Published articles:

• Modeling and Forecasting Macroeconomic Downside Risk (with A. De Polis, and I. Petrella), Journal of Business & Economic Statistics, Forthcoming 

• The time-varying risk of Italian GDP (with F. Busetti, M. Caivano, and C. Pacella) Economic Modelling, 2021, 101, 105522.

• Domestic and global determinants of inflation: evidence from expectile regression (with F. Busetti, and M. Caivano) Oxford Bulletin of Economics and Statistics, 2021, 83 (4), 982-1001. 

• Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model (with I. Petrella, and F. Venditti).  Journal of Business & Economic Statistics, 2021, 39(4), 1054-1065. 

• Efficient Matrix Approach for Classical Inference in State Space Models (with I. Petrella). Economics Letters, 2019, 181(8), 22-27. (Supplementary material in the Online Appendix).

• Real and Financial Cycles: estimates using Unobserved Components Models for the Italian Economy (with G. Bulligan, L. Burlon, and A. Silvestrini). Statistical Methods & Applications,  2019, 28(3), 541–569. 

• Adaptive Models and Heavy Tails with Application to Inflation Forecasting (with I. Petrella).  International Journal of Forecasting, 2017, 33(2), 482–501.  

• Computing the mean square error of unobserved components extracted by misspecified time series models (with A.C. Harvey).  Journal of Economic Dynamics & Control, 2009, 33(2), 283–295.

• A structural time series approach to modeling multiple and resurgent meat scares in italy (with M. Mazzocchi, and A.E. Lobb).  Applied Economics, 2006, 38(14), 1677–1688.

Book chapters:

• Common faith or parting ways? A time varying parameter factor analysis of euro area inflation (with I. Petrella, and F. Venditti). Advances in Econometrics, 2016, 35, 539–565. Dynamic Factor Models. In E. Hillebrand, S.J. Koopman (ed.) Emerald Group Publishing Limited  

• Specification and misspecification of unobserved components models (with A.C. Harvey). W.R. Bell, S.H. Holan and T.S. McElroy (eds). Economic Time Series: Modeling & Seasonality (Festschrift D.F. Findley). London: Chapman and Hall/CRC Press, 2012, 83–108.

Policy papers:

• Energy price shock and inflation in the euro area (with S. Neri, F. Busetti, C. Conflitti, F. Corsello and A. Tagliabracci)  SUERF Policy Brief, 710, October 2023

• The dynamcs of macroeconomic downside risk (with A. De Polis and I. Petrella)  SUERF Policy Brief, 143, August 2021

• COVID-19 and the stock market: Long-term valuations (with I. Petrella and F. Venditti) VOXEU column, August 2020

• Financial market effects of ECB unconventional monetary policy announcements (with G. Bulligan) QEF (Occasional Papers), 2018, 424, Bank of Italy

Working papers:

• Energy price shock and inflation in the euro area (with S. Neri, F. Busetti, C. Conflitti, F. Corsello and A. Tagliabracci) QEF (Occasional Paper), 2023, 792, Bank of Italy 

• Trust but verify. De-anchoring of inflation expectations under learning and heterogeneity (with F. Busetti, A. Gerali, and A. Locarno)

• Adaptive State Space Models with applications to the Business cycle and the Financial stress (with I. Petrella, and F. Venditti)

• Does the ARFIMA really shift?  (with S. Grassi, and P. Santucci de Magistris)

• Measuring the Structural Deficit with a Multivariate Unobserved Component Model (with A. Galvao, and G. Kapetanios)

• On the effect of misspecification in models for extracting trends and cycles (with A.C. Harvey)