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Structural Changes in Contagion Channels : the Impact of COVID-19 on the Italian Electricity Market
Ahelegbey, Daniel Felix; Casarin, Roberto; Fianu, … - 2022
Participants in electricity zonal markets are mostly concerned with two layers of value-chain in the production, investment, consumption of electricity and its derived products. On the other hand, achieving the goal of restructuring, policy regulations and transformation, requires accurately...
Persistent link: https://www.econbiz.de/10013310410
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A Scoring Rule for Factor and Autoregressive Models Under Misspecification
Casarin, Roberto - 2018
Factor models (FM) are now widely used for forecasting with large set of time series. Another class of models, which … independent autoregressive processes are assumed for the series in the panel. We compare the forecasting abilities of FM and MAR … establish which conditions need to be satisfied for a FM to overperform MAR in terms of mean square forecasting error. The …
Persistent link: https://www.econbiz.de/10012914092
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Sparse Graphical Vector Autoregression: A Bayesian Approach
Casarin, Roberto; Ahelegbey, Daniel Felix; Billio, Monica - Dipartimento di Economia, Università Ca' Foscari Venezia - 2014
the number of observations, and a lack of efficiency in estimation and forecasting. In this context, model selection is a …
Persistent link: https://www.econbiz.de/10011209924
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Sparse Graphical Vector Autoregression : A Bayesian Approach
Ahelegbey, Daniel Felix - 2016
algorithm on simulated data and illustrate the effectiveness of our approach in forecasting macroeconomic time series and in …
Persistent link: https://www.econbiz.de/10013005518
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Sparse Graphical Vector Autoregression : A Bayesian Approach
Ahelegbey, Daniel Felix - 2019
the number of observations, and a lack of efficiency in estimation and forecasting. In this context, model selection is a …
Persistent link: https://www.econbiz.de/10012904383
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Modeling Turning Points In The Global Equity Market
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto - 2021
Turning points in financial markets are often characterized by changes in the direction and/or magnitude of market movements with short-to-long term impacts on investors' decisions. This paper develops a Bayesian technique to turning point detection in financial equity markets. We derive the...
Persistent link: https://www.econbiz.de/10013313479
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Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2011
logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances …
Persistent link: https://www.econbiz.de/10011255843
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Time-varying Combinations of Predictive Densities using Nonlinear Filtering
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2012
This discussion paper resulted in a publication in the 'Journal of Econometrics', 2013, 177(2), 213-232.<P> We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the combination weights. Several...</p>
Persistent link: https://www.econbiz.de/10011255873
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Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2013
Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model accommodates changes in low and high data frequencies and endogenous...
Persistent link: https://www.econbiz.de/10011256321
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Combination Schemes for Turning Point Predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2011
deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We …
Persistent link: https://www.econbiz.de/10011256621