• 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 ...