Mauro Costantini | Ricerc@Sapienza

Pubblicazioni

Titolo	Pubblicato in	Anno
Poisson autoregressions for forecasting extreme events: Earthquakes and Heatwaves in Italy	ANNALS OF OPERATIONS RESEARCH	2025
A comparative study on p value combination tests for unit roots in multiple time series	COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION	2024
Bayesian Nonparametric Panel Markov-Switching GARCH Models	JOURNAL OF BUSINESS & ECONOMIC STATISTICS	2024
Estimating uncertainty spillover effects across euro area using a regime dependent VAR model	STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS	2024
On the forecasting performance of small-scale DGSE models: A Monte Carlo evaluation and an application to UK	JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY	2024
Exploring secular wheat price dynamics across Italian cities using R2 connectedness	JOURNAL OF AGRICULTURAL, BIOLOGICAL, AND ENVIRONMENTAL STATISTICS	2024
Bitcoin market networks and cyberattacks	PHYSICA. A	2023
What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality	JOURNAL OF INTERNATIONAL MONEY AND FINANCE	2022
On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation	INTERNATIONAL JOURNAL OF FORECASTING	2021
On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting	ECONOMIC MODELLING	2021
Consumption, asset wealth, equity premium, term spread, and flight to quality	EUROPEAN FINANCIAL MANAGEMENT	2020
What do panel data say on inequality and GDP? New evidence at US state-level	ECONOMICS LETTERS	2018
Do inequality, unemployment and deterrence affect crime over the long run?	REGIONAL STUDIES	2018
Forecast Combinations in a DSGE-VAR Lab	JOURNAL OF FORECASTING	2017
Panel stationary tests against changes in persistence	STATISTICAL PAPERS	2016
How accurate are the professional forecasts in Asia. Evidence from ten countries	INTERNATIONAL JOURNAL OF FORECASTING	2016
A simple testing procedure for unit root and model specification	COMPUTATIONAL STATISTICS & DATA ANALYSIS	2016
Identifying Stationary Series in Panels: A Monte Carlo Evaluation of Sequential Panel Selection Methods	ECONOMICS LETTERS	2016
Forecasting errors, directional accuracy and profitability of currency trading: The case of EUR/USD exchange rate,	JOURNAL OF FORECASTING	2016
Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series	COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION	2015