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Luca Rossini

Personal Details

First Name:Luca
Middle Name:
Last Name:Rossini
Suffix:
RePEc Short-ID:pro1002
[This author has chosen not to make the email address public]
http://lucarossini.wixsite.com/luca-rossini
Terminal Degree:2017 Dipartimento di Economia; Università Ca' Foscari Venezia (from RePEc Genealogy)

Affiliation

(1%) Dipartimento di Economia
Università Ca' Foscari Venezia

Venezia, Italy
http://www.unive.it/dip.economia
RePEc:edi:dsvenit (more details at EDIRC)

(5%) Fondazione ENI Enrico Mattei (FEEM)

Milano, Italy
http://www.feem.it/
RePEc:edi:feemmit (more details at EDIRC)

(94%) Dipartimento di Economia, Management e Metodi Quantitativi (DEMM)
Università degli Studi di Milano

Milano, Italy
http://www.demm.unimi.it/
RePEc:edi:damilit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Anne Opschoor & Dewi Peerlings & Luca Rossini & Andre Lucas, 2024. "Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution," Tinbergen Institute Discussion Papers 24-049/III, Tinbergen Institute.
  2. Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2024. "A Quantile Nelson-Siegel model," Papers 2401.09874, arXiv.org.
  3. Fabrizio Iacone & Luca Rossini & Andrea Viselli, 2024. "Comparing predictive ability in presence of instability over a very short time," Papers 2405.11954, arXiv.org.
  4. Bastianin, Andrea & Mirto, Elisabetta & Qin, Yan & Rossini, Luca, 2024. "What drives the European carbon market? Macroeconomic factors and forecasts," FEEM Working Papers 339740, Fondazione Eni Enrico Mattei (FEEM).
  5. Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2023. "Money Growth and Inflation: A Quantile Sensitivity Approach," Papers 2308.05486, arXiv.org, revised Nov 2023.
  6. Ravazzolo, Francesco & Rossini, Luca, 2023. "Is the Price Cap for Gas Useful? Evidence from European Countries," FEEM Working Papers 338790, Fondazione Eni Enrico Mattei (FEEM).
  7. Fabrizio Durante & Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2022. "A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources," Papers 2201.01132, arXiv.org.
  8. Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022. "Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP," Papers 2209.01910, arXiv.org.
  9. Elie Bouri & Rangan Gupta & Luca Rossini, 2022. "The Role of the Monthly ENSO in Forecasting the Daily Baltic Dry Index," Working Papers 202229, University of Pretoria, Department of Economics.
  10. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2022. "Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications," Papers 2211.16121, arXiv.org, revised Aug 2024.
  11. Andre Lucas & Anne Opschoor & Luca Rossini, 2021. "Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution," Tinbergen Institute Discussion Papers 21-010/III, Tinbergen Institute, revised 11 Jul 2023.
  12. Niko Hauzenberger & Michael Pfarrhofer & Luca Rossini, 2020. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," Papers 2011.04577, arXiv.org, revised Apr 2023.
  13. Robert C. Smit & Francesco Ravazzolo & Luca Rossini, 2020. "Dynamic Bayesian forecasting of English Premier League match results with the Skellam distribution," BEMPS - Bozen Economics & Management Paper Series BEMPS72, Faculty of Economics and Management at the Free University of Bozen.
  14. Claudia Foroni & Francesco Ravazzolo & Luca Rossini, 2020. "Are low frequency macroeconomic variables important for high frequency electricity prices?," Papers 2007.13566, arXiv.org, revised Dec 2022.
  15. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2020. "Large Time-Varying Volatility Models for Electricity Prices," Working Papers No 05/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  16. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2020. "Proper scoring rules for evaluating asymmetry in density forecasting," Papers 2006.11265, arXiv.org, revised Sep 2020.
  17. Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.
  18. Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2019. "Forecasting daily electricity prices with monthly macroeconomic variables," Working Paper Series 2250, European Central Bank.
  19. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
  20. Rick Bohte & Luca Rossini, 2019. "Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models," Papers 1909.06599, arXiv.org.
  21. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2018. "Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration," Papers 1801.01093, arXiv.org, revised Nov 2019.
  22. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
  23. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse seemingly unrelated regression model (SUR)," Working Papers 2016:20, Department of Economics, University of Venice "Ca' Foscari".
  24. Luciana Dalla Valle & Fabrizio Leisen & Luca Rossini, 2016. "Bayesian Nonparametric Conditional Copula Estimation of Twin Data," Working Papers 2016:08, Department of Economics, University of Venice "Ca' Foscari".

