4 citations · 4 across the 7 of their papers we have counts for
4 papers · 1 filter
A Quantile Nelson-Siegel model
Matteo Iacopini, Aubrey Poon, Luca Rossini +1
We propose a novel framework for modeling the yield curve from a quantile perspective. Building on the dynamic Nelson-Siegel model of Diebold et al. (2006), we extend its tradition…
A Bayesian Markov-switching SAR model for time-varying cross-price spillovers
Christian Glocker, Matteo Iacopini, Tamás Krisztin +1
The spatial autoregressive (SAR) model is extended by introducing a Markov switching dynamics for the weight matrix and spatial autoregressive parameter. The framework enables the…
Bayesian SAR model with stochastic volatility and multiple time-varying weights
Michele Costola, Matteo Iacopini, Casper Wichers
A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approa…
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…