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Citations of
Laurent Ferrara

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Barhoumi, K. & Darné, O. & Ferrara, L., 2009. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Documents de Travail 232, Banque de France. [Downloadable!]

    Cited by:

    1. Bušs, Ginters, 2009. "Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach," MPRA Paper 16684, University Library of Munich, Germany. [Downloadable!]

  2. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Documents de Travail 239, Banque de France. [Downloadable!]
    Other versions:

    Cited by:

    1. Fève, P. & Matheron, J. & Sahuc, J-G., 2009. "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," Documents de Travail 245, Banque de France. [Downloadable!]
      Other versions:
    2. Monfort, A., 2009. "Optimal Portfolio Allocation under Asset and Surplus VaR Constraints," Documents de Travail 251, Banque de France. [Downloadable!]

  3. Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne. [Downloadable!]
    Other versions:

    Cited by:

    1. Ferrara, L. & Guégan, D., 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Documents de Travail 224, Banque de France. [Downloadable!]
      Other versions:

  4. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers 2007_32, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

    Cited by:

    1. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics. [Downloadable!]

  5. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

    Cited by:

    1. Avouyi-Dovi, S. & Kierzenkowski, R. & Lubochinsky, C., 2006. "Are Business and Credit Cycles Converging or Diverging? A comparison of Poland, Hungary, the Czech Republic and the Euro Area," Documents de Travail 144, Banque de France. [Downloadable!]
    2. Adanero-Donderis , M. & Darné, O. & Ferrara, L., 2007. "Deux indicateurs probabilistes de retournement cyclique pour l’économie française," Documents de Travail 187, Banque de France. [Downloadable!]
    3. Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    4. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185372_v1, HAL. [Downloadable!]
    5. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    6. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Documents de Travail 239, Banque de France. [Downloadable!]
      Other versions:
    7. Kierzenkowski, R. & Oung, V., 2007. "L’évolution des crédits à l’habitat en France : une grille d’analyse en termes de cycles," Documents de Travail 172, Banque de France. [Downloadable!]
    8. Ferrara, Laurent, 2006. "A real-time recession indicator for the Euro area," MPRA Paper 4042, University Library of Munich, Germany. [Downloadable!]

  6. Laurent Ferrara & Dominique Guegan, 2006. "Fractional seasonality: Models and Application to Economic Activity in the Euro Area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185370_v1, HAL. [Downloadable!]

    Cited by:

    1. Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, Economics Bulletin, vol. 3(29), pages 1-10. [Downloadable!]
      Other versions:

  7. Anas, Jacques & Ferrara, Laurent, 2002. "Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
    [A start-end recession index: Application for United-States]    ," MPRA Paper 4043, University Library of Munich, Germany. [Downloadable!]

    Cited by:

    1. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, EconWPA, revised 28 Mar 2005. [Downloadable!]
    2. Benoit Bellone, 2004. "MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models," Econometrics 0406004, EconWPA. [Downloadable!]
    3. Ferrara, Laurent, 2006. "A real-time recession indicator for the Euro area," MPRA Paper 4042, University Library of Munich, Germany. [Downloadable!]
    4. Benoit Bellone & David Saint-Martin, 2004. "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics 0407001, EconWPA. [Downloadable!]
    5. Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, EconWPA. [Downloadable!]

  8. Laurent Ferrara ; Dominique Guegan, . "Estimation and Applications of Gegenbauer Processes," Working Papers 99-27, Centre de Recherche en Economie et Statistique. [Downloadable!]

    Cited by:

    1. Souza, Leonardo Rocha & Soares, Lacir Jorge, 2003. "Forecasting Electricity Load Demand: Analysis of the 2001 Rationing Period in Brazil," Economics Working Papers (Ensaios Economicos da EPGE) 491, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    2. Soares, Lacir Jorge & Souza, Leonardo Rocha, 2003. "Forecasting Electricity Demand Using Generalized Long Memory," Economics Working Papers (Ensaios Economicos da EPGE) 486, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:

Articles

  1. Jacques Anas & Monica Billio & Laurent Ferrara & Gian Luigi Mazzi, 2008. "A System For Dating And Detecting Turning Points In The Euro Area," Manchester School, University of Manchester, vol. 76(5), pages 549-577, 09. [Downloadable!] (restricted)

    Cited by:

    1. Lemoine , Matthieu & Mazzi , Gian Luigi & Monperrus-Veroni , Paola & Reynes, Frédéric, 2008. "Real time estimation of potential output and output gap for theeuro-area: comparing production function with unobserved componentsand SVAR approaches," MPRA Paper 13128, University Library of Munich, Germany, revised Nov 2008. [Downloadable!]
      Other versions:
    2. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics. [Downloadable!]