Articles

  1. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2023. "Large Time‐Varying Volatility Models for Hourly Electricity Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 545-573, June.
  2. Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2023. "Are low frequency macroeconomic variables important for high frequency electricity prices?," Economic Modelling, Elsevier, vol. 120(C).
  3. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2023. "Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 482-496, April.
  4. Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
  5. Luciana Dalla Valle & Fabrizio Leisen & Luca Rossini & Weixuan Zhu, 2020. "Bayesian analysis of immigration in Europe with generalized logistic regression," Journal of Applied Statistics, Taylor & Francis Journals, vol. 47(3), pages 424-438, February.
  6. Gianfreda, Angelica & Ravazzolo, Francesco & Rossini, Luca, 2020. "Comparing the forecasting performances of linear models for electricity prices with high RES penetration," International Journal of Forecasting, Elsevier, vol. 36(3), pages 974-986.
  7. Fabrizio Leisen & Luca Rossini & Cristiano Villa, 2020. "Loss-based approach to two-piece location-scale distributions with applications to dependent data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 309-333, June.
  8. Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
  9. Leisen, Fabrizio & Mena, Ramsés H. & Palma, Freddy & Rossini, Luca, 2019. "On a flexible construction of a negative binomial model," Statistics & Probability Letters, Elsevier, vol. 152(C), pages 1-8.
  10. Rick Bohte & Luca Rossini, 2019. "Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models," JRFM, MDPI, vol. 12(3), pages 1-18, September.
  11. Fabrizio Leisen & Luca Rossini & Cristiano Villa, 2018. "Objective bayesian analysis of the Yule–Simon distribution with applications," Computational Statistics, Springer, vol. 33(1), pages 99-126, March.
  12. Luciana Dalla Valle & Fabrizio Leisen & Luca Rossini, 2018. "Bayesian non‐parametric conditional copula estimation of twin data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 523-548, April.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Fabrizio Durante & Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2022. "A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources," Papers 2201.01132, arXiv.org.

    Cited by:

    1. Knorr, Lukas & Schlosser, Florian & Horstmann, Nils & Divkovic, Denis & Meschede, Henning, 2024. "Flexible operation and integration of high-temperature heat pumps using large temperature glides," Applied Energy, Elsevier, vol. 368(C).
    2. Katarzyna Maciejowska & Weronika Nitka, 2024. "Multiple split approach -- multidimensional probabilistic forecasting of electricity markets," Papers 2407.07795, arXiv.org.
    3. Yang, Yifan & Guo, Ju’e & Li, Yi & Zhou, Jiandong, 2024. "Forecasting day-ahead electricity prices with spatial dependence," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1255-1270.
    4. Ana Rita Silva & Ana Estanqueiro, 2022. "From Wind to Hybrid: A Contribution to the Optimal Design of Utility-Scale Hybrid Power Plants," Energies, MDPI, vol. 15(7), pages 1-19, April.

  2. Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022. "Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP," Papers 2209.01910, arXiv.org.

