• 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, ...
    • 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 ...
    • 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 ...