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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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Forecasting cryptocurrencies financial time series
Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - 2018
Persistent link: https://www.econbiz.de/10011914375
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A new economic framework : a DSGE model with cryptocurrency
Asimakopoulos, Stylianos; Lorusso, Marco; Ravazzolo, … - 2019
Persistent link: https://www.econbiz.de/10012175929
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Predicting the volatility of cryptocurrency time-series
Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - 2018
Persistent link: https://www.econbiz.de/10011798870
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A Bayesian DSGE approach to modelling cryptocurrency
Asimakopoulos, Stylianos; Lorusso, Marco; Ravazzolo, … - In: Review of economic dynamics 51 (2023), pp. 1012-1035
Persistent link: https://www.econbiz.de/10014472446
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A Bayesian DSGE approach to modelling cryptocurrency
Asimakopoulos, Stylianos; Lorusso, Marco; Ravazzolo, … - 2023
Persistent link: https://www.econbiz.de/10014431629
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Is the price cap for gas useful? : evidence from European countries
Ravazzolo, Francesco; Rossini, Luca - 2023
Moscow's revenues and hinder its war effort. Thus, the European ministers agreed to trigger a cap on the gas price. To detect … the importance of the price cap for gas, we provide a mixture representation for the gas price to detect the presence of … autoregressive (VAR) model. As a result, including a lower gas price cap smooths the impact of a gas shock on electricity prices …
Persistent link: https://www.econbiz.de/10014390297
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Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information
De Pooter, Michiel; Ravazzolo, Francesco; van Dijk, Dick - Volkswirtschaftliche Fakultät, … - 2006
We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...
Persistent link: https://www.econbiz.de/10005616569
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Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
de Pooter, Michiel D.; Ravazzolo, Francesco; van Dijk, Dick - 2007
We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...
Persistent link: https://www.econbiz.de/10010325565
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Term Structure Forecasting Using Macro Factors and Forecast Combination
de Pooter, Michiel; Ravazzolo, Francesco; van Dijk, Dick - 2010
We examine the importance of incorporating macroeconomic information and, in particular, accounting for model uncertainty when forecasting the term structure of U.S.interest rates. We start off by analyzing and comparing the forecast performance of several individual term structure models. Our...
Persistent link: https://www.econbiz.de/10012143735