Associate Professor

Associate Professor

Department of Economics, Management and Quantitative Method at University of Milan and Researcher at Fondazione Eni Enrico Mattei (FEEM)

Publications

You can also find my articles on my Google Scholar profile.

[20] Opschoor, A., Lucas, A., and Rossini, L. (202X) - “Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution”. Journal of Financial Econometrics (Forthcoming)

[19] Hauzenberger, N, Pfarrhofer, M. and Rossini, L. (202X) - “Sparse time-varying parameter VECMs with an application to modeling electricity prices”. International Journal of Forecasting (Forthcoming) – Code

[18] Rossini, L., Villa, C., Prevenas, S. and McCrea, R. (202X) - “Loss-based prior for the degrees of freedom of the Wishart distribution”. Econometrics and Statistics (Forthcoming).

[17] Iacopini, M., Poon, A., Rossini, L. and Zhu, D. (2023) - “Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP”. Journal of Economic Dynamics and Control, 157:104757

[16] Iacopini, M., Ravazzolo, F. and Rossini, L. (2023) - “Proper scoring rules for evaluating density forecasts with asymmetric loss functions”. Journal of Business and Economic Statistics, 41:2, 482 - 486 – Code

[15] Gianfreda, A., Ravazzolo, F. and Rossini, L. (2023) - “Large Time-Varying Volatility Models for Electricity Prices”. Oxford Bulletin of Economics & Statistics, 85:3, 545 - 573 – Video

[14] Foroni, C., Ravazzolo, F. and Rossini, L. (2023) - “Are low frequency macroeconomic variables important for high frequency electricity prices?”. Economic Modelling, 120, 106160

[13] Huber, F. and Rossini, L. (2022) - “Inference in Bayesian Additive Vector Autoregressive Tree Models”. Annals of Applied Statistics, 16:1, 104 - 123

[12] Durante, F., Gianfreda, A., Ravazzolo, F. and Rossini, L. (2022) - “A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources”. Information Sciences, 590, 74 - 89

[11] Dalla Valle, L., Leisen, F., Rossini, L. and Zhu, W. (2021) - “A Pòlya-Gamma sampler for a generalized logistic regression”. Journal of Statistical Computation and Simulation, 91:14, 2899 - 2916 – Code

[10] Bassetti, F., Casarin, R. and Rossini, L. (2020) - “Hierarchical Species Sampling Models”. Bayesian Analysis, 15:3, 809 - 833.

[9] Gianfreda, A., Ravazzolo, F. and Rossini, L. (2020) - “Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration”. International Journal of Forecasting, 36:3, 974 - 986.

[8] Leisen, F., Rossini, L. and Villa, C. (2020) - “Loss-based approach to two-piece location-scale distributions with applications to dependent data”. Statistical Methods and Applications, 29, 309 - 333.

[7] Dalla Valle, L., Leisen, F., Rossini, L. and Zhu, W. (2020) - “Bayesian Analysis of Immigration in Europe with Generalized Logistic Regression”. Journal of Applied Statistics, 47:3, 424 - 438 – Code

[6] Billio, M., Casarin, R. and Rossini, L. (2019) - “Bayesian nonparametric sparse VAR models”. Journal of Econometrics, 212:1, 97 - 115.

[5] Bohte, R. and Rossini, L. (2019) - “Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models”. Journal of Risk and Financial Management, 12(3), 150.

[4] Leisen, F., Mena, R.H., Palma, F. and Rossini, L. (2019) - “On a flexible construction of a negative binomial model”. Statistics & Probability Letters, 152, 1 - 8.

[3] Dalla Valle, L., Leisen, F. and Rossini, L. (2018) - “Bayesian Nonparametric Conditional Copulas Estimation of Twin Data”. Journal of the Royal Statistical Society, Series C, 67:3, 523 - 548 – Code

[2] Leisen, F., Rossini, L. and Villa, C. (2018) - “Objective Bayesian Analysis of the Yule- Simon Distribution with Applications”. Computational Statistics, 33:1, 99 - 126.

[1] Leisen, F., Rossini, L. and Villa, C. (2017) - “A Note on the Posterior Inference for the Yule-Simon Distribution”. Journal of Statistical Computation and Simulation, 87:6, 1179 - 1188.

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