Economics & Finance
Lorenzo Giordani
I graduated in Macroeconomics and Finance at Sapienza University of Rome. My interests are in time-series econometrics, in particular nowcasting and forecasting with dynamic factor models, and the effects of monetary policy shocks, studied with Bayesian methods and vector autoregressions. I am also strongly interested in non‑Gaussian econometrics, in particular heavy-tailed and asymmetric processes.
- Simulated paths
- Real path
- Distribution
Featured · Master’s thesis
Nowcasting U.S. GDP with a Mixed‑Frequency Dynamic Factor Model with Student‑t Errors
Read the project → Replications
Papers, rebuilt from the data
- Christiano, Eichenbaum & Evans (2005) Nominal Rigidities and the Dynamic Effects of a Shock to Monetary PolicyVAR · Cholesky identification · Bootstrap · Monetary policy
- Bauer & Swanson (2023) A Reassessment of Monetary Policy Surprises and High-Frequency IdentificationHigh-frequency identification · Proxy SVAR · Wild bootstrap
- Adrian, Boyarchenko & Giannone (2019) Vulnerable GrowthQuantile regression · Skewed t · Growth-at-Risk · Density forecasts