arXiv subjects

Matteo Iacopini

Publications and source records attributed to Matteo Iacopini.

At least 19 recordsLinked to original sources

arXiv2026

A Bayesian Dynamic Latent Space Model for Weighted Networks

A new dynamic latent space eigenmodel (LSM) is proposed for weighted temporal networks. The model accommodates integer-valued weights, excess of zeros, time-varying node positions (features), and time-varying network sparsity. The latent positions evolve according to a vector autoregressive process that accounts for lagged and contemporaneous dependence across nodes and features, a characteristic neglected in the LSM literature. A Bayesian approach is used to address two of the primary sources of inference intractability in dynamic LSMs: latent feature estimation and the choice of latent space dimension. We employ an efficient auxiliary-mixture sampler that performs data augmentation and supports conditionally conjugate prior distributions. A point-process representation of the network weights and the finite-dimensional distribution of the latent processes are used to derive a multi-move sampler in which each feature trajectory is drawn in a single block, without recursions. This sampling strategy is new to the network literature and can significantly reduce computational time while improving chain mixing. To avoid trans-dimensional samplers, a Laplace approximation of the partial marginal likelihood is used to design a partially collapsed Gibbs sampler. Overall, our procedure is general, as it can be easily adapted to static and dynamic settings, as well as to other discrete or continuous weight distributions.

stat.ME↗

arXiv2025

Bayesian Markov-Switching Partial Reduced-Rank Regression

Reduced-Rank (RR) regression is a powerful dimensionality reduction technique but it overlooks any possible group configuration among the responses by assuming a low-rank structure on the entire coefficient matrix. Moreover, the temporal change of the relations between predictors and responses in time series induce a possibly time-varying grouping structure in the responses. To address these limitations, a Bayesian Markov-switching partial RR (MS-PRR) model is proposed, where the response vector is partitioned in two groups to reflect different complexity of the relationship. A \textit{simple} group assumes a low-rank linear regression, while a \textit{complex} group exploits nonparametric regression via a Gaussian Process. Differently from traditional approaches, group assignments and rank are treated as unknown parameters to be estimated. Then temporal persistence in the regression function is accounted for by a Markov-switching process that drives the changes in the grouping structure and model parameters over time. Full Bayesian inference is preformed via a partially collapsed Gibbs sampler, which allows uncertainty quantification without the need for trans-dimensional moves. Applications to two real-world macroeconomic and commodity data demonstrate the evidence of time-varying grouping and different degrees of complexity both across states and within each state.

stat.ME↗

arXiv2024

Bayesian Partial Reduced-Rank Regression

Reduced-rank (RR) regression may be interpreted as a dimensionality reduction technique able to reveal complex relationships among the data parsimoniously. However, RR regression models typically overlook any potential group structure among the responses by assuming a low-rank structure on the coefficient matrix. To address this limitation, a Bayesian Partial RR (BPRR) regression is exploited, where the response vector and the coefficient matrix are partitioned into low- and full-rank sub-groups. As opposed to the literature, which assumes known group structure and rank, a novel strategy is introduced that treats them as unknown parameters to be estimated. The main contribution is two-fold: an approach to infer the low- and full-rank group memberships from the data is proposed, and then, conditionally on this allocation, the corresponding (reduced) rank is estimated. Both steps are carried out in a Bayesian approach, allowing for full uncertainty quantification and based on a partially collapsed Gibbs sampler. It relies on a Laplace approximation of the marginal likelihood and the Metropolized Shotgun Stochastic Search to estimate the group allocation efficiently. Applications to synthetic and real-world data reveal the potential of the proposed method to reveal hidden structures in the data.

stat.ME↗

arXiv2024

A Quantile Nelson-Siegel model

We propose a novel framework for modeling the yield curve from a quantile perspective. Building on the dynamic Nelson-Siegel model of Diebold et al. (2006), we extend its traditional mean-based approach to a quantile regression setting, enabling the estimation of yield curve factors - level, slope, and curvature - at specific quantiles of the conditional distribution. A key advantage of our framework is its ability to characterize the entire conditional distribution of the yield curve across maturities and over time. In an empirical analysis of the U.S. term structure of interest rates, our method demonstrates superior out-of-sample forecasting performance, particularly in capturing the tails of the yield distribution - an aspect increasingly emphasized in the recent literature on distributional forecasting. In addition to its forecasting advantages, our approach reveals rich distributional features beyond the mean. In particular, we find that the dynamic changes in these distributional features differ markedly between the Great Recession and the COVID-19 pandemic period, highlighting a fundamental shift in how interest rate markets respond to distinct economic shocks.