    Cited by:

    1. Roman A. Zhukov & Svetlana V. Prokopchina & Maria A. Plinskaya & Maria A. Zhelunitsina, 2024. "Modeling of Functional Relationships of Regional Economic Systems Based on Small Samples Based on Bayesian Intelligent Measurements," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 23(3), pages 721-750.
    2. Sheikh, Umaid A. & Asadi, Mehrad & Roubaud, David & Hammoudeh, Shawkat, 2024. "Global uncertainties and Australian financial markets: Quantile time-frequency connectedness," International Review of Financial Analysis, Elsevier, vol. 92(C).
    3. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2022. "Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications," Papers 2211.16121, arXiv.org, revised Aug 2024.
    4. Kai Yang & Luan Zhao & Qian Hu & Wenshan Wang, 2024. "Bayesian Quantile Regression Analysis for Bivariate Vector Autoregressive Models with an Application to Financial Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 1939-1963, October.
    5. Ghosh, Bikramaditya & Gubareva, Mariya & Ghosh, Anandita & Paparas, Dimitrios & Vo, Xuan Vinh, 2024. "Food, energy, and water nexus: A study on interconnectedness and trade-offs," Energy Economics, Elsevier, vol. 133(C).
    6. Bhattacherjee, Purba & Mishra, Sibanjan & Kang, Sang Hoon, 2024. "Extreme time-frequency connectedness across U.S. sector stock and commodity futures markets," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 1176-1197.

  3. Elie Bouri & Rangan Gupta & Luca Rossini, 2022. "The Role of the Monthly ENSO in Forecasting the Daily Baltic Dry Index," Working Papers 202229, University of Pretoria, Department of Economics.

    Cited by:

    1. Alain Hecq & Marie Ternes & Ines Wilms, 2023. "Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions," Papers 2301.10592, arXiv.org, revised Nov 2024.

  4. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2022. "Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications," Papers 2211.16121, arXiv.org, revised Aug 2024.

    Cited by:

    1. Dimitris Korobilis & Maximilian Schröder, 2023. "Probabilistic Quantile Factor Analysis," Working Papers No 05/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Vegard Høghaug Larsen & Nicolò Maffei-Faccioli & Laura Pagenhardt, 2023. "Where do they care? The ECB in the media and inflation expectations," Working Papers No 04/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.

  5. Andre Lucas & Anne Opschoor & Luca Rossini, 2021. "Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution," Tinbergen Institute Discussion Papers 21-010/III, Tinbergen Institute, revised 11 Jul 2023.

    Cited by:

    1. Anne Opschoor & Dewi Peerlings & Luca Rossini & Andre Lucas, 2024. "Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution," Tinbergen Institute Discussion Papers 24-049/III, Tinbergen Institute.
    2. Abdelhamid Hassairi & Fatma Ktari & Raoudha Zine, 2022. "On the Gaussian representation of the Riesz probability distribution on symmetric matrices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(4), pages 609-632, December.

  6. Claudia Foroni & Francesco Ravazzolo & Luca Rossini, 2020. "Are low frequency macroeconomic variables important for high frequency electricity prices?," Papers 2007.13566, arXiv.org, revised Dec 2022.

    Cited by:

    1. Sara Boni & Massimiliano Caporin & Francesco Ravazzolo, 2024. "Nowcasting Inflation at Quantiles: Causality from Commodities," BEMPS - Bozen Economics & Management Paper Series BEMPS102, Faculty of Economics and Management at the Free University of Bozen.
    2. Andrea Bastianin & Elisabetta Mirto & Yan Qin & Luca Rossini, 2024. "What drives the European carbon market? Macroeconomic factors and forecasts," Working Papers 2024.02, Fondazione Eni Enrico Mattei.
    3. Paul Ghelasi & Florian Ziel, 2024. "From day-ahead to mid and long-term horizons with econometric electricity price forecasting models," Papers 2406.00326, arXiv.org, revised Aug 2024.
    4. Alain Hecq & Marie Ternes & Ines Wilms, 2023. "Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions," Papers 2301.10592, arXiv.org, revised Nov 2024.

  7. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2020. "Large Time-Varying Volatility Models for Electricity Prices," Working Papers No 05/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.

