5 papers · 1 filter
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…
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…
What drives the European carbon market? Macroeconomic factors and forecasts
Andrea Bastianin, Elisabetta Mirto, Yan Qin +1
Putting a price on carbon -- with taxes or developing carbon markets -- is a widely used policy measure to achieve the target of net-zero emissions by 2050. This paper tackles the…
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…