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Fabrizio Iacone

Personal Details

First Name:Fabrizio
Middle Name:
Last Name:Iacone
Suffix:
RePEc Short-ID:pia24

Affiliation

(95%) Dipartimento di Economia, Management e Metodi Quantitativi (DEMM)
Università degli Studi di Milano

Milano, Italy
http://www.demm.unimi.it/
RePEc:edi:damilit (more details at EDIRC)

(5%) Department of Economics and Related Studies
University of York

York, United Kingdom
http://www.york.ac.uk/economics/
RePEc:edi:deyoruk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Laura Coroneo & Fabrizio Iacone, 2021. "Testing for equal predictive accuracy with strong dependence," Discussion Papers 21/03, Department of Economics, University of York.
  2. Laura Coroneo & Fabrizio Iacone & Alessia Paccagnini & Paulo Santos Monteiro, 2020. "Testing the predictive accuracy of COVID-19 forecasts," Discussion Papers 20/10, Department of Economics, University of York.
  3. Fabrizio Iacone & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2020. "Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks," Working Paper 1431, Economics Department, Queen's University.
  4. Laura Coroneo & Fabrizio Iacone & Fabio Profumo, 2019. "A Real-time Density Forecast Evaluation of the ECB Survey of Professional Forecasters," Discussion Papers 19/14, Department of Economics, University of York.
  5. Iacone, Fabrizio & Leybourne, Stephen J & Taylor, AM Robert, 2017. "Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point," Essex Finance Centre Working Papers 19654, University of Essex, Essex Business School.
  6. Fabrizio Iacone & Stepana Lazarova, 2017. "Semiparametric detection of changes in long range dependence," Working Papers 830, Queen Mary University of London, School of Economics and Finance.
  7. Javier Hualde & Fabrizio Iacone, 2015. "Autocorrelation robust inference using the Daniell kernel with fixed bandwidth," Discussion Papers 15/14, Department of Economics, University of York.
  8. Laura Coroneo & Fabrizio Iacone, 2015. "Comparing predictive accuracy in small samples," Discussion Papers 15/15, Department of Economics, University of York.
  9. Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2011. "On the behaviour of fixed-b trend break tests under fractional integration," Discussion Papers 11/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  10. Fabrizio Iacone & Steve Martin & Luigi Siciliani & Peter C Smith, 2007. "Modelling the Dynamics of a Public Health Care System: Evidence from Time-Series Data," Working Papers 029cherp, Centre for Health Economics, University of York.
  11. Iacone, Fabrizio & Robinson, Peter M., 2004. "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics 2232, London School of Economics and Political Science, LSE Library.
  12. Fabrizio Iacone & Renzo Orsi, 2002. "Exchange Rate Management and Inflation Targeting in the CEE Accession Countries," Eastward Enlargement of the Euro-zone Working Papers wp08, Free University Berlin, Jean Monnet Centre of Excellence, revised 01 Aug 2002.
  13. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Tabellini, Guido, 1997. "Extracting Information from Asset Prices: The Methodology of EMU Calculators," CEPR Discussion Papers 1676, C.E.P.R. Discussion Papers.
  14. Favero, Carlo A. & Iacone, Fabrizio & Pifferi, Marco, 1996. "Monetary Policy, Forward Rates and Long Rates: Does Germany Differ from the United States?," CEPR Discussion Papers 1456, C.E.P.R. Discussion Papers.