  2. Laurent Ferrara, 2007. "Point and interval nowcasts of the Euro area IPI," Applied Economics Letters, Taylor and Francis Journals, vol. 14(2), pages 115-120. [Downloadable!] (restricted)

    Cited by:

    1. Ferrara, L. & Guégan, D., 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Documents de Travail 224, Banque de France. [Downloadable!]
      Other versions:
    2. Ferrara, Laurent, 2006. "A real-time recession indicator for the Euro area," MPRA Paper 4042, University Library of Munich, Germany. [Downloadable!]

  3. Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December. [Downloadable!] (restricted)

    Cited by:

    1. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, EconWPA, revised 28 Mar 2005. [Downloadable!]
    2. Adanero-Donderis , M. & Darné, O. & Ferrara, L., 2007. "Deux indicateurs probabilistes de retournement cyclique pour l’économie française," Documents de Travail 187, Banque de France. [Downloadable!]
    3. Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    4. Moritz Cruz, 2005. "A three-regime business cycle model for an emerging economy," Applied Economics Letters, Taylor and Francis Journals, vol. 12(7), pages 399-402, June. [Downloadable!] (restricted)
    5. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185372_v1, HAL. [Downloadable!]
    6. Benoit Bellone, 2004. "MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models," Econometrics 0406004, EconWPA. [Downloadable!]
    7. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Documents de Travail 239, Banque de France. [Downloadable!]
      Other versions:
    8. Kierzenkowski, R. & Oung, V., 2007. "L’évolution des crédits à l’habitat en France : une grille d’analyse en termes de cycles," Documents de Travail 172, Banque de France. [Downloadable!]
    9. Ferrara, Laurent, 2006. "A real-time recession indicator for the Euro area," MPRA Paper 4042, University Library of Munich, Germany. [Downloadable!]
    10. Benoit Bellone & David Saint-Martin, 2004. "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics 0407001, EconWPA. [Downloadable!]
    11. Moritz Cruz, 2005. "The business cycle in a financially deregulated context: Theory and evidence," International Review of Applied Economics, Taylor and Francis Journals, vol. 19(3), pages 271-287, July. [Downloadable!] (restricted)
    12. Yu-Fu Chen & Michael Funke, 2009. "Booms, Recessions and Financial Turmoil: A Fresh Look at Investment Decisions under Cyclical Uncertainty," Discussion Papers 225, University of Dundee, Economic Studies. [Downloadable!]
      Other versions:
    13. Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, EconWPA. [Downloadable!]

  4. Ferrara, Laurent & Guegan, Dominique, 2001. "Forecasting with k-Factor Gegenbauer Processes: Theory and Applications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(8), pages 581-601, December.

    Cited by:

    1. Sandro Sapio, 2004. "Market Design, Bidding Rules, and Long Memory in Electricity Prices," LEM Papers Series 2004/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    2. Souza, Leonardo Rocha & Soares, Lacir Jorge, 2003. "Forecasting Electricity Load Demand: Analysis of the 2001 Rationing Period in Brazil," Economics Working Papers (Ensaios Economicos da EPGE) 491, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994," Economics and Finance Discussion Papers 04-21, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    4. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343_v1, HAL. [Downloadable!]
      Other versions:
    5. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society. [Downloadable!]
      Other versions:
    6. Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, Economics Bulletin, vol. 3(29), pages 1-10. [Downloadable!]
      Other versions:
    7. Soares, Lacir Jorge & Souza, Leonardo Rocha, 2003. "Forecasting Electricity Demand Using Generalized Long Memory," Economics Working Papers (Ensaios Economicos da EPGE) 486, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    8. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314_v1, HAL. [Downloadable!]

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This page was last updated on 2009-12-18.

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