    Cited by:

    1. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2020. "Proper scoring rules for evaluating asymmetry in density forecasting," Working Papers No 06/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Gao, Shen & Hou, Chenghan & Nguyen, Bao H., 2021. "Forecasting natural gas prices using highly flexible time-varying parameter models," Economic Modelling, Elsevier, vol. 105(C).
    3. Niko Hauzenberger & Michael Pfarrhofer & Luca Rossini, 2020. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," Papers 2011.04577, arXiv.org, revised Apr 2023.
    4. Nguyen, BH & Zhang, Bo, 2022. "Forecasting oil Prices: can large BVARs help?," Working Papers 2022-04, University of Tasmania, Tasmanian School of Business and Economics.

  8. Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.

    Cited by:

    1. Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Papers 2008.12706, arXiv.org, revised Dec 2020.
    2. Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers 17461, C.E.P.R. Discussion Papers.

  9. Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2019. "Forecasting daily electricity prices with monthly macroeconomic variables," Working Paper Series 2250, European Central Bank.

    Cited by:

    1. Elie Bouri & Rangan Gupta & Luca Rossini, 2022. "The Role of the Monthly ENSO in Forecasting the Daily Baltic Dry Index," Working Papers 202229, University of Pretoria, Department of Economics.
    2. Layna Mosley & Victoria Paniagua & Erik Wibbels, 2020. "Moving markets? Government bond investors and microeconomic policy changes," Economics and Politics, Wiley Blackwell, vol. 32(2), pages 197-249, July.
    3. Selma Toker & Nimet Özbay & Kristofer Månsson, 2022. "Mixed data sampling regression: Parameter selection of smoothed least squares estimator," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 718-751, July.

  10. Rick Bohte & Luca Rossini, 2019. "Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models," Papers 1909.06599, arXiv.org.

    Cited by:

    1. Daniel Ogachi & Paul Mugambi & Lydia Bares & Zoltan Zeman, 2021. "Idiosyncrasies of Money: 21st Century Evolution of Money," Economies, MDPI, vol. 9(1), pages 1-19, March.
    2. Ying Chen & Paolo Giudici & Branka Hadji Misheva & Simon Trimborn, 2020. "Lead Behaviour in Bitcoin Markets," Risks, MDPI, vol. 8(1), pages 1-14, January.
    3. Ahmed Ibrahim & Rasha Kashef & Menglu Li & Esteban Valencia & Eric Huang, 2020. "Bitcoin Network Mechanics: Forecasting the BTC Closing Price Using Vector Auto-Regression Models Based on Endogenous and Exogenous Feature Variables," JRFM, MDPI, vol. 13(9), pages 1-21, August.
    4. Ana Fernández Vilas & Rebeca P. Díaz Redondo & Daniel Couto Cancela & Alejandro Torrado Pazos, 2021. "Interplay between Cryptocurrency Transactions and Online Financial Forums," Mathematics, MDPI, vol. 9(4), pages 1-22, February.
    5. Samet Gunay & Kerem Kaskaloglu & Shahnawaz Muhammed, 2021. "Bitcoin and Fiat Currency Interactions: Surprising Results from Asian Giants," Mathematics, MDPI, vol. 9(12), pages 1-18, June.
    6. Karl Oton Rudolf & Samer Ajour El Zein & Nicola Jackman Lansdowne, 2021. "Bitcoin as an Investment and Hedge Alternative. A DCC MGARCH Model Analysis," Risks, MDPI, vol. 9(9), pages 1-22, August.
    7. Stefan Simeonov & Theodor Todorov & Daniel Nikolaev, 2020. "Testing Methods And Models To Forecast Cryptocurrencies Exchange Rate," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 17(1), pages 10-26.
    8. Paolo Angelis & Roberto Marchis & Mario Marino & Antonio Luciano Martire & Immacolata Oliva, 2021. "Betting on bitcoin: a profitable trading between directional and shielding strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 883-903, December.
    9. Mauro Bernardi & Stefano Grassi & Francesco Ravazzolo, 2020. "Bayesian Econometrics," JRFM, MDPI, vol. 13(11), pages 1-2, October.
    10. Ana Fern'andez Vilas & Rebeca P. D'iaz Redondo & Daniel Couto Cancela & Alejandro Torrado Pazos, 2023. "Interplay between Cryptocurrency Transactions and Online Financial Forums," Papers 2401.10238, arXiv.org.
    11. Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.

