• Identification of financial factors in economic fluctuations 

      Furlanetto, Francesco; Ravazzolo, Francesco; Sarferaz, Samad (Journal article; Peer reviewed, 2017)
      We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign restrictions on US data. We find that financial shocks are major drivers of fluctuations in output, stock ...
    • Incorporating air temperature into mid-term electricity load forecasting models using time-series regressions and neural networks 

      Bashiri Behmiri, Niaz; Fezzi, Carlo; Ravazzolo, Francesco (Peer reviewed; Journal article, 2023)
      One of the most controversial issues in the mid-term load forecasting literature is the treatment of weather. Because of the difficulty in obtaining precise weather forecasts for a few weeks ahead, researchers have, so ...
    • Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (CAMP Working Papers Series; 8/2014, Working paper, 2014)
      Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical ...
    • Interactions between eurozone and US booms and busts: A bayesian panel Markov-switching VAR model 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (CAMP Working Paper Series;8/2014, Working paper, 2014)
      Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical ...
    • Large Time-Varying Volatility Models for Electricity Prices 

      Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;05/2020, Working paper, 2020-07-02)
      We study the importance of time-varying volatility in modelling hourly electricity prices when fundamental drivers are included in the estimation. This allows us to contribute to the literature of large Bayesian VARs by ...
    • Large Time-Varying Volatility Models for Hourly Electricity Prices* 

      Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (Peer reviewed; Journal article, 2022)
      We study the importance of time-varying volatility in modelling hourly electricity prices when fundamental drivers are included in the estimation. This allows us to contribute to the literature of large Bayesian VARs by ...
    • Markov switching panel with endogenous synchronization effects 

      Agudze, Komla M.; Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco (Journal article; Peer reviewed, 2021)
      This paper introduces a new dynamic panel model with multi-layer network effects. Series-specific latent Markov chain processes drive the dynamics of the observable processes, and several types of interaction effects among ...
    • Markov Switching Panel with Network Interaction Effects 

      Agudze, Komla Mawulom; Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco (CAMP Working Paper Series;1, Working paper, 2018-01)
      The paper introduces a new dynamic panel model for large data sets of time series, each of them characterized by a series-specific Markov switching process. By introducing a neighbourhood system based on a network ...
    • Measuring sovereign contagion in Europe 

      Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (CAMP Working Paper Series;4/2012, Working paper, 2014-06-24)
      This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression ...
    • A multivariate dependence analysis for electricity prices, demand and renewable energy sources 

      Durante, Fabrizio; Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (Peer reviewed; Journal article, 2022)
      This paper examines the dependence between electricity prices, demand, and renewable energy sources by means of a multivariate copula model while studying Germany, the widest studied market in Europe. The inter-dependencies ...
    • A multivariate dependence analysis for electricity prices, demand and renewable energy sources 

      Durante, Fabrizio; Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (Journal article; Peer reviewed, 2022)
      This paper examines the dependence between electricity prices, demand, and renewable energy sources by means of a multivariate copula model while studying Germany, the widest studied market in Europe. The inter-dependencies ...
    • Nowcasting industrial production using linear and non-linear models of electricity demand 

      Galdi, Giulio; Casarin, Roberto; Ferrari, Davide; Fezzi, Carlo; Ravazzolo, Francesco (Peer reviewed; Journal article, 2023)
      This article proposes different modelling approaches which exploit electricity market data to nowcast industrial production. Our models include linear, mixed-data sampling (MIDAS), Markov-Switching (MS) and MS-MIDAS ...
    • Oil and Fiscal Policy Regimes 

      Bjørnland, Hilde Christiane; Casarin, Roberto; Lorusso, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;11, Working paper, 2020-12-29)
      We analyse fiscal policy responses in oil rich countries by developing a Bayesian regime-switching panel country analysis. We use parameter restrictions to identify procyclical and countercyclical fiscal policy regimes ...
    • Oil and US GDP: A Real-Time Out-of Sample Examination 

      Ravazzolo, Francesco; Rothman, Philip (CAMP Working Paper Series;2/2011, Working paper, 2011)
      We study the real-time predictive content of crude oil prices for US real GDP growth through a pseudo out-of-sample (OOS) forecasting exercise. Comparing our benchmark model "without oil" against alternatives "with oil," ...
    • Oil price density forecasts: Exploring the linkages with stock markets 

      Lombardi, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;3/2012, Working paper, 2012)
      In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such ...
    • Oil-Price Density Forecasts of U.S. GDP 

      Ravazzolo, Francesco; Rothman, Philip (CAMP Working Papers Series;10/2015, Working paper, 2015)
      We carry out a pseudo out-of-sample density forecasting study for U.S. GDP with an autoregressive benchmark and alternatives to the benchmark than include both oil prices and stochastic volatility. The alternatives to the ...
    • Optimal Portfolio Choice under Decision-Based Model Combinations 

      Pettenuzzo, Davide; Ravazzolo, Francesco (CAMP Working Paper Series;9/2015, Working paper, 2015)
      We extend the density combination approach of Billio et al. (2013) to feature combination weights that depend on the past forecasting performance of the individual models entering the combination through a utility-based ...
    • Predicting the Volatility of Cryptocurrency Time–Series 

      Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco (CAMP Working Paper Series;3, Working paper, 2018-02)
      Cryptocurrencies have recently gained a lot of interest from investors, central banks and governments worldwide. The lack of any form of political regu- lation and their market far from being “efficient”, require new forms ...
    • Proper scoring rules for evaluating asymmetry in density forecasting 

      Iacopini, Matteo; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;06/2020, Working paper, 2020-09-01)
      This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted version, which emphasizes regions of interest, ...
    • Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions 

      Iacopini, Matteo; Ravazzolo, Francesco; Rossini, Luca (Peer reviewed; Journal article, 2022)
      This article proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It generalizes the proposed score and defines a weighted version, which emphasizes regions of ...