Costantini, M and Kunst, R. 2025. On the use of mean square error and directional forecast accuracy for model selection: A simulation study. Journal of Statistical Computation and Simulations, forthcoming.
Angelini, G. and Costantini, M. 2025. Poisson autoregressions for forecasting extreme events: earthquakes and heatwaves in Italy, The Annals of Operations Research, 1-14.
Angelini, G. and Costantini, M. 2025. On the forecasting performance of small-scale DGSE models: a Monte Carlo evaluation and an application to UK, Journal of the Operational Research Society, 76 (3), 554-566.
Costantini, M., Costola, M., Ferranna, L. and Paradiso, A. 2025. Exploring Secular Wheat Price Dynamics Across Italian Cities Using R2 Connectedness, Journal of Agricultural, Biological and Environmental Statistics, 30, 261–282.
Casarin, R., Costantini, M. and Osuntuyi, A. 2024. Bayesian nonparametric panel Markov-switching GARCH models, Journal of Business & Economic Statistics, 42 (1), 135-146.
Costantini, M. and Lupi, C. 2024. A comparative study on p value combination tests for unit roots in multiple time series, Communications in Statistics-Simulation and Computation, 53 (11), 5290-5304.
Angelini, G., Costantini, M. and Easaw, J. 2024. Estimating uncertainty spillover effects across euro area using a regime dependent VAR model, Studies in Nonlinear Dynamics & Econometrics, 28 (1), 39-59.
Costantini, M., Maaitah, A., Mishra, T. and Sousa, R.M. 2023. Bitcoin market networks and cyberattacks, Physica A: Statistical Mechanics and its Applications, 630, 129165.
Costantini, M. and Sousa, R.M. 2022. What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality, Journal of International Money and Finance, 122, 102574.
Casarin, R., Costantini, M. and Paradiso, A. 2021. On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting, Economic Modelling, 105, 105644.
Costantini, M. and Kunst, R.M. 2021. On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation, International Journal of Forecasting, 37 (2), 445-460.
Costantini, M. and Sousa, R.M. 2020. Consumption, asset wealth, equity premium, term spread, and flight to quality, European Financial Management, 26 (3), 778-807.
Cerqueti, R., Costantini, M., Gutierrez, L. and Westerlund., J. 2019. Panel stationary tests against changes in persistence, Statistical Papers, 60, 1079-1100.
Costantini, M. and A. Paradiso, A. 2018. What do panel data say on inequality and GDP? New evidence at US state-level, Economics Letters, 168, 115-117.
Costantini, M., Meco, I. and A. Paradiso, A. 2018. Do inequality, unemployment and deterrence affect crime over the long run? Regional Studies, 52 (4), 558-571.
Costantini, M., Gunter, U. and Kunst, R.M. 2017. Forecast Combinations in a DSGE‐VAR Lab, Journal of Forecasting, 36 (3), 305-324.
Costantini, M., Cuaresma, J.C. and Hlouskova, J. 2016. Forecasting errors, directional accuracy and profitability of currency trading: The case of EUR/USD exchange rate, Journal of Forecasting, 35 (7), 652-668, 2016.
Costantini, M. and A. Sen, A. 2016. A simple testing procedure for unit root and model specification, Computational Statistics & Data Analysis, 102, 37-54.
Chen, Q., Costantini, M. and Deschamps, B. 2016. How accurate are professional forecasts in Asia? Evidence from ten countries, International Journal of Forecasting, 32 (1), 154-167, 2016.
Costantini, M. and Lupi, C. 2016. Identifying stationary series in panels: A Monte Carlo evaluation of sequential panel selection methods, Economics Letters, 138, 9-14, 2016.
Barrell, R., Costantini, M. and Meco, I. 2015. Housing wealth, financial wealth, and consumption: New evidence for Italy and the UK, International Review of Financial Analysis, 42, 316-323.
Costantini, M., Narayan, P., Popp, S. and Westerlund, J. 2015. Small-sample improved seasonal unit root tests for trending and breaking series, Communications in Statistics-Simulation and Computation, 44 (4), 868-877.
Bergmeir, C., Costantini, M. and Benítez, J.M. 2014. On the usefulness of cross-validation for directional forecast evaluation, Computational Statistics & Data Analysis, 76, 132-143.
Costantini, M., Fragetta, M. and Melina, G. 2014. Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective, European Economic Review, 70, 337-349.
