Blar i Publikasjoner fra CRIStin - BI på forfatter "Ravazzolo, Francesco"

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    • A Bayesian DSGE approach to modelling cryptocurrency 

      Asimakopoulos, Stylianos; Lorusso, Marco; Ravazzolo, Francesco (Journal article; Peer reviewed, 2023)
      We develop and estimate a DSGE model to evaluate the economic repercussions of cryptocurrency. In our model, cryptocurrency offers an alternative currency option to government currency, with endogenous supply and demand. ...

    • 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. (Journal article; Peer reviewed, 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 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 energy commodity prices: A large global dataset sparse approach 

      Ferrari, Davide; Ravazzolo, Francesco; Vespignani, Joaquin (Journal article; Peer reviewed, 2021)
      This paper focuses on forecasting quarterly nominal global energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of ...

    • 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 (Journal article; Peer reviewed, 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 ...

    • Incorporating air temperature into mid-term electricity load forecasting models using time-series regressions and neural networks 

      Bashiri Behmiri, Niaz; Fezzi, Carlo; Ravazzolo, Francesco (Journal article; Peer reviewed, 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 ...

    • Modeling Corporate CDS Spreads Using Markov Switching Regressions 

      Baltodano López, Ovielt; Bulfone, Giacomo; Casarin, Roberto; Ravazzolo, Francesco (Journal article; Peer reviewed, 2023)
      This paper investigates the determinants of the European iTraxx corporate CDS index considering a large set of explanatory variables within a Markov switching model framework. The influence of financial and economic variables ...

    • 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 ...

    • 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 ...