  11. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2018. "Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration," Papers 1801.01093, arXiv.org, revised Nov 2019.

    Cited by:

    1. Janczura, Joanna & Wójcik, Edyta, 2022. "Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study," Energy Economics, Elsevier, vol. 110(C).
    2. Özen, Kadir & Yıldırım, Dilem, 2021. "Application of bagging in day-ahead electricity price forecasting and factor augmentation," Energy Economics, Elsevier, vol. 103(C).
    3. Derek W. Bunn & Angelica Gianfreda & Stefan Kermer, 2018. "A Trading-Based Evaluation of Density Forecasts in a Real-Time Electricity Market," Energies, MDPI, vol. 11(10), pages 1-13, October.
    4. Lehna, Malte & Scheller, Fabian & Herwartz, Helmut, 2022. "Forecasting day-ahead electricity prices: A comparison of time series and neural network models taking external regressors into account," Energy Economics, Elsevier, vol. 106(C).
    5. Meng, Anbo & Wang, Peng & Zhai, Guangsong & Zeng, Cong & Chen, Shun & Yang, Xiaoyi & Yin, Hao, 2022. "Electricity price forecasting with high penetration of renewable energy using attention-based LSTM network trained by crisscross optimization," Energy, Elsevier, vol. 254(PA).
    6. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2023. "Large Time‐Varying Volatility Models for Hourly Electricity Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 545-573, June.
    7. Maciejowska, Katarzyna & Nitka, Weronika & Weron, Tomasz, 2021. "Enhancing load, wind and solar generation for day-ahead forecasting of electricity prices," Energy Economics, Elsevier, vol. 99(C).
    8. Krishna Prakash N. & Jai Govind Singh, 2023. "Electricity price forecasting using hybrid deep learned networks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1750-1771, November.
    9. Kostrzewski, Maciej & Kostrzewska, Jadwiga, 2019. "Probabilistic electricity price forecasting with Bayesian stochastic volatility models," Energy Economics, Elsevier, vol. 80(C), pages 610-620.
    10. Claudia Foroni & Francesco Ravazzolo & Luca Rossini, 2020. "Are low frequency macroeconomic variables important for high frequency electricity prices?," Papers 2007.13566, arXiv.org, revised Dec 2022.
    11. Russo, Marianna & Kraft, Emil & Bertsch, Valentin & Keles, Dogan, 2022. "Short-term risk management of electricity retailers under rising shares of decentralized solar generation," Energy Economics, Elsevier, vol. 109(C).
    12. Jesus Lago & Grzegorz Marcjasz & Bart De Schutter & Rafa{l} Weron, 2020. "Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark," Papers 2008.08004, arXiv.org, revised Dec 2020.
    13. Kin G. Olivares & Cristian Challu & Grzegorz Marcjasz & Rafal Weron & Artur Dubrawski, 2021. "Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx," WORking papers in Management Science (WORMS) WORMS/21/07, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
    14. Karol Pilot & Alicja Ganczarek-Gamrot & Krzysztof Kania, 2024. "Dealing with Anomalies in Day-Ahead Market Prediction Using Machine Learning Hybrid Model," Energies, MDPI, vol. 17(17), pages 1-20, September.
    15. Billé, Anna Gloria & Gianfreda, Angelica & Del Grosso, Filippo & Ravazzolo, Francesco, 2023. "Forecasting electricity prices with expert, linear, and nonlinear models," International Journal of Forecasting, Elsevier, vol. 39(2), pages 570-586.