Caporale, G.M., Costantini, M. and Paradiso, A. 2013. Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal, Journal of International Financial Markets, Institutions and Money, 26, 215-225.
Costantini, M. 2013. Forecasting the industrial production using alternative factor models and business survey data, Journal of Applied Statistics, 40 (10), 2275-2289.
Coppier, R., Costantini, M. and G. Piga, G. 2013. The role of monitoring of corruption in a simple endogenous growth model, Economic Inquiry, 51 (4), 1972-1985.
Costantini, M. and L. Gutierrez, L. 2013. Capital mobility and global factor shocks, Economics Letters, 120 (3), 513-515.
Cerqueti, R. and Costantini, M. 2013. New results on the convergence of random matrices, Statistics, 47 (4), 663-671.
Costantini, M. and C. Lupi, C, 2013. A simple panel‐CADF test for unit roots, Oxford Bulletin of Economics and Statistics, 75 (2), 276-296.
Costantini, M., Demetriades, P.O., James, G.A. and Lee, K.C. 2013. Financial restraints and private investment: evidence from a nonstationary panel, Economic Inquiry, 51 (1), 248-259.
Costantini, M. and Gutierrez, L. 2013. Bootstrap innovational outlier unit root tests in dependent panels, Economics Letters, 117 (3), 817-819.
Costantini, M. and Sen, A. 2012. On the asymptotic distribution of a simple unit root test for trending and breaking series, Journal of Statistical Planning and Inference, 142 (7), 1690-1697.
Costantini, M. and Sen, A. 2012. New evidence on the convergence of international income from a group of 29 countries, Applied Economics Letters, 19 (5), 425-429, 2012.
Cerqueti, R. and Costantini, M. 2011. Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels, Journal of Banking & Finance, 35 (10), 2598-2605.
Costantini, M and Kunst, R.M. 2011. Combining forecasts based on multiple encompassing tests in a macroeconomic core system, Journal of Forecasting, 30 (6), 579-596.
Costantini, M. and Popp, S. 2011. A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break, Statistical Papers, 52, 677-682.
Costantini, M. and Pappalardo, C. 2010. A hierarchical procedure for the combination of forecasts, International Journal of Forecasting, 26 (4), 725-743, 2010.
Cerqueti, R. and Costantini, M. 2010. Some Nonparametric Asymptotic Results for a Class of Stochastic Processes, Communications in Statistics-Theory and Methods, 39 (14), 2552-2560.
Auteri, M. and Costantini, M. 2010. A panel cointegration approach to estimating substitution elasticities in consumption, Economic Modelling, 27 (3), 782-787.
Cerqueti, R. and Costantini, M. 2009. Asymptotic solutions of a generalized eigenvalue problem, Applied Mathematical Sciences, 3 (60), 2985-2999.
M Costantini, and Destefanis, S. 2009. Cointegration analysis for cross-sectionally dependent panels: The case of regional production functions, Economic Modelling, 26 (2), 320-327.
Westerlund, J. and Costantini, M 2009. Panel cointegration and the neutrality of money, Empirical Economics, 36, 1-26.
Cerqueti, R. and Costantini, M. 2008. On the asymptotic behaviour of random matrices in a multivariate statistical model, Statistics & Probability Letters, 78 (14), 2039-2045.
Costantini, M. and L Gutierrez, 2007. Simple panel unit root tests to detect changes in persistence, Economics Letters, 96 (3), 363-368.
Costantini, M. and Lupi, C. 2007. An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks, Economics Letters, 95 (3), 408-414.
M Costantini, M. and Lupi, C. 2006. Divergence and long-run equilibria in Italian regional unemployment, Applied Economics Letters, 13 (14), 899-904.
Costantini, M. and Arbia, G. 2006. Testing the stochastic convergence of Italian regions using panel data, Applied Economics Letters, 13 (12), 775-783.
D’Ecclesia, R. and Costantini, M. 2006. Comovements and correlations in international stock markets, The European Journal of Finance, 12 (6-7), 567-582.
Costantini, M and C Lupi, 2005. Stochastic convergence among European economies, Economics Bulletin, 3 (38), 1-17.
Auteri, M, and Costantini, 2004. Is social protection a necessity or a luxury good? New multivariate cointegration panel data results, Applied Economics, 36 (17), 1887-1898.
Auteri, M. and Costantini, M. 2004. Fiscal policy and economic growth: the case of the Italian regions, Review of Regional Studies, 34 (1), 72-94.