My research interests include ​macro-finance, time series econometrics and statistical learning.

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policy publications

  • T. Hasenzagl, F. Pellegrino, L. Reichlin, and G. Ricco, Low inflation for longer, VoxEU, January 2018 | Link | French version: OFCE blog
  • A. Caruso, T. Hasenzagl, F. Pellegrino, and L. Reichlin, The US sneezes and the Eurozone catches a cold: The Eurozone has been infected by the US slowdown, VoxEU, February 2016​ | Link

research papers

  • T. Hasenzagl, F. Pellegrino, L. Reichlin, and G. Ricco, A model of the Fed’s view on inflation | Paper | Appendix | Also in CEPR, OFCE and Warwick
  • F. Pellegrino, Hyperparameter selection for time-series models, Working paper
  • F. Pellegrino, and C. Perricone, A Bayesian approach to the FOREX market, Working paper