18 citations · 28 across the 11 of their papers we have counts for
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econ.EM2021
Inference in heavy-tailed non-stationary multivariate time series
Matteo Barigozzi, Giuseppe Cavaliere, Lorenzo Trapani
We study inference on the common stochastic trends in a non-stationary, -variate time series , in the possible presence of heavy tails. We propose a novel methodology whi…
econ.EM2020
Sequential monitoring for cointegrating regressions
Lorenzo Trapani, Emily Whitehouse
We develop monitoring procedures for cointegrating regressions, testing the null of no breaks against the alternatives that there is either a change in the slope, or a change to no…
econ.EM2019
Bayesian estimation of large dimensional time varying VARs using copulas
Mike Tsionas, Marwan Izzeldin, Lorenzo Trapani
This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the…