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The Time-varying Risk of Italian GDP
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The Time-varying Risk of Italian GDP (2020)The Time-varying Risk of Italian GDPVulnerable Growth (2019)Vulnerable GrowthSystemic risk and the macroeconomy: An empirical evaluation (2016)Systemic risk and the macroec…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Economic policy uncertainty and unemployment in the United States: A nonlinear approach (2016)Economic policy uncertainty a…Risk management with expectiles (2015)Risk management with expectil…Really Uncertain Business Cycles (2014)Really Uncertain Business Cyc…Credit Availability and Investment in Italy: Lessons from the 'Great Recession' (2011)Credit Availability and Inves…Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules (2010)Comparing Density Forecasts U…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Assessing value at risk with CARE, the Conditional Autoregressive Expectile models (2008)Assessing value at risk with …The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…Estimating Value at Risk and Expected Shortfall Using Expectiles (2007)Estimating Value at Risk and …On the coherence of expected shortfall (2002)On the coherence of expected …Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Expected Shortfall: A Natural…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank (1997)The predictive power of the t…Economic policy uncertainty and China’s growth-at-risk (2021)Economic policy uncertainty a…Econometric policy evaluation: A critique (1976)Limited-Dependent and Qualitative Variables in Econometrics (1983)The federal funds rate and the channels of monetary transmission (1989)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Forecasting Output and Inflation: The Role of Asset Prices (2003)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Lectures on Stochastic Programming (2009)Lectures on Stochastic Programming: Modeling and Theory (2009)Irreversibility, Uncertainty, and Cyclical Investment (1980)Investment Under Uncertainty. (1994)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Uncertainty (2015)Measuring Geopolitical Risk (2022)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Comparing Predictive Accuracy (1994)Modeling and Forecasting Realized Volatility (2003)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Multivariate GARCH models: a survey (2006)Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Conditional value-at-risk: optimization algorithms and applications (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Quantile cointegrating regression (2008)Machine Learning and Portfolio Optimization (2016)Investment under Uncertainty (1994)Policy Uncertainty and Corporate Investment (2015)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)Illiquidity and stock returns: cross-section and time-series effects (2002)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)Sensitive industries produce better ESG performance: Evidence from emerging markets (2017)Firm-Level Political Risk: Measurement and Effects* (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Macroeconomic Nowcasting and Forecasting with Big Data (2018)Banking Crises Without Panics* (2020)How is machine learning useful for macroeconomic forecasting? (2022)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)
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References

  • 2016Measuring Economic Policy Uncertainty*12,809 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 2007The Impact of Uncertainty Shocks2,181 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2014Really Uncertain Business Cycles1,273 cited
  • 2019Vulnerable Growth779 cited
  • 2016Systemic risk and the macroeconomy: An empirical evaluation608 cited
  • 2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk573 cited
  • 1997The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank537 cited
  • 2010Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules510 cited
  • 2016Economic policy uncertainty and unemployment in the United States: A nonlinear approach419 cited
  • 2007Estimating Value at Risk and Expected Shortfall Using Expectiles309 cited
  • 2011Credit Availability and Investment in Italy: Lessons from the 'Great Recession'295 cited
  • 2008Assessing value at risk with CARE, the Conditional Autoregressive Expectile models

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233 cited
  • 2015Risk management with expectiles223 cited
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    • 2021Economic policy uncertainty and China’s growth-at-risk50 cited