Browsing BI Open by Author "Ravazzolo, Francesco"
Now showing items 21-27 of 27
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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, ... -
A scoring rule for factor and autoregressive models under misspecification
Ravazzolo, Francesco; Casarin, Roberto; Corradin, Fausto; Sartore, Domenico (Journal article; Peer reviewed, 2020)Factor models (FM) are now widely used for forecasting with large set of time series. Another class of models, which can be easily estimated and used in a large dimensional setting, is multivariate autoregressive models ... -
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 ...