Articles

  1. Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.
  2. Fabrizio Iacone & Štěpána Lazarová, 2019. "Semiparametric Detection of Changes in Long Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(5), pages 693-706, September.
  3. Iacone, Fabrizio & Leybourne, Stephen J. & Taylor, A.M. Robert, 2019. "Testing The Order Of Fractional Integration Of A Time Series In The Possible Presence Of A Trend Break At An Unknown Point," Econometric Theory, Cambridge University Press, vol. 35(6), pages 1201-1233, December.
  4. Javier Hualde & Fabrizio Iacone, 2019. "Fixed Bandwidth Inference for Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 544-572, July.
  5. Hualde, Javier & Iacone, Fabrizio, 2017. "Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes," Economics Letters, Elsevier, vol. 150(C), pages 39-43.
  6. Hualde, Javier & Iacone, Fabrizio, 2017. "Revisiting inflation in the euro area allowing for long memory," Economics Letters, Elsevier, vol. 156(C), pages 145-150.
  7. Iacone Fabrizio & Leybourne Stephen J. & Robert Taylor A.M., 2017. "Testing for a Change in Mean under Fractional Integration," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-8, January.
  8. Javier Hualde & Fabrizio Iacone, 2015. "Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 528-540, July.
  9. Burridge, Peter & Iacone, Fabrizio & Lazarová, Štěpána, 2015. "Spatial effects in a common trend model of US city-level CPI," Regional Science and Urban Economics, Elsevier, vol. 54(C), pages 87-98.
  10. Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2014. "A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 40-54, January.
  11. Iacone, Fabrizio & Leybourne, Stephen J. & Taylor, A.M. Robert, 2013. "ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION," Econometric Theory, Cambridge University Press, vol. 29(2), pages 393-418, April.
  12. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.
  13. Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.
  14. Fabrizio Iacone & Steve Martin & Luigi Siciliani & Peter C. Smith, 2012. "Modelling the dynamics of a public health care system: evidence from time-series data," Applied Economics, Taylor & Francis Journals, vol. 44(23), pages 2955-2968, August.
  15. Fabrizio Iacone, 2010. "Local Whittle estimation of the memory parameter in presence of deterministic components," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(1), pages 37-49, January.
  16. Fabrizio Iacone, 2009. "A Semiparametric Analysis of the Term Structure of the US Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(4), pages 475-490, August.
  17. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
  18. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Guido Tabellini, 2000. "Extracting information from asset prices: The methodology of EMU calculators," European Economic Review, Elsevier, vol. 44(9), pages 1607-1632, October.

Chapters

  1. Fabrizio Iacone & Renzo Orsi, 2009. "Inflation Control in Central and Eastern European Countries," World Scientific Book Chapters, in: Dipak Basu (ed.), Economic Models Methods, Theory and Applications, chapter 9, pages 173-200, World Scientific Publishing Co. Pte. Ltd..

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Laura Coroneo & Fabrizio Iacone & Alessia Paccagnini & Paulo Santos Monteiro, 2020. "Testing the predictive accuracy of COVID-19 forecasts," Discussion Papers 20/10, Department of Economics, University of York.

    Cited by:

    1. Marcelo Medeiros & Alexandre Street & Davi Vallad~ao & Gabriel Vasconcelos & Eduardo Zilberman, 2020. "Short-Term Covid-19 Forecast for Latecomers," Papers 2004.07977, arXiv.org, revised Sep 2021.

  2. Laura Coroneo & Fabrizio Iacone & Fabio Profumo, 2019. "A Real-time Density Forecast Evaluation of the ECB Survey of Professional Forecasters," Discussion Papers 19/14, Department of Economics, University of York.

    Cited by:

    1. Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.

  3. Iacone, Fabrizio & Leybourne, Stephen J & Taylor, AM Robert, 2017. "Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point," Essex Finance Centre Working Papers 19654, University of Essex, Essex Business School.

    Cited by:

    1. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.

  4. Fabrizio Iacone & Stepana Lazarova, 2017. "Semiparametric detection of changes in long range dependence," Working Papers 830, Queen Mary University of London, School of Economics and Finance.

    Cited by:

    1. Zhanshou Chen & Yanting Xiao & Fuxiao Li, 2021. "Monitoring memory parameter change-points in long-memory time series," Empirical Economics, Springer, vol. 60(5), pages 2365-2389, May.

  5. Javier Hualde & Fabrizio Iacone, 2015. "Autocorrelation robust inference using the Daniell kernel with fixed bandwidth," Discussion Papers 15/14, Department of Economics, University of York.

    Cited by:

    1. Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.
    2. Laura Coroneo & Fabrizio Iacone, 2015. "Comparing predictive accuracy in small samples," Discussion Papers 15/15, Department of Economics, University of York.

  6. Laura Coroneo & Fabrizio Iacone, 2015. "Comparing predictive accuracy in small samples," Discussion Papers 15/15, Department of Economics, University of York.

