Davide Ferrari

Free University of Bozen-Bolzano, Faculty of Economics and Management

Sernesiplatz 1

Bozen-Bolzano, BZ 39100

Italy

  • Free University of Bozen-Bolzano, Faculty of Economics and Management

SCHOLARLY PAPERS

3

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1,416

TOTAL CITATIONS

10

Scholarly Papers (3)

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1.

Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach

Downloads 1,222 (34,743)
Citation 8

Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach

Globalization and Monetary Policy Institute Working Paper No. 376
Number of pages: 24 Posted: 10 Jan 2020
Davide Ferrari, Francesco Ravazzolo and Joaquin Vespignani
Free University of Bozen-Bolzano, Faculty of Economics and Management, Free University of Bozen-Bolzano and University of Tasmania - School of Economics and Finance
Downloads 772 (65,006)
Citation 5

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Energy Prices, Forecasting, Dynamic Factor Model, Sparse Estimation, Penalized Maximum Likelihood

Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach

CAMA Working Paper No. 90/2019
Number of pages: 25 Posted: 20 Dec 2019
Davide Ferrari, Francesco Ravazzolo and Joaquin Vespignani
Free University of Bozen-Bolzano, Faculty of Economics and Management, Free University of Bozen-Bolzano - Faculty of Economics and Management and University of Tasmania - School of Economics and Finance
Downloads 450 (128,591)
Citation 3

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Energy Prices, Forecasting, Dynamic Factor model, Sparse Estimation, Penalized Maximum Likelihood

2.

Smoothed Semicovariance Estimation for Portfolio Selection

Downloads 178 (337,070)
Citation 2

Smoothed Semicovariance Estimation for Portfolio Selection

Number of pages: 24 Posted: 23 Mar 2021 Last Revised: 21 Jun 2023
Davide Ferrari, Sandra Paterlini, Andrea Rigamonti and Alex Weissensteiner
Free University of Bozen-Bolzano, Faculty of Economics and Management, University of Trento - Department of Economics and Management, Masaryk University - Faculty of Economics and Administration and Free University of Bolzano Bozen
Downloads 162 (365,565)
Citation 1

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semivariance, smoothed semicovariance, portfolio optimization, skewness

Smoothed Semicovariance Estimation for Portfolio Selection

Number of pages: 38 Posted: 23 Mar 2021
Davide Ferrari, Sandra Paterlini, Andrea Rigamonti and Alex Weissensteiner
Free University of Bozen-Bolzano, Faculty of Economics and Management, University of Trento - Department of Economics and Management, Masaryk University - Faculty of Economics and Administration and Free University of Bolzano Bozen
Downloads 16 (1,108,288)
Citation 1

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semivariance, smoothed semicovariance, portfolio optimization, skewness

3.

Model Selection by Pathwise Marginal Likelihood Thresholding

Number of pages: 14 Posted: 01 Sep 2023
Claudia Di Caterina and Davide Ferrari
University of Verona and Free University of Bozen-Bolzano, Faculty of Economics and Management
Downloads 16 (1,070,832)

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composite likelihood, independence likelihood, pairwise likelihood, multivariate analysis, sparsity-inducing penalization