3 citations · 3 across the 4 of their papers we have counts for
4 papers
Bayesian Partial Reduced-Rank Regression
Maria F. Pintado, Matteo Iacopini, Luca Rossini +1
Reduced-rank (RR) regression may be interpreted as a dimensionality reduction technique able to reveal complex relationships among the data parsimoniously. However, RR regression m…
A Bayesian Markov-switching SAR model for time-varying cross-price spillovers
Christian Glocker, Matteo Iacopini, Tamás Krisztin +1
The spatial autoregressive (SAR) model is extended by introducing a Markov switching dynamics for the weight matrix and spatial autoregressive parameter. The framework enables the…
Bayesian SAR model with stochastic volatility and multiple time-varying weights
Michele Costola, Matteo Iacopini, Casper Wichers
A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approa…
Money Growth and Inflation: A Quantile Sensitivity Approach
Matteo Iacopini, Aubrey Poon, Luca Rossini +1
An innovative method is proposed to construct a quantile dependence system for inflation and money growth. By considering all quantiles and leveraging a novel notion of quantile se…