    16. Bartosz Uniejewski & Katarzyna Maciejowska, 2022. "LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling," Papers 2207.04794, arXiv.org.
    17. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    18. Avesani, Diego & Zanfei, Ariele & Di Marco, Nicola & Galletti, Andrea & Ravazzolo, Francesco & Righetti, Maurizio & Majone, Bruno, 2022. "Short-term hydropower optimization driven by innovative time-adapting econometric model," Applied Energy, Elsevier, vol. 310(C).
    19. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    20. He Jiang & Yao Dong & Jianzhou Wang, 2024. "Electricity price forecasting using quantile regression averaging with nonconvex regularization," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1859-1879, September.
    21. Nadja Klein & Michael Stanley Smith & David J. Nott, 2023. "Deep distributional time series models and the probabilistic forecasting of intraday electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 493-511, June.
    22. Nikola Krečar & Andrej F. Gubina, 2020. "Risk mitigation in the electricity market driven by new renewable energy sources," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 9(1), January.
    23. Fabrizio Durante & Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2022. "A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources," Papers 2201.01132, arXiv.org.
    24. Anne Opschoor & Dewi Peerlings & Luca Rossini & Andre Lucas, 2024. "Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution," Tinbergen Institute Discussion Papers 24-049/III, Tinbergen Institute.
    25. Agnieszka Mazurek-Czarnecka & Ksymena Rosiek & Marcin Salamaga & Krzysztof Wąsowicz & Renata Żaba-Nieroda, 2022. "Study on Support Mechanisms for Renewable Energy Sources in Poland," Energies, MDPI, vol. 15(12), pages 1-38, June.
    26. Yang, Yifan & Guo, Ju’e & Li, Yi & Zhou, Jiandong, 2024. "Forecasting day-ahead electricity prices with spatial dependence," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1255-1270.
    27. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2020. "Large Time-Varying Volatility Models for Electricity Prices," Working Papers No 05/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    28. Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2019. "Forecasting daily electricity prices with monthly macroeconomic variables," Working Paper Series 2250, European Central Bank.
    29. Seeliger, Andreas, 2023. "Modelling Natural Gas Markets: Could We Learn from our Mistakes in the Past? - A Reality Check for MAGELAN," EconStor Preprints 276957, ZBW - Leibniz Information Centre for Economics.
    30. Chai, Shanglei & Li, Qiang & Abedin, Mohammad Zoynul & Lucey, Brian M., 2024. "Forecasting electricity prices from the state-of-the-art modeling technology and the price determinant perspectives," Research in International Business and Finance, Elsevier, vol. 67(PA).
    31. Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
    32. Philip Beran & Arne Vogler, 2021. "Multi-Day-Ahead Electricity Price Forecasting: A Comparison of fundamental, econometric and hybrid Models," EWL Working Papers 2102, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Oct 2021.

