Paolo Pagnottoni

University of Pavia - Department of Economics and Management

Via San Felice 7

Pavia , 27100

Italy

SCHOLARLY PAPERS

7

DOWNLOADS

886

SSRN CITATIONS

8

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

Price Discovery on Bitcoin Markets

Number of pages: 25 Posted: 16 Nov 2018 Last Revised: 16 Dec 2018
Paolo Pagnottoni and Thomas Dimpfl
University of Pavia - Department of Economics and Management and University of Hohenheim
Downloads 235 (233,782)
Citation 9

Abstract:

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price discovery, bitcoin, hasbrouck information shares

2.

Libra or Librae? Basket Based Stablecoins to Mitigate Foreign Exchange Volatility Spillovers

Number of pages: 24 Posted: 13 Mar 2020 Last Revised: 20 Mar 2020
Paolo Giudici, Thomas Leach and Paolo Pagnottoni
University of Pavia, University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Management
Downloads 134 (381,555)
Citation 1

Abstract:

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Cryptocurrencies, Fintech, Stablecoins, Spillover, Variance Decomposition

3.

Bayesian Variable Selection for Matrix Autoregressive Models

Number of pages: 33 Posted: 18 Aug 2022
Alessandro Celani, Paolo Pagnottoni and Galin L. Jones
Marche Polytechnic University, Department of Economic and Social Sciences, University of Pavia - Department of Economics and Management and University of Minnesota - Minneapolis
Downloads 118 (420,409)

Abstract:

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Autoregressive models, Bayesian estimation, Matrix-valued time series, Maximum a posteriori probability, Stochastic search

4.

The Topological Structure of Panel Variance Decomposition Networks

Journal of Financial Stability, Forthcoming
Number of pages: 52 Posted: 01 Oct 2021 Last Revised: 09 Nov 2022
Alessandro Celani, Paola Cerchiello and Paolo Pagnottoni
Marche Polytechnic University, Department of Economic and Social Sciences, University of Pavia - Department of Economics and Management Science and University of Pavia - Department of Economics and Management
Downloads 108 (448,737)

Abstract:

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Crisis, Global VAR, Network Theory, Systemic Risk, Variance Decomposition

5.

The Multidimensional Relationships between Sentiment, Returns and Volatility

Number of pages: 53 Posted: 27 Jan 2023 Last Revised: 13 Apr 2023
Alessandro Celani and Paolo Pagnottoni
Marche Polytechnic University, Department of Economic and Social Sciences and University of Pavia - Department of Economics and Management
Downloads 103 (464,405)

Abstract:

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Financial Connectedness, Bayesian estimation, Matrix-valued time series, Bayesian Financial Econometrics, Cryptocurrencies

6.

Matrix Autoregressive Models: Generalization and Bayesian Estimation

Number of pages: 41 Posted: 05 Dec 2022
Alessandro Celani and Paolo Pagnottoni
University of Minnesota - Twin Cities - School of Statistics and University of Pavia - Department of Economics and Management
Downloads 99 (477,332)

Abstract:

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Autoregressive Models, Bilinear Autoregression, Multivariate time series, Matrix-valued time series, Bayesian estimation, Nearest Kronecker product projection

7.

Network Self-Exciting Point Processes To Measure Health Impacts of COVID-19

Number of pages: 28 Posted: 12 Aug 2021
Paolo Giudici, Paolo Pagnottoni and Alessandro Spelta
University of Pavia, University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Management
Downloads 89 (511,227)
Citation 2

Abstract:

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COVID-19, Epidemic Modelling, Hawkes Process, Interconnectedness, Mobility Networks.