Score-driven TEnsor Autoregressive DYnamical models

Project Information

STEADY

Grant agreement ID: 887220

DOI

10.3030/887220

Project terminated on 31 August 2022

EC signature date 30 April 2020

Start date 1 October 2020

End date 30 September 2022

Funded under

• EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions

Total cost

€ 175 572,48

EU contribution

€ 175 572,48

Coordinated by

STICHTING VU
Netherlands

CORDIS provides links to public deliverables and publications of HORIZON projects.

Links to deliverables and publications from FP7 projects, as well as links to some specific result types such as dataset and software, are dynamically retrieved from OpenAIRE .

Publications

Peer reviewed articles (6)

On the “mementum” of meme stocks

Author(s): Michele Costola; Michele Costola; Matteo Iacopini; Matteo Iacopini; Carlo R. M. A. Santagiustina; Carlo R. M. A. Santagiustina
Published in: Economics Letters, Issue 3, 2021, ISSN 0165-1765
Publisher: Elsevier BV
DOI: 10.1016/j.econlet.2021.110021

COVID-19 spreading in financial networks: A semiparametric matrix regression model

Author(s): Monica Billio; Roberto Casarin; Michele Costola; Matteo Iacopini; Matteo Iacopini
Published in: Econometrics and Statistics. Elsevier BV, Issue 2, 2021, ISSN 2452-3062
Publisher: Elsevier B.V.
DOI: 10.1016/j.ecosta.2021.10.003

Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions

Author(s): Matteo Iacopini, Francesco Ravazzolo, Luca Rossini
Published in: Journal of Business & Economic Statistics, Issue 2, 2023, ISSN 0735-0015
Publisher: American Statistical Association
DOI: 10.1080/07350015.2022.2035229

Filtering the Intensity of Public Concern from Social Media Count Data with Jumps

Author(s): Matteo Iacopini; Matteo Iacopini; Carlo R. M. A. Santagiustina; Carlo R. M. A. Santagiustina
Published in: Journal of the Royal Statistical Society Series A: Statistics in Society, Issue 4, 2021, Page(s) 1283–1302, ISSN 0964-1998
Publisher: Blackwell Publishing Inc.
DOI: 10.1111/rssa.12704

Bayesian Markov-Switching Tensor Regression for Time-Varying Networks

Author(s): Roberto Casarin; Matteo Iacopini; Monica Billio
Published in: Journal of the American Statistical Association, Issue 1, 2022, ISSN 0162-1459
Publisher: American Statistical Association
DOI: 10.1080/01621459.2022.2102502

Bayesian dynamic tensor regression

Author(s): Monica Billio; Roberto Casarin; Kaufmann Sylvia; Matteo Iacopini
Published in: Journal of Business & Economic Statistics. American Statistical Association, Issue 2, 2023, ISSN 0735-0015
Publisher: American Statistical Association
DOI: 10.1080/07350015.2022.2032721