  12. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.

    Cited by:

    1. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
    2. Daniel Felix Ahelegbey & Paolo Giudici, 2020. "NetVIX - A Network Volatility Index of Financial Markets," DEM Working Papers Series 192, University of Pavia, Department of Economics and Management.
    3. Daniel Felix Ahelegbey, 2022. "Statistical Modelling of Downside Risk Spillovers," FinTech, MDPI, vol. 1(2), pages 1-10, April.
    4. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
    5. Ahelegbey, Daniel Felix & Billio, Monica & Casarin, Roberto, 2024. "Modeling Turning Points in the Global Equity Market," Econometrics and Statistics, Elsevier, vol. 30(C), pages 60-75.
    6. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
    7. Nan Zhang & Daniel J. Graham & Daniel Hörcher & Prateek Bansal, 2021. "A causal inference approach to measure the vulnerability of urban metro systems," Transportation, Springer, vol. 48(6), pages 3269-3300, December.
    8. Minkun Kim & David Lindberg & Martin Crane & Marija Bezbradica, 2023. "Dirichlet Process Log Skew-Normal Mixture with a Missing-at-Random-Covariate in Insurance Claim Analysis," Econometrics, MDPI, vol. 11(4), pages 1-32, October.
    9. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
    10. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2023. "A flexible predictive density combination for large financial data sets in regular and crisis periods," Journal of Econometrics, Elsevier, vol. 237(2).
    11. Marco Tronzano, 2023. "Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022)," JRFM, MDPI, vol. 16(5), pages 1-23, May.
    12. Camehl, Annika, 2023. "Penalized estimation of panel vector autoregressive models: A panel LASSO approach," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1185-1204.
    13. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    14. Camehl, Annika & von Schweinitz, Gregor, 2023. "What explains international interest rate co-movement?," IWH Discussion Papers 3/2023, Halle Institute for Economic Research (IWH), revised 2023.
    15. Florian Huber & Gary Koop & Massimiliano Marcellino & Tobias Scheckel, 2024. "Bayesian modelling of VAR precision matrices using stochastic block networks," Papers 2407.16349, arXiv.org.
    16. Simon Beyeler & Sylvia Kaufmann, 2021. "Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 989-1012, November.
    17. Hu, Guanyu, 2021. "Spatially varying sparsity in dynamic regression models," Econometrics and Statistics, Elsevier, vol. 17(C), pages 23-34.
    18. Liu, Wei & Ma, Qianting & Liu, Xiaoxing, 2022. "Research on the dynamic evolution and its influencing factors of stock correlation network in the Chinese new energy market," Finance Research Letters, Elsevier, vol. 45(C).
    19. Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.
    20. Bernardi, Mauro & Costola, Michele, 2019. "High-dimensional sparse financial networks through a regularised regression model," SAFE Working Paper Series 244, Leibniz Institute for Financial Research SAFE.
    21. Zhang, Xingmin & Zhang, Shuai, 2021. "Optimal time-varying tail risk network with a rolling window approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).

  13. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse seemingly unrelated regression model (SUR)," Working Papers 2016:20, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Chamberlain Mbah & Kris Peremans & Stefan Van Aelst & Dries F. Benoit, 2019. "Robust Bayesian seemingly unrelated regression model," Computational Statistics, Springer, vol. 34(3), pages 1135-1157, September.

  14. Luciana Dalla Valle & Fabrizio Leisen & Luca Rossini, 2016. "Bayesian Nonparametric Conditional Copula Estimation of Twin Data," Working Papers 2016:08, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Arbel, Julyan & Crispino, Marta & Girard, Stéphane, 2019. "Dependence properties and Bayesian inference for asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
    2. Lu Lu & Sujit Ghosh, 2024. "Nonparametric Estimation of Conditional Copula Using Smoothed Checkerboard Bernstein Sieves," Mathematics, MDPI, vol. 12(8), pages 1-17, April.
    3. Grazian, Clara & Dalla Valle, Luciana & Liseo, Brunero, 2022. "Approximate Bayesian conditional copulas," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
    4. Huihui Lin & N. Rao Chaganty, 2021. "Multivariate distributions of correlated binary variables generated by pair-copulas," Journal of Statistical Distributions and Applications, Springer, vol. 8(1), pages 1-14, December.
    5. Maximilian Coblenz & Simon Holz & Hans‐Jörg Bauer & Oliver Grothe & Rainer Koch, 2020. "Modelling fuel injector spray characteristics in jet engines by using vine copulas," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 69(4), pages 863-886, August.
    6. Levi, Evgeny & Craiu, Radu V., 2018. "Bayesian inference for conditional copulas using Gaussian Process single index models," Computational Statistics & Data Analysis, Elsevier, vol. 122(C), pages 115-134.

Articles

  1. Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2023. "Are low frequency macroeconomic variables important for high frequency electricity prices?," Economic Modelling, Elsevier, vol. 120(C).
    See citations under working paper version above.
  2. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2023. "Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 482-496, April.

