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Details about Luca Rossini

Homepage:http://lucarossini.wixsite.com/luca-rossini
Workplace:Dipartimento di Economia (Department of Economics), Università Ca' Foscari Venezia (University Ca' Foscari Venice), (more information at EDIRC)
Fondazione ENI Enrico Mattei (FEEM) (ENI Enrico Mattei Foundation), (more information at EDIRC)
Dipartimento di Economia, Management e Metodi Quantitativi (DEMM) (Department of Economics, Management and Quantitative Methods), Università degli Studi di Milano (University of Milan), (more information at EDIRC)

Access statistics for papers by Luca Rossini.

Last updated 2024-04-07. Update your information in the RePEc Author Service.

Short-id: pro1002


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Working Papers

2024

  1. A Quantile Nelson-Siegel model
    Papers, arXiv.org Downloads
  2. What drives the European carbon market? Macroeconomic factors and forecasts
    FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM) Downloads
    Also in Working Papers, Fondazione Eni Enrico Mattei (2024) Downloads
    Papers, arXiv.org (2024) Downloads

2023

  1. Is the Price Cap for Gas Useful? Evidence from European Countries
    FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM) Downloads
    Also in Working Papers, Fondazione Eni Enrico Mattei (2023) Downloads
  2. Money Growth and Inflation: A Quantile Sensitivity Approach
    Papers, arXiv.org Downloads
  3. Sparse time-varying parameter VECMs with an application to modeling electricity prices
    Papers, arXiv.org Downloads
  4. Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2022

  1. A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources
    Papers, arXiv.org Downloads View citations (1)
  2. Are low frequency macroeconomic variables important for high frequency electricity prices?
    Papers, arXiv.org Downloads
    See also Journal Article Are low frequency macroeconomic variables important for high frequency electricity prices?, Economic Modelling, Elsevier (2023) Downloads View citations (5) (2023)
  3. Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP, Journal of Economic Dynamics and Control, Elsevier (2023) Downloads (2023)
  4. Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications
    Papers, arXiv.org Downloads View citations (2)
  5. The Role of the Monthly ENSO in Forecasting the Daily Baltic Dry Index
    Working Papers, University of Pretoria, Department of Economics View citations (1)

2021

  1. Inference in Bayesian Additive Vector Autoregressive Tree Models
    Papers, arXiv.org Downloads View citations (2)

2020

  1. Dynamic Bayesian forecasting of English Premier League match results with the Skellam distribution
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen Downloads
  2. Large Time-Varying Volatility Models for Electricity Prices
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (4)
  3. Proper scoring rules for evaluating asymmetry in density forecasting
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads
    Also in Papers, arXiv.org (2020) Downloads

2019

  1. Bayesian nonparametric graphical models for time-varying parameters VAR
    Papers, arXiv.org Downloads
  2. Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
    Papers, arXiv.org Downloads View citations (5)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2018) Downloads View citations (4)

    See also Journal Article Comparing the forecasting performances of linear models for electricity prices with high RES penetration, International Journal of Forecasting, Elsevier (2020) Downloads View citations (29) (2020)
  3. Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models
    Papers, arXiv.org Downloads View citations (11)
    See also Journal Article Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models, JRFM, MDPI (2019) Downloads View citations (11) (2019)
  4. Forecasting daily electricity prices with monthly macroeconomic variables
    Working Paper Series, European Central Bank Downloads View citations (3)

2018

  1. Bayesian nonparametric sparse VAR models
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Bayesian nonparametric sparse VAR models, Journal of Econometrics, Elsevier (2019) Downloads View citations (23) (2019)

2016

  1. Bayesian Nonparametric Conditional Copula Estimation of Twin Data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    See also Journal Article Bayesian non‐parametric conditional copula estimation of twin data, Journal of the Royal Statistical Society Series C, Royal Statistical Society (2018) Downloads View citations (5) (2018)
  2. Bayesian nonparametric sparse seemingly unrelated regression model (SUR)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)

Journal Articles

2023

  1. Are low frequency macroeconomic variables important for high frequency electricity prices?
    Economic Modelling, 2023, 120, (C) Downloads View citations (5)
    See also Working Paper Are low frequency macroeconomic variables important for high frequency electricity prices?, Papers (2022) Downloads (2022)
  2. Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP
    Journal of Economic Dynamics and Control, 2023, 157, (C) Downloads
    See also Working Paper Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP, Papers (2022) Downloads View citations (1) (2022)
  3. Large Time‐Varying Volatility Models for Hourly Electricity Prices
    Oxford Bulletin of Economics and Statistics, 2023, 85, (3), 545-573 Downloads
  4. Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
    Journal of Business & Economic Statistics, 2023, 41, (2), 482-496 Downloads

2020

  1. Bayesian analysis of immigration in Europe with generalized logistic regression
    Journal of Applied Statistics, 2020, 47, (3), 424-438 Downloads View citations (1)
  2. Comparing the forecasting performances of linear models for electricity prices with high RES penetration
    International Journal of Forecasting, 2020, 36, (3), 974-986 Downloads View citations (29)
    See also Working Paper Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration, Papers (2019) Downloads View citations (5) (2019)
  3. Loss-based approach to two-piece location-scale distributions with applications to dependent data
    Statistical Methods & Applications, 2020, 29, (2), 309-333 Downloads

2019

  1. Bayesian nonparametric sparse VAR models
    Journal of Econometrics, 2019, 212, (1), 97-115 Downloads View citations (23)
    See also Working Paper Bayesian nonparametric sparse VAR models, Papers (2018) Downloads View citations (1) (2018)
  2. Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models
    JRFM, 2019, 12, (3), 1-18 Downloads View citations (11)
    See also Working Paper Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models, Papers (2019) Downloads View citations (11) (2019)
  3. On a flexible construction of a negative binomial model
    Statistics & Probability Letters, 2019, 152, (C), 1-8 Downloads

2018

  1. Bayesian non‐parametric conditional copula estimation of twin data
    Journal of the Royal Statistical Society Series C, 2018, 67, (3), 523-548 Downloads View citations (5)
    See also Working Paper Bayesian Nonparametric Conditional Copula Estimation of Twin Data, Working Papers (2016) Downloads View citations (1) (2016)
  2. Objective bayesian analysis of the Yule–Simon distribution with applications
    Computational Statistics, 2018, 33, (1), 99-126 Downloads
 
Page updated 2024-05-17