2 citations · 3 across the 5 of their papers we have counts for
7 papers
A Real-Time Framework for Forecasting Metal Prices
Andrea Bastianin, Luca Rossini, Lorenzo Tonni
This paper develops a real-time forecasting framework for the monthly real prices of four key industrial metals -- aluminum, copper, nickel, and zinc -- whose demand is rising due…
A comparison between initialization strategies for the infinite hidden Markov model
Federico P. Cortese, Luca Rossini
Infinite hidden Markov models provide a flexible framework for modeling time-series with structural changes and complex dynamics, without requiring the number of latent states to b…
Comparing predictive ability in presence of instability over a very short time
Fabrizio Iacone, Luca Rossini, Andrea Viselli
We consider forecast comparison in the presence of instability when this affects only a short period of time. We demonstrate that global tests do not perform well in this case, as…
Forecasting the Price of Carbon with Macroeconomic and Financial variables
Andrea Bastianin, Elisabetta Mirto, Yan Qin +1
We tackle the issue of producing point, sign, and density forecasts for the monthly real price of carbon in the European Union Emissions Trading System (EU ETS). We show that Bayes…
Sparse time-varying parameter VECMs with an application to modeling electricity prices
Niko Hauzenberger, Michael Pfarrhofer, Luca Rossini
In this paper we propose a time-varying parameter (TVP) vector error correction model (VECM) with heteroskedastic disturbances. We propose tools to carry out dynamic model specific…
Inference in Bayesian Additive Vector Autoregressive Tree Models
Florian Huber, Luca Rossini
Vector autoregressive (VAR) models assume linearity between the endogenous variables and their lags. This assumption might be overly restrictive and could have a deleterious impact…
Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models
Rick Bohte, Luca Rossini
This paper studies the forecasting ability of cryptocurrency time series. This study is about the four most capitalized cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple. Di…