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For other scientific activities, such as the organisation of workshops, conference talks etc., please refer to my CV.
For other scientific activities, such as the organisation of workshops, conference talks etc., please refer to my CV.
Publications
Publications
Casoli, C. and Pedini, L. (2026). Measuring spillovers and connectedness in gretl, Computational Statistics, 41 (1), 22.
Ahmadi, M., Casoli, C., Manera, M. and Valenti, D. (2025). Climate shocks, economic activity and cross-country spillovers: Evidence from a new global model, Economic Modelling, 148, 107082.
Casoli, C., Manera, M. and Valenti, D. (2024). Energy shocks in the Euro area: disentangling the pass-through from oil and gas prices to inflation, Journal of International Money and Finance, 147, 103154.
Bastianin, A., Casoli, C. and Galeotti, M. (2023). The connectedness of Energy Transition Metals, Energy Economics, 128, 107183 .
Casoli, C. and Lucchetti, R. (2022). Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices, The Econometrics Journal, 25(2), 494-514. [Replication material]
Casoli, C., Pedini, L. and Valentini, F. (2021). Do Covid-19 mobility restrictions affect economic uncertainty in Italy? Evidence from a SVAR approach, Economics Bulletin, 41(4), 2418-2432.
Work in progress
Work in progress
Working papers
Working papers
Bastianin, A., Casoli, C., Kocenda, E. and Li, X. (2026). Extreme Connectedness among Energy Transition Metals and Commodity Markets. FEEM working paper 13.2026.
Casoli, C. and Lucchetti, R. J. (2026). A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters. FEEM working paper 03.2026.
Casoli, C., Manera, M., Pedini, L. and Valenti, D. (2025). “It’s not the heat, it’s the humidity!” New Climate Indices for Europe with a Multilevel Factor Model. FEEM working paper 23.2025.
Romani, I. G. and Casoli, C. (2024). Understanding the future of Critical Raw Materials for the Energy Transition: SVAR models for the U.S. market. MIT CEEPR working paper 2024-05.
Current research
Current research
Price inflation spillovers between European-wide sectors: a Network Analysis approach. Joint with Luca Pedini and Artur Tarassow.
The US yield curve with cointegration and a time-varying factor structure. Joint with Giovanni Ferretti and Riccardo (Jack) Lucchetti.
Measuring European Trend Inflation with Tensor Factor Models
Other projects
Other projects
Software
Software
gretl
gretl
DYconn (Diebold-Yilmaz connectedness gretl function package. [associated article] [package documentation]
spm (Spatial Regression Models) gretl function package. [associated article] [package documentation]
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