    Cited by:

    1. TAKAMIZAWA, Hideyuki, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Hitotsubashi University Center for Financial Research.
    2. Alberto Caruso & Laura Coroneo, 2019. "Predicting interest rates in real-time," Discussion Papers 19/18, Department of Economics, University of York.
    3. Döhrn, Roland, 2019. "Comparing forecast accuracy in small samples," Ruhr Economic Papers 833, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    4. Raïsa Basselier & David Antonio Liedo & Geert Langenus, 2018. "Nowcasting Real Economic Activity in the Euro Area: Assessing the Impact of Qualitative Surveys," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 1-46, April.
    5. Rubaszek, Michał & Karolak, Zuzanna & Kwas, Marek, 2020. "Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective," Resources Policy, Elsevier, vol. 65(C).
    6. Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.
    7. David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse, 2017. "Forecast evaluation tests and negative long-run variance estimates in small samples," Discussion Papers 17/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    8. Michael W. McCracken & Serena Ng, 2021. "FRED-QD: A Quarterly Database for Macroeconomic Research," Review, Federal Reserve Bank of St. Louis, vol. 103(1), pages 1-44, January.
    9. Marek Kwas & Michał Rubaszek, 2021. "Forecasting Commodity Prices: Looking for a Benchmark," Forecasting, MDPI, Open Access Journal, vol. 3(2), pages 1-13, June.
    10. Rubaszek Michal & Karolak Zuzanna & Kwas Marek & Uddin Gazi Salah, 2020. "The role of the threshold effect for the dynamics of futures and spot prices of energy commodities," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-20, December.

  7. Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2011. "On the behaviour of fixed-b trend break tests under fractional integration," Discussion Papers 11/03, University of Nottingham, Granger Centre for Time Series Econometrics.

    Cited by:

    1. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
    2. Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2014. "A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 40-54, January.
    3. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    4. Christensen, Bent Jesper & Kruse, Robinson & Sibbertsen, Philipp, 2013. "A unified framework for testing in the linear regression model under unknown order of fractional integration," Hannover Economic Papers (HEP) dp-519, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    5. Javier Hualde & Fabrizio Iacone, 2015. "Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 528-540, July.

  8. Fabrizio Iacone & Steve Martin & Luigi Siciliani & Peter C Smith, 2007. "Modelling the Dynamics of a Public Health Care System: Evidence from Time-Series Data," Working Papers 029cherp, Centre for Health Economics, University of York.

    Cited by:

    1. Reibling, Nadine, 2013. "The international performance of healthcare systems in population health: Capabilities of pooled cross-sectional time series methods," Health Policy, Elsevier, vol. 112(1), pages 122-132.

  9. Iacone, Fabrizio & Robinson, Peter M., 2004. "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics 2232, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Hualde, Javier & Nielsen, Morten Ørregaard, 2020. "Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 36(4), pages 751-772, August.
    2. Luis A. Gil-Alana, 2009. "Warming break trends and fractional integration in the northern, southern and global temperature anomaly series," Faculty Working Papers 09/09, School of Economics and Business Administration, University of Navarra.
    3. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
    4. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
    5. Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.
    6. 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.
    7. J. Cunado & L.A. Gil-Alana & F. Perez De Gracia, 2007. "Real convergence in some emerging countries : a fractionally integrated approach," Discussion Papers (REL - Recherches Economiques de Louvain) 2007034, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    8. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2006. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," Working Papers 20060501, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised May 2006.
    9. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics.
    10. Luis Gil-Alana & Rolando Peláez, 2008. "The persistence of earnings per share," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 425-439, November.
    11. Jiawen Xu & Pierre Perron, 2013. "Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations," Boston University - Department of Economics - Working Papers Series 2013-006, Boston University - Department of Economics.
    12. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, vol. 75(2), pages 575-589, March.
    13. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
    14. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.
    15. Uwe Hassler & Francesc Marmol & Carlos Velasco, 2008. "Fractional cointegration in the presence of linear trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1088-1103, November.
    16. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.

  10. Fabrizio Iacone & Renzo Orsi, 2002. "Exchange Rate Management and Inflation Targeting in the CEE Accession Countries," Eastward Enlargement of the Euro-zone Working Papers wp08, Free University Berlin, Jean Monnet Centre of Excellence, revised 01 Aug 2002.