stat.AP↗

arXiv2023

Money Growth and Inflation: A Quantile Sensitivity Approach

An innovative method is proposed to construct a quantile dependence system for inflation and money growth. By considering all quantiles and leveraging a novel notion of quantile sensitivity, the method allows the assessment of changes in the entire distribution of a variable of interest in response to a perturbation in another variable's quantile. The construction of this relationship is demonstrated through a system of linear quantile regressions. Then, the proposed framework is exploited to examine the distributional effects of money growth on the distributions of inflation and its disaggregate measures in the United States and the Euro area. The empirical analysis uncovers significant impacts of the upper quantile of the money growth distribution on the distribution of inflation and its disaggregate measures. Conversely, the lower and median quantiles of the money growth distribution are found to have a negligible influence. Finally, this distributional impact exhibits variation over time in both the United States and the Euro area.

econ.EM↗

arXiv2023

A Bayesian Markov-switching SAR model for time-varying cross-price spillovers

The spatial autoregressive (SAR) model is extended by introducing a Markov switching dynamics for the weight matrix and spatial autoregressive parameter. The framework enables the identification of regime-specific connectivity patterns and strengths and the study of the spatiotemporal propagation of shocks in a system with a time-varying spatial multiplier matrix. The proposed model is applied to disaggregated CPI data from 15 EU countries to examine cross-price dependencies. The analysis identifies distinct connectivity structures and spatial weights across the states, which capture shifts in consumer behaviour, with marked cross-country differences in the spillover from one price category to another.

stat.AP↗

arXiv2023

Bayesian SAR model with stochastic volatility and multiple time-varying weights

A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approach allows the structural variance to evolve smoothly over time and enables the analysis of shock propagation in terms of time-varying spillover effects. The framework is applied to analyse the dynamics of international relationships among the G7 economies and their impact on stock market returns and volatilities. The findings underscore the substantial impact of cooperative interactions and highlight discernible disparities in network exposure across G7 nations, along with nuanced patterns in direct and indirect spillover effects.

stat.AP↗

arXiv2023

Static and Dynamic BART for Rank-Order Data

Ranking lists are often provided at regular time intervals in a range of applications, including economics, sports, marketing, and politics. Most popular methods for rank-order data postulate a linear specification for the latent scores, which determine the observed ranks, and ignore the temporal dependence of the ranking lists. To address these issues, novel nonparametric static (ROBART) and autoregressive (ARROBART) models are developed, with latent scores defined as nonlinear Bayesian additive regression tree functions of covariates. To make inferences in the dynamic ARROBART model, closed-form filtering, predictive, and smoothing distributions for the latent time-varying scores are derived. These results are applied in a Gibbs sampler with data augmentation for posterior inference. The proposed methods are shown to outperform existing competitors in simulation studies, static data applications to electoral data, stated preferences for sushi and movies, and dynamic data applications to economic complexity rankings of countries and weekly pollster rankings of NCAA football teams.

stat.ME↗

arXiv2023

A Spatiotemporal Gamma Shot Noise Cox Process

A new discrete-time shot noise Cox process for spatiotemporal data is proposed. The random intensity is driven by a dependent sequence of latent gamma random measures. Some properties of the latent process are derived, such as an autoregressive representation and the Laplace functional. A simulation method based on the Inverse L\'evy Measure algorithm is provided. Moreover, these results are used to derive the moment, predictive, and pair correlation measures for the proposed shot noise Cox process. The model is flexible yet tractable, allowing it to capture persistence, global trends, and latent spatial and temporal factors. A Bayesian inference approach is adopted, and efficient Markov Chain Monte Carlo algorithms based on conditional Sequential Monte Carlo and adaptive Metropolis-Hastings are proposed. An application to georeferenced wildfire data illustrates the properties of the model and inference.

stat.ME↗

arXiv2023

Uncertainty Quantification in Bayesian Reduced-Rank Sparse Regressions

Reduced-rank regression recognises the possibility of a rank-deficient matrix of coefficients. We propose a novel Bayesian model for estimating the rank of the coefficient matrix, which obviates the need for post-processing steps and allows for uncertainty quantification. Our method employs a mixture prior on the regression coefficient matrix along with a global-local shrinkage prior on its low-rank decomposition. Then, we rely on the Signal Adaptive Variable Selector to perform sparsification and define two novel tools: the Posterior Inclusion Probability uncertainty index and the Relevance Index. The validity of the method is assessed in a simulation study, and then its advantages and usefulness are shown in real-data applications on the chemical composition of tobacco and on the photometry of galaxies.

stat.ME↗

arXiv2022

Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications

This article proposes a novel Bayesian multivariate quantile regression to forecast the tail behavior of energy commodities, where the homoskedasticity assumption is relaxed to allow for time-varying volatility. In particular, we exploit the mixture representation of the multivariate asymmetric Laplace likelihood and the Cholesky-type decomposition of the scale matrix to introduce stochastic volatility and GARCH processes and then provide an efficient MCMC to estimate them. The proposed models outperform the homoskedastic benchmark mainly when predicting the distribution's tails. We provide a model combination using a quantile score-based weighting scheme, which leads to improved performances, notably when no single model uniformly outperforms the other across quantiles, time, or variables.

