Filippo Pellegrino
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research

columns and research papers
     

working papers

Selecting time-series hyperparameters with the artificial jackknife (2020)
arXiv:2002.04697 [stat.ME]
A Bayesian approach to the FOREX market, with C. Perricone
Working paper

published papers

A model of the Fed’s view on inflation, with T. Hasenzagl, L. Reichlin and G. Ricco (2020)
Accepted at The Review of Economics and Statistics

policy publications

The inflation puzzle in the Euro Area, with T. Hasenzagl, L. Reichlin and G. Ricco (2019)
VoxEU, CEPR’s policy portal
| FT citation
Low inflation for longer, with T. Hasenzagl, L. Reichlin and G. Ricco (2018)
VoxEU, CEPR’s policy portal
The US sneezes and the Eurozone catches a cold: The Eurozone has been infected by the US slowdown, with A. Caruso, T. Hasenzagl and L. Reichlin (2016)
VoxEU, CEPR’s policy portal

software

TSAnalysis.jl
This package includes basic tools to model and forecast irregular time series.
ElasticNetVAR.jl
Elastic-net VAR: hyperparameter optimisation, estimation and forecasting. The package is compatible with irregular time series.

     
Copyright © 2020, Filippo Pellegrino
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