Luca Rossini

VU University Amsterdam - Department of Econometrics

De Boelelaan 1105

Amsterdam, 1081 HV

Netherlands

Ca Foscari University of Venice - Dipartimento di Economia

Cultore della Materia

Cannaregio 873

Venice, 30121

Italy

SCHOLARLY PAPERS

7

DOWNLOADS

331

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

Stablecoins and Cryptocurrency Returns: Evidence From Large Bayesian VARs

Number of pages: 43 Posted: 15 Jun 2020 Last Revised: 30 Sep 2020
Daniele Bianchi, Luca Rossini and Matteo Iacopini
School of Economics and Finance, Queen Mary University of London, VU University Amsterdam - Department of Econometrics and Ca Foscari University of Venice
Downloads 107 (288,008)

Abstract:

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

2.

Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)

Number of pages: 38 Posted: 01 Sep 2016 Last Revised: 31 Jul 2017
Monica Billio, Roberto Casarin and Luca Rossini
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and VU University Amsterdam - Department of Econometrics
Downloads 93 (311,838)
Citation 1

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

3.

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 VU University Amsterdam - Department of Econometrics
Downloads 49 (438,145)

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

4.

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 VU University Amsterdam - Department of Econometrics
Downloads 35 (497,606)
Citation 2

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Bayesian nonparametrics, Conditional Copula models, Slice sampling

5.

Bayesian Nonparametric Graphical Models for Time-Varying Parameters VAR

Number of pages: 32 Posted: 17 Jun 2019
Matteo Iacopini and Luca Rossini
Ca Foscari University of Venice and VU University Amsterdam - Department of Econometrics
Downloads 32 (512,369)

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

6.

Proper Scoring Rules for Evaluating Asymmetry in Density Forecasting

Number of pages: 23 Posted: 15 Jul 2020
Ca Foscari University of Venice, Free University of Bozen-Bolzano - Faculty of Economics and Management and VU University Amsterdam - Department of Econometrics
Downloads 9 (659,544)

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7.

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, VU University Amsterdam - Department of Econometrics and University of Kent - Canterbury Campus
Downloads 6 (681,651)

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