    Cited by:

    1. Masso, Jaan & Staehr, Karsten, 2005. "Inflation dynamics and nominal adjustment in the Baltic States," Research in International Business and Finance, Elsevier, vol. 19(2), pages 281-303, June.
    2. Christian Fahrholz, 2003. "Strategic Exchange-Rate Policy of Accession Countries in ERM II," Eastward Enlargement of the Euro-zone Working Papers wp14, Free University Berlin, Jean Monnet Centre of Excellence, revised 01 Apr 2003.

  11. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Tabellini, Guido, 1997. "Extracting Information from Asset Prices: The Methodology of EMU Calculators," CEPR Discussion Papers 1676, C.E.P.R. Discussion Papers.

    Cited by:

    1. Fagan, Gabriel & Gaspar, Ví­tor, 2007. "Adjusting to the euro," Working Paper Series 716, European Central Bank.
    2. Marchetti, Domenico J. & Nucci, Francesco, 2005. "Price stickiness and the contractionary effect of technology shocks," European Economic Review, Elsevier, vol. 49(5), pages 1137-1163, July.
    3. Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca, 2009. "State-Uncertainty preferences and the Risk Premium in the Exchange rate market," Documentos de Trabajo del ICAE 2009-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    4. Favero, Carlo A., 1999. "Financial markets' assessments of EMU : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 51(1), pages 271-280, December.
    5. Raphaëlle Bellando & S. Pfister & Jean-Paul Pollin, 2000. "Evolution et déterminants de la crédibilité de l'Union Monétaire Européenne durant la phase de transition : une étude comparative France, Italie et Grande Bretagne," Post-Print halshs-00287977, HAL.
    6. Viktors Ajevskis & Kristine Vitola, 2009. "A Convergence Model of the Term Structure of Interest Rates," Working Papers 2009/01, Latvijas Banka.
    7. Reher, Gerrit & Wilfling, Bernd, 2014. "The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 483-496.
    8. Gabriel Fagan & Vitor Gaspar, 2008. "Macroeconomic Adjustment to Monetary Union," Working Papers 2008/14, Czech National Bank.
    9. Anna Naszódi, 2008. "Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates?," MNB Working Papers 2008/1, Magyar Nemzeti Bank (Central Bank of Hungary).
    10. Wilfling, Bernd, 2009. "Volatility regime-switching in European exchange rates prior to monetary unification," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 240-270, March.
    11. Juan Ángel Jiménez Martín & Rodrigo Peruga Urrea, 2003. "La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas," Documentos de Trabajo del ICAE 0306, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    12. Driessen, Joost & Perotti, Enrico, 2011. "Confidence building on Euro convergence: Evidence from currency options," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 474-491, April.
    13. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2003. "The Euro and Corporate Valuations," SSE/EFI Working Paper Series in Economics and Finance 525, Stockholm School of Economics, revised 23 Feb 2004.
    14. Hallerberg, Mark, 2000. "The importance of domestic political institutions: Why and how Belgium and Italy qualified for EMU," ZEI Working Papers B 10-2000, University of Bonn, ZEI - Center for European Integration Studies.
    15. Driessen, Joost & Perotti, Enrico C, 2004. "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers 4180, C.E.P.R. Discussion Papers.
    16. Juan-Ángel Jiménez-Martín & Rodrigo Peruga Urrea, 2004. "Macroeconomic and policy uncertainty and Exchange rate risk Premium," Documentos de Trabajo del ICAE 0412, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    17. Bates, David S., 1999. "Financial markets' assessments of EMU," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 51(1), pages 229-269, December.
    18. Livio Stracca, "undated". "Economics and Politics: Interest Rate Convergence in Europe and EMU," Discussion Papers in European Economics 99/6, Division of Economics, School of Business, University of Leicester.
    19. Martin Cincibuch & Matrina Horníková, 2008. "Measuring the Financial Markets’ Perception of EMU Enlargement: The Role of Ambiguity Aversion," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 210-230, August.
    20. Bernardino Adao & Jorge Barros Luis, 2000. "Interest rate spreads implicit in options: Spain and Italy against Germany," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 155-161.

  12. Favero, Carlo A. & Iacone, Fabrizio & Pifferi, Marco, 1996. "Monetary Policy, Forward Rates and Long Rates: Does Germany Differ from the United States?," CEPR Discussion Papers 1456, C.E.P.R. Discussion Papers.

