• Comparing the forecasting performances of linear models for electricity prices with high RES penetration 

      Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (Journal article; Peer reviewed, 2020)
      We compare alternative univariate versus multivariate models and frequentist versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, both with and without renewable ...
    • 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 ...
    • 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 ...
    • 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 ...
    • 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 ...