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Bayesian econometrics
Bernardi, Mauro; Grassi, Stefano; Ravazzolo, Francesco - In: Journal of risk and financial management : JRFM 13 (2020) 11/257, pp. 1-2
, forecasting, assessment of policy effectiveness in macro, finance, marketing and monetary economics. …
Persistent link: https://www.econbiz.de/10012389851
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Forecasting cryptocurrencies under model and parameter instability
Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - In: International journal of forecasting 35 (2019) 2, pp. 485-501
Persistent link: https://www.econbiz.de/10012300691
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Is Bitcoin a relevant predictor of standard & poor's 500?
Muglia, Camilla; Santabarbara, Luca; Grassi, Stefano - In: Journal of risk and financial management : JRFM 12 (2019) 2/93, pp. 1-10
The paper investigates whether Bitcoin is a good predictor of the Standard & Poor's 500 Index. To answer this question we compare alternative models using a point and density forecast relying on Dynamic Model Averaging (DMA) and Dynamic Model Selection (DMS). According to our results, Bitcoin...
Persistent link: https://www.econbiz.de/10012022045