4 citations · 4 across the 5 of their papers we have counts for
10 papers
Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP
Matteo Iacopini, Aubrey Poon, Luca Rossini +1
Timely characterizations of risks in economic and financial systems play an essential role in both economic policy and private sector decisions. However, the informational content…
On the "mementum" of Meme Stocks
Michele Costola, Matteo Iacopini, Carlo R. M. A. Santagiustina
The meme stock phenomenon is yet to be explored. In this note, we provide evidence that these stocks display common stylized facts on the dynamics of price, trading volume, and soc…
COVID-19 spreading in financial networks: A semiparametric matrix regression model
Billio Monica, Casarin Roberto, Costola Michele +1
Network models represent a useful tool to describe the complex set of financial relationships among heterogeneous firms in the system. In this paper, we propose a new semiparametri…
Filtering the intensity of public concern from social media count data with jumps
Matteo Iacopini, Carlo R. M. A. Santagiustina
Count time series obtained from online social media data, such as Twitter, have drawn increasing interest among academics and market analysts over the past decade. Transforming Web…
Visualizing and comparing distributions with half-disk density strips
Carlo Romano Marcello Alessandro Santagiustina, Matteo Iacopini
We propose a user-friendly graphical tool, the half-disk density strip (HDDS), for visualizing and comparing probability density functions. The HDDS exploits color shading for repr…
Proper scoring rules for evaluating asymmetry in density forecasting
Matteo Iacopini, Francesco Ravazzolo, Luca Rossini
This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted ve…