4 papers
Copula Central Asymmetry of Equity Portfolios
Lorenzo Frattarolo
Financial crises are usually associated with increased cross-sectional dependence between asset returns, causing asymmetry between the lower and upper tail of return distribution.…
Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model
Luca Barbaglia, Lorenzo Frattarolo, Niko Hauzenberger +5
Timely information about the state of regional economies can be essential for planning, implementing and evaluating locally targeted economic policies. However, European regional a…
Living on the Edge: An Unified Approach to Antithetic Sampling
Roberto Casarin, Radu V. Craiu, Lorenzo Frattarolo +1
We identify recurrent ingredients in the antithetic sampling literature leading to a unified sampling framework. We introduce a new class of antithetic schemes that includes the mo…
Discussion on "Random-projection ensemble classification" by T. Cannings and R. Samworth
Roberto Casarin, Lorenzo Frattarolo, Luca Rossini
Discussion on "Random-projection ensemble classification" by T. Cannings and R. Samworth. We believe that the proposed approach can find many applications in economics such as cred…