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Research

Publications: Mr Matteo Iacopini

Billio M, Casarin R, Costola M, Iacopini M ( 2024 ) . COVID-19 spreading in financial networks: A semiparametric matrix regression model . Econometrics and Statistics vol. 29 , 113 - 131 .
Iacopini M, Poon A, Rossini L, Zhu D ( 2023 ) . Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP . Journal of Economic Dynamics and Control vol. 157 ,
Costola M, Iacopini M ( 2023 ) . Measuring sovereign bond fragmentation in the Eurozone . Finance Research Letters vol. 51 ,
Billio M, Casarin R, Costola M, Iacopini M ( 2022 ) . Matrix-variate Smooth Transition Models for Temporal Networks . Innovations in Multivariate Statistical Modeling , Springer Nature
Billio M, Casarin R, Iacopini M ( 2022 ) . Bayesian Markov-Switching Tensor Regression for Time-Varying Networks . Journal of the American Statistical Association1 - 13 .
Iacopini M, Ravazzolo F, Rossini L ( 2022 ) . Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions . Journal of Business and Economic Statistics vol. 41 , ( 2 ) 482 - 496 .
billio M, casarin R, Iacopini M ( 2022 ) . bayesian dynamic tensor regression . Journal of Business & Economic Statistics
Costola M, Iacopini M, Santagiustina CRMA ( 2021 ) . On the “mementum” of meme stocks . Economics Letters vol. 207 ,
Costola M, Iacopini M, Santagiustina CRMA ( 2021 ) . Google search volumes and the financial markets during the COVID-19 outbreak . Finance Research Letters vol. 42 ,
Iacopini M, Santagiustina CRMA ( 2021 ) . Filtering the Intensity of Public Concern from Social Media Count Data with Jumps . Journal of the Royal Statistical Society Series A (Statistics in Society) vol. 184 , ( 4 ) 1283 - 1302 .
Billio M, Casarin R, Costola M, Iacopini M ( 2021 ) . A Matrix-Variate t Model for Networks . Frontiers in Artificial Intelligence vol. 4 ,
Casarin R, Iacopini M, Molina G, Horst ET, Espinasa R, Sucre C, Rigobon R ( 2020 ) . Multilayer network analysis of oil linkages . Econometrics Journal vol. 23 , ( 2 ) 269 - 296 .
Billio M, Casarin R, Iacopini M ( 2018 ) . Bayesian Tensor Binary Regression . Mathematical and Statistical Methods for Actuarial Sciences and Finance , Springer Nature
Billio M, Casarin R, Iacopini M ( 2018 ) . Bayesian Tensor Regression Models . Mathematical and Statistical Methods for Actuarial Sciences and Finance , Springer Nature
Caron F, Fox EB ( 2017 ) . Sparse Graphs Using Exchangeable Random Measures . Journal of the Royal Statistical Society Series B (Statistical Methodology) vol. 79 , ( 5 ) 1295 - 1366 .