3 papers
econ.EM2026
Double Machine Learning for Time Series
Milos Ciganovic, Federico D'Amario, Massimiliano Tancioni
We modify the Double Machine Learning estimator to broaden its applicability to macroeconomic time-series settings. A deterministic cross-fitting step, termed Reverse Cross-Fitting…
q-fin.PM2025
Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information
Katia Colaneri, Federico D'Amario, Daniele Mancinelli
Given the increasing importance of environmental, social and governance (ESG) factors, particularly carbon emissions, we investigate optimal proportional portfolio insurance (PPI)…
q-fin.ST2022
Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approach
Federico D'Amario, Milos Ciganovic
Cryptocurrencies have become a trendy topic recently, primarily due to their disruptive potential and reports of unprecedented returns. In addition, academics increasingly acknowle…