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

8

DOWNLOADS

517

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (8)

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 VU University Amsterdam - Department of Econometrics
Downloads 224 (167,732)
Citation 3

Abstract:

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Stablecoins, Tether USD, 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 University of Milan
Downloads 98 (326,312)
Citation 1

Abstract:

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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 University of Milan
Downloads 68 (404,804)

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

4.

Bayesian Nonparametric Graphical Models for Time-Varying Parameters VAR

Number of pages: 32 Posted: 17 Jun 2019
Matteo Iacopini and Luca Rossini
VU University Amsterdam - Department of Econometrics and University of Milan
Downloads 45 (489,669)

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

5.

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 39 (516,971)
Citation 2

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Bayesian nonparametrics, Conditional Copula models, Slice sampling

6.

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 Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and University of Milan
Downloads 22 (614,525)

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

7.

Proper Scoring Rules for Evaluating Asymmetry in Density Forecasting

Number of pages: 23 Posted: 15 Jul 2020
VU University Amsterdam - Department of Econometrics, Free University of Bozen-Bolzano - Faculty of Economics and Management and University of Milan
Downloads 13 (678,799)

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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 8 (717,348)

Abstract:

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