    Cited by:

    1. Fabio C. Bagliano & Carlo A. Favero, "undated". "Measuring Monetary Policy with VAR Models: an Evaluation," Working Papers 132, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Andersson, Malin & Dillen, Hans & Sellin, Peter, 2006. "Monetary policy signaling and movements in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1815-1855, November.
    3. Andersson, Malin & Dillén, Hans & Sellin, Peter, 2001. "Monetary Policy Signaling and Movements in the Swedish Term Structure of Interest Rates," Working Paper Series 132, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jan 2004.
    4. Malin Andersson & Hans Dillén & Peter Sellin, 2002. "Monetary policy signalling and movements in the Swedish term structure of interest rates," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 268-297, Bank for International Settlements.
    5. Pérez Quirós, Gabriel & Sicilia, Jorge, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Working Paper Series 192, European Central Bank.
    6. Papadamou, Stephanos, 2013. "Market anticipation of monetary policy actions and interest rate transmission to US Treasury market rates," Economic Modelling, Elsevier, vol. 33(C), pages 545-551.
    7. Andrew G Haldane & Vicky Read, 2000. "Monetary policy surprises and the yield curve," Bank of England working papers 106, Bank of England.

Articles

  1. Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.

    Cited by:

    1. Alberto Caruso & Laura Coroneo, 2019. "Predicting interest rates in real-time," Discussion Papers 19/18, Department of Economics, University of York.
    2. Raïsa Basselier & David Antonio Liedo & Geert Langenus, 2018. "Nowcasting Real Economic Activity in the Euro Area: Assessing the Impact of Qualitative Surveys," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 1-46, April.
    3. Tobias Fissler & Yannick Hoga, 2021. "Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability," Papers 2104.10673, arXiv.org, revised Jul 2021.
    4. Jasiński, Tomasz, 2020. "Use of new variables based on air temperature for forecasting day-ahead spot electricity prices using deep neural networks: A new approach," Energy, Elsevier, vol. 213(C).
    5. Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.

  2. Fabrizio Iacone & Štěpána Lazarová, 2019. "Semiparametric Detection of Changes in Long Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(5), pages 693-706, September.
    See citations under working paper version above.
  3. Iacone, Fabrizio & Leybourne, Stephen J. & Taylor, A.M. Robert, 2019. "Testing The Order Of Fractional Integration Of A Time Series In The Possible Presence Of A Trend Break At An Unknown Point," Econometric Theory, Cambridge University Press, vol. 35(6), pages 1201-1233, December.
    See citations under working paper version above.
  4. Hualde, Javier & Iacone, Fabrizio, 2017. "Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes," Economics Letters, Elsevier, vol. 150(C), pages 39-43.

    Cited by:

    1. Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.
    2. David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse, 2017. "Forecast evaluation tests and negative long-run variance estimates in small samples," Discussion Papers 17/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    3. Dräger, Lena & Kolaiti, Theoplasti & Sibbertsen, Philipp, 2020. "Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory," Hannover Economic Papers (HEP) dp-675, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, revised Feb 2021.
    4. Hualde, Javier & Iacone, Fabrizio, 2017. "Revisiting inflation in the euro area allowing for long memory," Economics Letters, Elsevier, vol. 156(C), pages 145-150.

  5. Hualde, Javier & Iacone, Fabrizio, 2017. "Revisiting inflation in the euro area allowing for long memory," Economics Letters, Elsevier, vol. 156(C), pages 145-150.

    Cited by:

    1. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, Open Access Journal, vol. 9(1), pages 1-17, March.
    2. Dräger, Lena & Kolaiti, Theoplasti & Sibbertsen, Philipp, 2020. "Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory," Hannover Economic Papers (HEP) dp-675, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, revised Feb 2021.

  6. Iacone Fabrizio & Leybourne Stephen J. & Robert Taylor A.M., 2017. "Testing for a Change in Mean under Fractional Integration," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-8, January.

    Cited by:

    1. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    2. Daiqing Xi & Tianxiao Pang, 2021. "Estimating multiple breaks in mean sequentially with fractionally integrated errors," Statistical Papers, Springer, vol. 62(1), pages 451-494, February.

  7. Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2014. "A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 40-54, January.

