Luca Cattivelli

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

242

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

A SHARP Model of Bid-Ask Spread Forecasts

Number of pages: 35 Posted: 17 Jan 2017 Last Revised: 09 Jul 2019
Luca Cattivelli and Davide Pirino
Scuola Normale Superiore and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 168 (200,110)

Abstract:

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bid-ask spread, forecasting, liquidity, long-memory, seasonality, integer-valued, stochastic processes

2.

Adaptive Lasso for Vector Multiplicative Error Models

Number of pages: 44 Posted: 04 Aug 2018 Last Revised: 10 Jul 2019
Luca Cattivelli and Giampiero M. Gallo
Scuola Normale Superiore and Corte dei Conti - Italian Court of Audits
Downloads 53 (423,419)
Citation 1

Abstract:

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vMEM, Volatility Spillovers, Volatility Forecasting, Adaptive Lasso, Variable Selection, Oracle Property, European Debt Crisis

3.

Price Transmission Analysis in the Italian Feed Industry: An Interrupted-Threshold-Cointegration (ITC) Approach

Number of pages: 33 Posted: 07 Oct 2018
Federico Antonioli and Luca Cattivelli
Università degli studi della Tuscia and Scuola Normale Superiore
Downloads 21 (576,970)

Abstract:

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feed, price transmission, cointegration