5 citations · 5 across the 7 of their papers we have counts for
Showing 2022Show all
2 papers · 1 filter
econ.EM2022★ 5 cited
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…
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…