    Cited by:

    1. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "A Simple Test on Structural Change in Long-Memory Time Series," Hannover Economic Papers (HEP) dp-592, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    2. Iacone Fabrizio & Leybourne Stephen J. & Robert Taylor A.M., 2017. "Testing for a Change in Mean under Fractional Integration," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-8, January.
    3. Seong Yeon Chang & Pierre Perron, 2014. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Boston University - Department of Economics - Working Papers Series wp2015-011, Boston University - Department of Economics, revised 20 Sep 2015.
    4. Wingert, Simon & Mboya, Mwasi Paza & Sibbertsen, Philipp, 2020. "Distinguishing between breaks in the mean and breaks in persistence under long memory," Economics Letters, Elsevier, vol. 193(C).
    5. Daiqing Xi & Tianxiao Pang, 2021. "Estimating multiple breaks in mean sequentially with fractionally integrated errors," Statistical Papers, Springer, vol. 62(1), pages 451-494, February.
    6. Dooruj Rambaccussing & Murat Mazibas, 2020. "True versus Spurious Long Memory in Cryptocurrencies," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(9), pages 1-11, August.
    7. Sibbertsen, Philipp & Wenger, Kai & Wingert, Simon, 2020. "Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series," Hannover Economic Papers (HEP) dp-676, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    8. Wenger, Kai & Leschinski, Christian, 2018. "Fixed-Bandwidth CUSUM Tests Under Long Memory," Hannover Economic Papers (HEP) dp-647, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    9. Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019. "Change-in-mean tests in long-memory time series: a review of recent developments," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.

  8. Iacone, Fabrizio & Leybourne, Stephen J. & Taylor, A.M. Robert, 2013. "ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION," Econometric Theory, Cambridge University Press, vol. 29(2), pages 393-418, April.
    See citations under working paper version above.
  9. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.

    Cited by:

    1. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "A Simple Test on Structural Change in Long-Memory Time Series," Hannover Economic Papers (HEP) dp-592, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    2. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
    3. Seong Yeon Chang & Pierre Perron, 2017. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses," Econometrics, MDPI, Open Access Journal, vol. 5(1), pages 1-26, January.
    4. Iacone Fabrizio & Leybourne Stephen J. & Robert Taylor A.M., 2017. "Testing for a Change in Mean under Fractional Integration," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-8, January.
    5. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    6. Seong Yeon Chang & Pierre Perron, 2014. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Boston University - Department of Economics - Working Papers Series wp2015-011, Boston University - Department of Economics, revised 20 Sep 2015.
    7. Christensen, Bent Jesper & Kruse, Robinson & Sibbertsen, Philipp, 2013. "A unified framework for testing in the linear regression model under unknown order of fractional integration," Hannover Economic Papers (HEP) dp-519, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    8. Jiawen Xu & Pierre Perron, 2013. "Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations," Boston University - Department of Economics - Working Papers Series 2013-006, Boston University - Department of Economics.
    9. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.

  10. Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.

    Cited by:

    1. Marcel Aloy & Gilles Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 83-104, June.
    2. Javier Hualde & Fabrizio Iacone, 2015. "Autocorrelation robust inference using the Daniell kernel with fixed bandwidth," Discussion Papers 15/14, Department of Economics, University of York.
    3. Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," AMSE Working Papers 1353, Aix-Marseille School of Economics, France, revised 29 Oct 2013.
    4. Javier Hualde & Fabrizio Iacone, 2015. "Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 528-540, July.

  11. Fabrizio Iacone & Steve Martin & Luigi Siciliani & Peter C. Smith, 2012. "Modelling the dynamics of a public health care system: evidence from time-series data," Applied Economics, Taylor & Francis Journals, vol. 44(23), pages 2955-2968, August.
    See citations under working paper version above.
  12. Fabrizio Iacone, 2010. "Local Whittle estimation of the memory parameter in presence of deterministic components," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(1), pages 37-49, January.

