no code implementations • 10 Aug 2023 • Matteo Iacopini, Aubrey Poon, Luca Rossini, Dan Zhu
Then, the proposed framework is exploited to examine the distributional effects of money growth on the distributions of inflation and its disaggregate measures in the United States and the Euro area.
no code implementations • 29 Nov 2022 • Matteo Iacopini, Francesco Ravazzolo, Luca Rossini
This article proposes a novel Bayesian multivariate quantile regression to forecast the tail behavior of US macro and financial indicators, where the homoskedasticity assumption is relaxed to allow for time-varying volatility.
no code implementations • 5 Sep 2022 • Matteo Iacopini, Aubrey Poon, Luca Rossini, Dan Zhu
Timely characterizations of risks in economic and financial systems play an essential role in both economic policy and private sector decisions.
no code implementations • 7 Jun 2021 • Michele Costola, Matteo Iacopini, Carlo R. M. A. Santagiustina
The meme stock phenomenon is yet to be explored.
no code implementations • 24 Dec 2020 • Matteo Iacopini, Carlo R. M. A. Santagiustina
Count time series obtained from online social media data, such as Twitter, have drawn increasing interest among academics and market analysts over the past decade.
Time Series Analysis Applications Econometrics
1 code implementation • 29 Jun 2020 • Carlo Romano Marcello Alessandro Santagiustina, Matteo Iacopini
We propose a user-friendly graphical tool, the half-disk density strip (HDDS), for visualizing and comparing probability density functions.
Methodology Econometrics Applications
no code implementations • 14 May 2020 • Michele Costola, Matteo Iacopini, Carlo R. M. A. Santagiustina
We measure the public concern during the outbreak of COVID-19 disease using three data sources from Google Trends (YouTube, Google News, and Google Search).
no code implementations • 31 Oct 2017 • Monica Billio, Roberto Casarin, Matteo Iacopini
First, to avoid over-fitting we propose a parsimonious parametrization based on a low-rank decomposition of the tensor of regression coefficients.
Methodology