Luca Rossini

University of Milan

Via Festa del Perdono, 7

Milan, 20122

Italy

Ca Foscari University of Venice - Dipartimento di Economia

Cultore della Materia

Cannaregio 873

Venice, 30121

Italy

SCHOLARLY PAPERS

11

DOWNLOADS

1,434

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (11)

1.

Stablecoins and cryptocurrency returns: What is the role of Tether?

Number of pages: 50 Posted: 15 Jun 2020 Last Revised: 27 May 2021
Daniele Bianchi, Luca Rossini and Matteo Iacopini
School of Economics and Finance, Queen Mary University of London, University of Milan and Queen Mary University of London
Downloads 617 (80,886)
Citation 6

Abstract:

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Stablecoins, Tether USD, Bitcoin, Investments, Shrinkage priors, Bayesian VAR.

2.

Forecasting Daily Electricity Prices with Monthly Macroeconomic Variables

ECB Working Paper No. 2250 (2019); ISBN 978-92-899-3512-8
Number of pages: 61 Posted: 21 Mar 2019
European Central Bank (ECB), Free University of Bozen-Bolzano and University of Milan
Downloads 153 (351,171)

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Density Forecasting, Electricity Prices, Forecasting, Mixed-Frequency VAR models, MIDAS models

3.

Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)

Number of pages: 38 Posted: 01 Sep 2016 Last Revised: 31 Jul 2017
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and University of Milan
Downloads 140 (377,042)
Citation 1

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Bayesian nonparametrics; Bayesian model selection; Shrinkage; Large vector autoregression; Network representation; Connectedness

4.

Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution

Tinbergen Institute Discussion Paper 2021-010/III
Number of pages: 38 Posted: 13 Mar 2021
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam and University of Milan
Downloads 138 (381,207)
Citation 3

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Matrix Distributions, Tail Heterogeneity, (inverse) Riesz Distribution, Fat-Tails, Realized Covariance Matrices

5.

Bayesian Nonparametric Graphical Models for Time-Varying Parameters VAR

Number of pages: 32 Posted: 17 Jun 2019
Matteo Iacopini and Luca Rossini
Queen Mary University of London and University of Milan
Downloads 82 (548,946)

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Bayesian Nonparametrics, Dependent Dirichlet process, Large vector autoregression, Sparsity, Time-Varying networks

6.

Is the Price Cap for Gas Useful? Evidence from European Countries

FEEM Working Paper No. 23
Number of pages: 48 Posted: 31 Oct 2023
Francesco Ravazzolo and Luca Rossini
Free University of Bozen-Bolzano - Faculty of Economics and Management and University of Milan
Downloads 71 (596,031)

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Bayesian time series, Forecasted error variance decomposition, Gas price cap, Impulse response function, Mixture representation

7.

Bayesian Nonparametric Conditional Copula Estimation of Twin Data

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 8
Number of pages: 27 Posted: 21 Mar 2016 Last Revised: 22 Feb 2017
University of Milan - Department of Economics, Business and Statistics, University of Kent - Canterbury Campus and University of Milan
Downloads 71 (596,031)
Citation 2

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Bayesian nonparametrics, Conditional Copula models, Slice sampling

8.

A Note on the Posterior Inference for the Yule-Simon Distribution

Number of pages: 12 Posted: 18 Jan 2017
Fabrizio Leisen, Luca Rossini and Cristiano Villa
University of Kent - Canterbury Campus, University of Milan and University of Kent - Canterbury Campus
Downloads 62 (639,556)

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Yule-Simon Distribution, Data Augmentation, Count Data Regression, Text Analysis

9.

Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting Tail Risks of Monthly Us GDP

Number of pages: 32 Posted: 14 Mar 2023
Matteo Iacopini, Aubrey Poon, Luca Rossini and Dan Zhu
Queen Mary University of London, University of Kent - School of Economics, University of Milan and Monash University - Department of Econometrics & Business Statistics
Downloads 45 (739,067)

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Bayesian inference, mixed-frequency, multivariate quantile regression, nowcasting, VAR

10.

Proper Scoring Rules for Evaluating Asymmetry in Density Forecasting

Number of pages: 23 Posted: 15 Jul 2020
Queen Mary University of London, Free University of Bozen-Bolzano - Faculty of Economics and Management and University of Milan
Downloads 34 (819,345)

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11.

What drives the European carbon market? Macroeconomic factors and forecasts

FEEM Working Paper No. 02
Number of pages: 38 Posted: 15 Feb 2024
University of Milan, University of Milan, London Stock Exchange Group and University of Milan
Downloads 21 (933,942)

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Bayesian inference, Carbon prices, Climate Changes, EU ETS, Forecasting