Research and Publications
Publications
Angelini, G., Cavaliere, G. and Fanelli, L. (2024), An identification and testing strategy for proxy-SVARs with weak proxies. Journal of Econometrics, 238(2).
Angelini, G., Castelnuovo, E., Caggiano, G. and Fanelli, L. (2023), Are Fiscal Multipliers Estimated with Proxy-SVARs Robust? Oxford Bulletin of Economics and Statistics, 85(1), 95-122.
Angelini, G., Costantini, M. and Easaw, J. (2022), Estimating uncertainty spillover effects across euro area using a regime dependent VAR model. Studies in Nonlinear Dynamics & Econometrics, 28(1).
Angelini, G., Cavaliere, G. and Fanelli, L. (2022), Bootstrap Inference and Diagnostics in State Space Models: with Application to Dynamic Macro Models. Journal of Applied Econometrics, 37(1), 3-22.
Angelini, G., De Angelis, L. and Singleton, C. (2022), Informational efficiency and price reaction within in-play prediction markets. International Journal of Forecasting, 38(1), 282-299.
Angelini, G., Candila, V. and De Angelis, L. (2021), Weighted ELO rating for tennis match predictions. European Journal of Operational Research, 297(1), 120-132.
Angelini, G. and Sorge, M. M. (2021), Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. Journal of Economic Dynamics and Control, 133.
Angelini, G. (2020), Bootstrap Lag Selection in DSGE Models with Expectations Correction. Econometrics and Statistics, 14, 1-158.
Guizzardi, A., Pons, F.M.E. , Angelini, G. and Ranieri, E. (2020), Big data from the supply side: a Smart Approach to tourism demand forecasting. International Journal of Forecasting, 37(3), 1049-1060.
Angelini, G. and Fanelli, L. (2019), Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments. Journal of Applied Econometrics, 34(6), 951-971 . [MATLAB code]
Angelini, G. and De Angelis, L. (2019), Efficiency of online football betting markets. International Journal of Forecasting, 35(2), 712-721.
Angelini, G., Bacchiocchi, E., Caggiano, G. and Fanelli, L. (2019), Uncertainty across volatility regimes. Journal of Applied Econometrics, 34(3), 437-455. [MATLAB code]
Guizzardi, A., Angelini, G. and Pons, F.M.E. (2019), Does advance booking matter in hedonic pricing? A new multivariate approach. International Journal of Tourism Research, 22(3), 277-288.
Angelini, G. and Gorgi, P. (2018), DSGE Models with observation-driven time-varying volatility. Economics Letters, 171, 169-171 .
Angelini, G. and De Angelis, L. (2017), PARX models for football match predictions. Journal of Forecasting, 36 (7), 795-807.
Angelini, G. and Fanelli, L. (2016), Misspecification and Expectations Correction in New Keynesian DSGE Models. Oxford Bulletin of Economics and Statistics, 78 (5), 623-649.
Bernini, C., Guizzardi, A. and Angelini, G. (2014), Developing a composite indicator of residents's well-being: the case of the Romagna area. Statistical Methods and Applications from a Historical Perspective, 337-345.
Bernini, C., Guizzardi, A. and Angelini, G. (2013), DEA-like model and common weights approach for the construction of a subjective community well-being indicator. Social Indicators Research, 11, 405-424.
Angelini, G., Bernini, C. and Guizzardi, A. (2013), Comparing weighting systems in the measurement of Subjective Well-Being. Statistica, 73 (2), 143-163.
Working papers
[Submitted] Angelini, G. and Costantini, M. (20XX), On the forecasting performance of small-scale DSGE models: A Monte Carlo evaluation and an application to UK.
[Submitted] Angelini, G., Fanelli, L. and Neri, L. (20XX), Invalid proxies and volatility changes.
[Submitted] Angelini, G., Fanelli, L. and Sorge, M. M. (20XX), Is Time an Illusion? A Bootstrap LR Approach to Testing Shock Transmission Delays in DSGE models.
Angelini, G., Cavaliere, G, De Angelis, L. and D'Innocenzo, E. (20XX), Time-varying Poisson autoregressions.
Angelini, G., Cavaliere, G. and Fanelli, L. (20XX), Testing instrument validity in Proxy-SVARs.