• Fiscal Policy Regimes in Resource-Rich Economies 

      Bjørnland, Hilde C.; Casarin, Roberto; Lorusso, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;13/2023, Working paper, 2023-10-21)
      We analyse fiscal policy in resource-rich economies using a novel Bayesian regime-switching panel model. The identified regimes capture pro- or countercyclical fiscal behaviour, while the switches between the regimes have ...
    • A flexible predictive density combination for large financial data sets in regular and crisis periods 

      Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Peer reviewed; Journal article, 2023)
      A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive ...
    • 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 ...
    • 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 ...
    • 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 ...
    • 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 ...
    • 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 ...