21 citations · 39 across the 10 of their papers we have counts for
11 papers
Factor-Augmented Machine Learning Panel Regressions
Andrii Babii, Luca Barbaglia, Eric Ghysels +1
This paper develops the asymptotic theory for high-dimensional panel data regressions in settings with cross-sectionally dependent errors driven by common shocks. We consider a fac…
Nowcasting and aggregation: Why small Euro area countries matter
Andrii Babii, Luca Barbaglia, Eric Ghysels +1
The paper studies the nowcasting of Euro area Gross Domestic Product (GDP) growth using mixed data sampling machine learning panel data regressions with both standard macro release…
Sentiment Analysis of Economic Text: A Lexicon-Based Approach
Luca Barbaglia, Sergio Consoli, Sebastiano Manzan +2
We propose an Economic Lexicon (EL) specifically designed for textual applications in economics. We construct the dictionary with two important characteristics: 1) to have a wide c…
Beyond the Headlines: Understanding Sentiments and Morals Impacting Female Employment in Spain
Oscar Araque, Luca Barbaglia, Francesco Berlingieri +5
After decades of improvements in the employment conditions of females in Spain, this process came to a sudden stop with the Great Spanish Recession of 2008. In this contribution, w…
Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model
Luca Barbaglia, Lorenzo Frattarolo, Niko Hauzenberger +5
Timely information about the state of regional economies can be essential for planning, implementing and evaluating locally targeted economic policies. However, European regional a…
Forecasting GDP in Europe with Textual Data
Luca Barbaglia, Sergio Consoli, Sebastiano Manzan
We evaluate the informational content of news-based sentiment indicators for forecasting Gross Domestic Product (GDP) and other macroeconomic variables of the five major European e…
Detecting Anti-dumping Circumvention: A Network Approach
Luca Barbaglia, Christophe Croux, Ines Wilms
Despite the increasing integration of the global economic system, anti-dumping measures are a common tool used by governments to protect their national economy. In this paper, we p…
Forecasting with Economic News
Luca Barbaglia, Sergio Consoli, Sebastiano Manzan
The goal of this paper is to evaluate the informational content of sentiment extracted from news articles about the state of the economy. We propose a fine-grained aspect-based sen…
Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach
Luca Barbaglia, Christophe Croux, Ines Wilms
Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effe…
Multi-class Vector AutoRegressive Models for Multi-store Sales Data
Ines Wilms, Luca Barbaglia, Christophe Croux
Retailers use the Vector AutoRegressive (VAR) model as a standard tool to estimate the effects of prices, promotions and sales in one product category on the sales of another produ…
Commodity Dynamics: A Sparse Multi-class Approach
Luca Barbaglia, Ines Wilms, Christophe Croux
The correct understanding of commodity price dynamics can bring relevant improvements in terms of policy formulation both for developing and developed countries. Agricultural, meta…