14 citations · 15 across the 5 of their papers we have counts for
5 papers
Predicting Energy Demand with Tensor Factor Models
Mattia Banin, Matteo Barigozzi, Luca Trapin
Hourly consumption from multiple providers displays pronounced intra-day, intra-week, and annual seasonalities, as well as strong cross-sectional correlations. We introduce a novel…
Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering
Matteo Barigozzi, Luca Trapin
This paper considers an approximate dynamic matrix factor model that accounts for the time series nature of the data by explicitly modelling the time evolution of the factors. We s…
Measuring tail risk at high-frequency: An -regularized extreme value regression approach with unit-root predictors
Julien Hambuckers, Li Sun, Luca Trapin
We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression m…
Modeling panels of extremes
Debbie J. Dupuis, Sebastian Engelke, Luca Trapin
Extreme value applications commonly employ regression techniques to capture cross-sectional heterogeneity or time-variation in the data. Estimation of the parameters of an extreme…
Cluster analysis of weighted bipartite networks: a new copula-based approach
Alessandro Chessa, Irene Crimaldi, Massimo Riccaboni +1
In this work we are interested in identifying clusters of "positional equivalent" actors, i.e. actors who play a similar role in a system. In particular, we analyze weighted bipart…