5 citations · 12 across the 19 of their papers we have counts for
6 papers · 1 filter
Money Growth and Inflation: A Quantile Sensitivity Approach
Matteo Iacopini, Aubrey Poon, Luca Rossini +1
An innovative method is proposed to construct a quantile dependence system for inflation and money growth. By considering all quantiles and leveraging a novel notion of quantile se…
Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications
Matteo Iacopini, Francesco Ravazzolo, Luca Rossini
This article proposes a novel Bayesian multivariate quantile regression to forecast the tail behavior of energy commodities, where the homoskedasticity assumption is relaxed to all…
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…
Bayesian nonparametric graphical models for time-varying parameters VAR
Matteo Iacopini, Luca Rossini
Over the last decade, big data have poured into econometrics, demanding new statistical methods for analysing high-dimensional data and complex non-linear relationships. A common a…