10 citations · 10 across the 2 of their papers we have counts for
3 papers
cs.LG2022★ 10 cited
Neural Forecasting of the Italian Sovereign Bond Market with Economic News
Sergio Consoli, Luca Tiozzo Pezzoli, Elisa Tosetti
In this paper we employ economic news within a neural network framework to forecast the Italian 10-year interest rate spread. We use a big, open-source, database known as Global Da…
econ.GN2021
Emotions in Macroeconomic News and their Impact on the European Bond Market
Sergio Consoli, Luca Tiozzo Pezzoli, Elisa Tosetti
We show how emotions extracted from macroeconomic news can be used to explain and forecast future behaviour of sovereign bond yield spreads in Italy and Spain. We use a big, open-s…
stat.AP2018
A computationally efficient correlated mixed Probit for credit risk modelling
Elisa Tosetti, Veronica Vinciotti
Mixed Probit models are widely applied in many fields where prediction of a binary response is of interest. Typically, the random effects are assumed to be independent but this is…