Hi Stefano, sure I'm using the biblatex module; that's the only way to get it working in lyx. I also use the natbib=true options and still get that wrong output. When I hover over a citation in the text it says "no bibliography defined" and when click on it I get the citation dialogue box but I can't change the citation style under formatting.
I'm parsing citations from zotero through lyz plug-in and I wonder if that has something to do with it. Roey