    Cited by:

    1. Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.

  3. Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
    See citations under working paper version above.
  4. Luciana Dalla Valle & Fabrizio Leisen & Luca Rossini & Weixuan Zhu, 2020. "Bayesian analysis of immigration in Europe with generalized logistic regression," Journal of Applied Statistics, Taylor & Francis Journals, vol. 47(3), pages 424-438, February.

    Cited by:

    1. Juan Carlos Martín & Alessandro Indelicato, 2022. "A DEA MCDM Approach Applied to ESS8 Dataset for Measuring Immigration and Refugees Citizens’ Openness," Journal of International Migration and Integration, Springer, vol. 23(4), pages 1941-1961, December.

  5. Gianfreda, Angelica & Ravazzolo, Francesco & Rossini, Luca, 2020. "Comparing the forecasting performances of linear models for electricity prices with high RES penetration," International Journal of Forecasting, Elsevier, vol. 36(3), pages 974-986.
    See citations under working paper version above.
  6. Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
    See citations under working paper version above.
  7. Rick Bohte & Luca Rossini, 2019. "Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models," JRFM, MDPI, vol. 12(3), pages 1-18, September.
    See citations under working paper version above.
  8. Luciana Dalla Valle & Fabrizio Leisen & Luca Rossini, 2018. "Bayesian non‐parametric conditional copula estimation of twin data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 523-548, April.
    See citations under working paper version above.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 29 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (15) 2016-04-09 2016-08-14 2019-06-17 2020-07-20 2020-07-27 2020-07-27 2020-08-31 2020-11-23 2021-02-08 2022-10-10 2023-01-09 2023-09-04 2024-02-26 2024-06-24 2024-09-30. Author is listed
  2. NEP-FOR: Forecasting (13) 2018-01-22 2018-02-05 2019-04-01 2019-09-23 2020-07-20 2020-07-27 2020-07-27 2020-08-31 2020-09-14 2020-10-05 2020-11-23 2022-07-18 2024-03-04. Author is listed
  3. NEP-ENE: Energy Economics (12) 2018-01-22 2018-02-05 2019-04-01 2020-07-27 2020-08-31 2020-11-23 2022-01-31 2023-11-13 2023-11-20 2024-03-04 2024-03-18 2024-09-30. Author is listed
  4. NEP-ETS: Econometric Time Series (9) 2019-06-17 2019-09-23 2020-07-27 2020-07-27 2020-11-23 2022-10-10 2023-01-09 2024-06-24 2024-09-30. Author is listed
  5. NEP-ORE: Operations Research (5) 2016-09-04 2019-09-23 2020-07-27 2020-09-14 2021-02-08. Author is listed
  6. NEP-EEC: European Economics (4) 2023-11-13 2023-11-20 2024-03-04 2024-03-18
  7. NEP-ENV: Environmental Economics (4) 2022-01-31 2024-03-04 2024-03-04 2024-03-18
  8. NEP-REG: Regulation (4) 2018-01-22 2018-02-05 2020-07-27 2023-11-13
  9. NEP-CIS: Confederation of Independent States (2) 2023-11-13 2023-11-20
  10. NEP-EUR: Microeconomic European Issues (2) 2022-01-31 2024-03-04
  11. NEP-RMG: Risk Management (2) 2020-07-27 2022-10-10
  12. NEP-TRA: Transition Economics (2) 2023-11-13 2023-11-20
  13. NEP-BAN: Banking (1) 2023-09-04
  14. NEP-DEM: Demographic Economics (1) 2022-07-18
  15. NEP-FDG: Financial Development and Growth (1) 2024-02-26
  16. NEP-MAC: Macroeconomics (1) 2016-09-04
  17. NEP-MON: Monetary Economics (1) 2023-09-04
  18. NEP-PAY: Payment Systems and Financial Technology (1) 2019-09-23
  19. NEP-SPO: Sports and Economics (1) 2020-09-14

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