Browsing BI Open by Author "Ravazzolo, Francesco"
Now showing items 21-25 of 25
-
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, ... -
The bank-sovereign nexus: Evidence from a non-bailout episode
Caporin, Massimiliano; Natvik, Gisle James; Ravazzolo, Francesco; Santucci de Magistris, Paolo (Journal article; Peer reviewed, 2019)We explore the interplay between sovereign and bank credit risk in a setting where Danish authorities first let two Danish banks default and then left the country’s largest bank, Danske Bank, to recapitalize privately. We ... -
Time-varying combinations of predictive densities using nonlinear filtering
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; Dijk, Herman K. van (Journal article; Peer reviewed, 2013)We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the combination weights. Several speci cations of multivariate time-varying ... -
Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts
Krüger, Fabian; Clark, Todd E.; Ravazzolo, Francesco (CAMP Working Paper Series;8/2015, Working paper, 2015)This paper shows entropic tilting to be a flexible and powerful tool for combining mediumterm forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting ...