Research
Published articles
Modelling Crypto-Currencies Financial Time-Series with Catania L. Forthcoming International Journal of Forecasting.
Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies (2019) with Basturk N., A. Borowska, Hoogerheide, L. and van Dijk H. Journal of Econometrics, Vol 200, 170-186.
Forecasting Cryptocurrencies Under Model and Parameter Instability (2019), with Leopoldo Catania and Francesco Ravazzolo, International Journal of Forecasting, Vol 35, 485-501.
Selecting structural innovations in DSGE models (2019) with Ferroni, F. and Leon-Ledesma M.A. Journal of Applied Econometrics, Vol. 34, 205-220.
Is Bitcoin a Relevant Predictor of Standard Poor's 500? (2019) with Muglia C. and Santabarbara, L. Journal of Risk and Financial Management, Vol 12, 1-22.
A DataCleaning Augmented Kalman Filter for Robust Estimation of State Space Models (2018) with Proietti T. and Marczak M. Econometrics and Statistics, Vol 5, 107-123 .
Forecasting with the Standardized Self-Perturbed Kalman Filter (2017), with Nonejad N. and Santucci de Magistris P. Journal of Applied Econometrics, Volume 32, Issue 2.
Basturk, N., Grassi, S., Hoogerheide, L., Opschoor, A., & van Dijk, H. K. (2017). The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference. Journal of Statistical Software, Vol. 79, 1-40.
The R package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference (2015) with Basturk N., Hoogerheide, L., Opschoor A. and van Dijk H. K. Journal of Statistical Software, forthcoming.
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox(2015), with Casarin R., Ravazzolo F. and van Dijk H. K., Journal of Statistical Software, Vol. 68. 1-30.
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries(2015), with Proietti T., Frale C., Marcellino M. and Mazzi G., International Journal of Forecasting, Vol 31, 712-738.
Parallelization Experience with Four Canonical Econometric Models using ParMitISEM, with B˜ast¨urk N., Hoogerheide, L. and van Dijk H. K., Econometrics, Vol. 4, 1-20.
Stochastic Trends and Seasonality in Economic Time Series: New Evidence from Bayesian Stochastic Model Specification Search(2015), with Proietti T., Empirical Economics, Vol. 48, 983-1011.
Its all about volatility (of volatility): Evidence from a two-factor stochastic volatility model(2014), with Santucci de Magistris P., Journal of Empirical Finance, Vol. 30, 62-78.
Item Response Models to Measure Corporate Social Responsibility(2014), with Nicolosi M. and Stanghellini E., Applied Financial Economics, Vol. 24, 1449-1464.
When Long Memory Meets the Kalman Filter: A Comparative Study(2014), with Santucci de Magistris P., Computational Statistics and Data Analysis, Vol. 76, 301-319.
Characterizing Economic Trends by Bayesian Stochastic Model Specification Search(2014), with Proietti T., Computational Statistics and Data Analysis, Vol. 71, 359-374.
The Statistical Relation of Sea-level and Temperature Revisited(2013), with Hillebrand E. and Ventosa-Santaulria D., Dynamics of Atmospheres and Oceans, Vol. 64, 1-9.
Heterogeneous Computing in Economics: A Simplified Approach(2012), with Dziubinski, M. P., Computational Economics, Vol. 43, 485-495.
Has the Volatility of US Inflation Changed and How?(2010) with Proietti T., Journal of Time Series Econometrics, Vol. 2, Issue 1.
Book
Bayesian Econometrics with Bernardi M., Grassi S., Ravazzolo Publication year: 2020. ISBN: 978-3-03943-786-3. Publisher: MDPI.
Book contributions
Predicting the Volatility of Cryptocurrency Time–Series, Catania, L., S. Grassi and F. Ravazzolo (2018), Springer volume, forthcoming.
Bayesian Stochastic Model Specification Search for Seasonal and Calendar Effects, with Proietti T., Economic Time Series: Modeling and Seasonality, edited by William R. Bell, Scott H. Holan and Tucker S. McElroy, Chapman and Hall/CRC Press, March 2012.