2 papers
stat.ME2020
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…
econ.EM2019
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…