Publication

• Forecasting with the Standardized Self-Perturbed Kalman Filter, with Nonejad N. and Santucci de Magistris P. Journal of Applied Econometrics, forthcoming.
• A DataCleaning Augmented Kalman Filter for Robust Estimation of State Space Models with Proietti T. and Marczak M. Econometrics and Statistics, forthcoming.
• The R package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference (2015) with Basturk N., Hoogerheide, L., Opschoor A. and van Dijk H. K. Journal of Statistical Software, forthcoming.
• Parallel Sequential Monte Carlo for Efficient Density Combination:  The Deco Matlab Toolbox(2015), with Casarin R., Ravazzolo F. and van Dijk H. K., Journal of Statistical Software, Vol. 68. 1-30.
• EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries(2015), with Proietti T., Frale C., Marcellino M. and Mazzi G., International Journal of Forecasting, Vol 31, 712-738.
• Parallelization Experience with Four Canonical Econometric Models using ParMitISEM, with B˜ast¨urk N., Hoogerheide, L. and van Dijk H. K., Econometrics, Vol. 4, 1-20.
• Stochastic Trends and Seasonality in Economic Time Series: New Evidence from Bayesian Stochastic Model Specification Search(2015), with Proietti T., Empirical Economics, Vol. 48, 983-1011.
• Its all about volatility (of volatility): Evidence from a two-factor stochastic volatility model(2014), with Santucci de Magistris P., Journal of Empirical Finance, Vol. 30, 62-78.
• Item Response Models to Measure Corporate Social Responsibility(2014), with Nicolosi M. and Stanghellini E., Applied Financial Economics, Vol. 24, 1449-1464.
• When Long Memory Meets the Kalman Filter: A Comparative Study(2014), with Santucci de Magistris P., Computational Statistics and Data Analysis, Vol. 76, 301-319.
• Characterizing Economic Trends by Bayesian Stochastic Model Specification Search(2014), with Proietti T., Computational Statistics and Data Analysis, Vol. 71, 359-374.
• The Statistical Relation of Sea-level and Temperature Revisited(2013), with Hillebrand E. and Ventosa-Santaulria D., Dynamics of Atmospheres and Oceans, Vol. 64, 1-9.
• Heterogeneous Computing in Economics: A Simplified Approach(2012), with Dziubinski, M. P., Computational Economics, Vol. 43, 485-495.
• Bayesian Stochastic Model Specification Search for Seasonal and Calendar Effects, with Proietti T., Economic Time Series: Modeling and Seasonality, edited by William R. Bell, Scott H. Holan and Tucker S. McElroy, Chapman and Hall/CRC Press, March 2012.
• Has the Volatility of US Inflation Changed and How?(2010) with Proietti T., Journal of Time Series Econometrics, Vol. 2, Issue 1.

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More details and other publications here.