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…
econ.GN2025
Disentangling the Distributional Effects of Financial Shocks in the Euro Area
Miloš Ciganović, Elena Scola Gagliardi, Massimiliano Tancioni
We estimate the dynamic distributional effects of financial shocks in the Euro Area using survey-based microdata on personal incomes. We find that positive financial shocks increas…
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…