. and Vieyra J. IADB.

Year 2017

Papers

  • Di Mari R., Rocci R., and Gattone G. A., "Clusterwise linear regression modeling with soft scale constraints", International Journal of Approximate Reasoning, 91, 160-178.
  • Berlingieri G., Blanchenay P., Calligaris S., and Criscuolo C., "Firm-level Productivity Differences: Insight from the OECD’s MultiProd Project", International Productivity Monitor, 97-115.
  • Berlingieri G., Blanchenay P., Calligaris S., and Criscuolo C., "The MultiProd project: a comprehensive overview
    publication", OECD Science, Technology and Industry Working Paper.
  • Rovigatti G., "Production Function Estimation in R: The prodest Package", Journal of Open Source Software, 2(18), 371.

     

Chapter in Books

  • Di Mari R., Rocci R., and Gattone S.A., "Finite Mixture of Linear Regression Models: An Adaptive Constrained Approach to Maximum Likelihood Estimation", in: "Ferraro M. et al. (Eds.), Soft Methods for Data Science. Advances in Intelligent Systems and Computing", vol. 456. Springer, ISBN 978-3-319-42971-7.

Year 2016

Papers

  • Di Mari R., Oberski D.L, and Vermunt J.K., "Bias-adjusted three-step latent Markov modeling with covariates", Structural Equation Modeling: A Multidisciplinary Journal, 23(5), 649-660.
  • Calligaris S., Del Gatto M., Hassan F., Ottaviano G. and Schivardi F., "Export Participation and Misallocation after The Financial Crisis: Evidence from Italy", Rivista di Politica Economica, 105(79), 223-250.
  • Jimenez R., Serebrisky T., and Mercado J., "What does “better” mean? Perceptions of electricity and water services in Santo Domingo", Utilities Policy, vol. 41(C), 15-21.

Year 2015

Paper

  • Calligaris S., "Misallocation and Total Factor Productivity in Italy: Evidence from Firm-level Data”, Labour, 29(4), 367–393.
  • Becchetti L., Ciciretti R., Dalò A., and Herzel S., "Socially responsible and conventional investment funds: performance comparison and the global financial crisis", Applied Economics, 47, 25, 2541-2562.
  • Faiella I., and Mistretta A., "Spesa energetica e competitività delle imprese italiane", Economia Pubblica, 3, 85-121.