econ.EM↗

arXiv2022

Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP

Timely characterizations of risks in economic and financial systems play an essential role in both economic policy and private sector decisions. However, the informational content of low-frequency variables and the results from conditional mean models provide only limited evidence to investigate this problem. We propose a novel mixed-frequency quantile vector autoregression (MF-QVAR) model to address this issue. Inspired by the univariate Bayesian quantile regression literature, the multivariate asymmetric Laplace distribution is exploited under the Bayesian framework to form the likelihood. A data augmentation approach coupled with a precision sampler efficiently estimates the missing low-frequency variables at higher frequencies under the state-space representation. The proposed methods allow us to nowcast conditional quantiles for multiple variables of interest and to derive quantile-related risk measures at high frequency, thus enabling timely policy interventions. The main application of the model is to nowcast conditional quantiles of the US GDP, which is strictly related to the quantification of Value-at-Risk and the Expected Shortfall.

econ.EM↗

arXiv2021

On the "mementum" of Meme Stocks

The meme stock phenomenon is yet to be explored. In this note, we provide evidence that these stocks display common stylized facts on the dynamics of price, trading volume, and social media activity. Using a regime-switching cointegration model, we identify the meme stock "mementum" which exhibits a different characterization with respect to other stocks with high volumes of activity (persistent and not) on social media. Understanding these properties helps the investors and market authorities in their decision.

econ.EM↗

arXiv2020

Filtering the intensity of public concern from social media count data with jumps

Count time series obtained from online social media data, such as Twitter, have drawn increasing interest among academics and market analysts over the past decade. Transforming Web activity records into counts yields time series with peculiar features, including the coexistence of smooth paths and sudden jumps, as well as cross-sectional and temporal dependence. Using Twitter posts about country risks for the United Kingdom and the United States, this paper proposes an innovative state space model for multivariate count data with jumps. We use the proposed model to assess the impact of public concerns in these countries on market systems. To do so, public concerns inferred from Twitter data are unpacked into country-specific persistent terms, risk social amplification events, and co-movements of the country series. The identified components are then used to investigate the existence and magnitude of country-risk spillovers and social amplification effects on the volatility of financial markets.

stat.AP↗

arXiv2020

Proper scoring rules for evaluating asymmetry in density forecasting

This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted version, which emphasizes regions of interest, such as the tails or the center of a variable's range. A test is also introduced to statistically compare the predictive ability of different forecasts. The ACPS is of general use in any situation where the decision maker has asymmetric preferences in the evaluation of the forecasts. In an artificial experiment, the implications of varying the level of asymmetry in the ACPS are illustrated. Then, the proposed score and test are applied to assess and compare density forecasts of macroeconomic relevant datasets (US employment growth) and of commodity prices (oil and electricity prices) with particular focus on the recent COVID-19 crisis period.

stat.ME↗

arXiv2020

Visualizing and comparing distributions with half-disk density strips

We propose a user-friendly graphical tool, the half-disk density strip (HDDS), for visualizing and comparing probability density functions. The HDDS exploits color shading for representing a distribution in an intuitive way. In univariate settings, the half-disk density strip allows to immediately discern the key characteristics of a density, such as symmetry, dispersion, and multi-modality. In the multivariate settings, we define HDDS tables to generalize the concept of contingency tables. It is an array of half-disk density strips, which compactly displays the univariate marginal and conditional densities of a variable of interest, together with the joint and marginal densities of the conditioning variables. Moreover, HDDSs are by construction well suited to easily compare pairs of densities. To highlight the concrete benefits of the proposed methods, we show how to use HDDSs for analyzing income distribution and life-satisfaction, conditionally on continuous and categorical controls, from survey data. The code for implementing HDDS methods is made available through a dedicated R package.

stat.ME↗

arXiv2020

Public Concern and the Financial Markets during the COVID-19 outbreak

We measure the public concern during the outbreak of COVID-19 disease using three data sources from Google Trends (YouTube, Google News, and Google Search). Our findings are three-fold. First, the public concern in Italy is found to be a driver of the concerns in other countries. Second, we document that Google Trends data for Italy better explains the stock index returns of France, Germany, Great Britain, the United States, and Spain with respect to their country-based indicators. Finally, we perform a time-varying analysis and identify that the most severe impacts in the financial markets occur at each step of the Italian lock-down process.

q-fin.ST↗

arXiv2019

Bayesian Dynamic Tensor Regression

Tensor-valued data are becoming increasingly available in economics and this calls for suitable econometric tools. We propose a new dynamic linear model for tensor-valued response variables and covariates that encompasses some well-known econometric models as special cases. Our contribution is manifold. First, we define a tensor autoregressive process (ART), study its properties and derive the associated impulse response function. Second, we exploit the PARAFAC low-rank decomposition for providing a parsimonious parametrization and to incorporate sparsity effects. We also contribute to inference methods for tensors by developing a Bayesian framework which allows for including extra-sample information and for introducing shrinking effects. We apply the ART model to time-varying multilayer networks of international trade and capital stock and study the propagation of shocks across countries, over time and between layers.

stat.ME↗