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econ.EM2023
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…
econ.EM2022
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…
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…