    Cited by:

    1. Becker, Janis & Leschinski, Christian & Sibbertsen, Philipp, 2019. "Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration," Hannover Economic Papers (HEP) dp-660, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    2. Adam McCloskey, 2012. "Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends," Working Papers 2012-17, Brown University, Department of Economics.
    3. Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
    4. Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
    5. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
    6. Hou, Jie & Perron, Pierre, 2014. "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, vol. 182(2), pages 309-328.
    7. Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, Open Access Journal, vol. 6(1), pages 1-21, March.
    8. John Goddard & Enrico Onali, 2014. "Self-affinity in financial asset returns," Papers 1401.7170, arXiv.org.
    9. Iacone Fabrizio & Leybourne Stephen J. & Robert Taylor A.M., 2017. "Testing for a Change in Mean under Fractional Integration," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-8, January.
    10. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
    11. Yohei Yamamoto & Pierre Perron, 2013. "Estimating and testing multiple structural changes in linear models using band spectral regressions," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 400-429, October.
    12. Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019. "The Memory of Beta Factors," Hannover Economic Papers (HEP) dp-661, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    13. Baek, Changryong & Fortuna, Natércia & Pipiras, Vladas, 2014. "Can Markov switching model generate long memory?," Economics Letters, Elsevier, vol. 124(1), pages 117-121.
    14. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    15. Laura Mayoral, 2005. "Further evidence on the statistical properties of real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006.
    16. Aeneas Rooch & Ieva Zelo & Roland Fried, 2019. "Estimation methods for the LRD parameter under a change in the mean," Statistical Papers, Springer, vol. 60(1), pages 313-347, February.
    17. Dalla, Violetta & Giraitis, Liudas & Robinson, Peter M., 2020. "Asymptotic theory for time series with changing mean and variance," Journal of Econometrics, Elsevier, vol. 219(2), pages 281-313.
    18. Leschinski, Christian & Sibbertsen, Philipp, 2017. "Origins of Spurious Long Memory," Hannover Economic Papers (HEP) dp-595, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    19. Leschinski, Christian & Sibbertsen, Philipp, 2018. "The Periodogram of Spurious Long-Memory Processes," Hannover Economic Papers (HEP) dp-632, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  13. Fabrizio Iacone, 2009. "A Semiparametric Analysis of the Term Structure of the US Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(4), pages 475-490, August.

    Cited by:

    1. Dayong Zhang & Marco R. Barassi & Jijun Tan, 2015. "Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1118-1140, December.
    2. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
    3. Adam Golinski & Peter Spencer, 2012. "The Meiselman forward interest rate revision regression as an Affine Term Structure Model," Discussion Papers 12/27, Department of Economics, University of York.
    4. Kuriyama Nina, 2016. "Testing cointegration in quantile regressions with an application to the term structure of interest rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 107-121, April.
    5. Goliński, Adam & Spencer, Peter, 2017. "The advantages of using excess returns to model the term structure," Journal of Financial Economics, Elsevier, vol. 125(1), pages 163-181.
    6. Daniela Osterrieder & Peter C. Schotman, 2012. "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers 2012-35, Department of Economics and Business Economics, Aarhus University.
    7. Dechert, Andreas, 2014. "Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen," W.E.P. - Würzburg Economic Papers 93, University of Würzburg, Chair for Monetary Policy and International Economics.
    8. Katarzyna Lasak & Carlos Velasco, 2014. "Fractional Cointegration Rank Estimation," Tinbergen Institute Discussion Papers 14-021/III, Tinbergen Institute.
    9. Dechert, Andreas, 2012. "Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks," MPRA Paper 41044, University Library of Munich, Germany.

  14. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
    See citations under working paper version above.
  15. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Guido Tabellini, 2000. "Extracting information from asset prices: The methodology of EMU calculators," European Economic Review, Elsevier, vol. 44(9), pages 1607-1632, October.
    See citations under working paper version above.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (6) 2015-08-30 2015-09-26 2017-05-21 2018-03-19 2020-06-29 2021-06-14. Author is listed
  2. NEP-ETS: Econometric Time Series (5) 2015-08-30 2017-05-21 2018-03-19 2020-06-29 2021-06-14. Author is listed
  3. NEP-FOR: Forecasting (4) 2015-09-26 2019-10-07 2020-10-19 2021-08-09
  4. NEP-EEC: European Economics (3) 1998-11-20 2007-07-27 2019-10-07
  5. NEP-ORE: Operations Research (3) 2018-03-19 2020-10-19 2021-08-09
  6. NEP-HEA: Health Economics (2) 2007-07-27 2008-02-16
  7. NEP-GER: German Papers (1) 2015-08-30
  8. NEP-IFN: International Finance (1) 1998-11-20
  9. NEP-MAC: Macroeconomics (1) 2019-10-07

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