• 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 ...
    • Forecasting Cryptocurrencies Financial Time Series 

      Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco (CAMP Working Paper Series;5, Working paper, 2018-03)
      This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, ...
    • Forecasting cryptocurrencies under model and parameter instability 

      Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco (Journal article; Peer reviewed, 2019)
      This paper studies the predictability of cryptocurrency time series. We compare several alternative univariate and multivariate models for point and density forecasting of four of the most capitalized series: Bitcoin, ...
    • Forecasting financial markets with semantic network analysis in the COVID-19 crisis 

      Fronzetti Colladon, Andrea; Grassi, Stefano; Ravazzolo, Francesco; Violante, Francesco (Peer reviewed; Journal article, 2022)
      This paper uses a new textual data index for predicting stock market data. The index is applied to a large set of news to evaluate the importance of one or more general economic-related keywords appearing in the text. The ...
    • 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 ...