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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

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research papers

Selecting time-series hyperparameters with the artificial jackknife (2020)
arXiv:2002.04697 [stat.ME]

A model of the Fed’s view on inflation, with T. Hasenzagl, L. Reichlin and G. Ricco (2020)
arXiv:2006.14110 [econ.EM]

A Bayesian approach to the FOREX market, with C. Perricone
Working paper

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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.

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