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02/20/2022
Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks
While the vast majority of the literature on models for temporal network...
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11/17/2021
Information dynamics of price and liquidity around the 2017 Bitcoin markets crash
We study the information dynamics between the largest Bitcoin exchange m...
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01/24/2021
Estimating the Total Volume of Queries to a Search Engine
We study the problem of estimating the total number of searches (volume)...
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05/03/2020
Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages
Identifying risk spillovers in financial markets is of great importance ...
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02/15/2020
Knowledge and Social Relatedness Shape Research Portfolio Diversification
Scientific discovery is shaped by scientists' choices and thus by their ...
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10/03/2019
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
We propose a novel approach to sentiment data filtering for a portfolio ...
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05/26/2019
Score-Driven Exponential Random Graphs: A New Class of Time-Varying Parameter Models for Dynamical Networks
Motivated by the evidence that real-world networks evolve in time and ma...
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04/12/2018
Cashtag piggybacking: uncovering spam and bot activity in stock microblogs on Twitter
Microblogs are increasingly exploited for predicting prices and traded v...
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03/13/2018
A General Class of Score-Driven Smoothers
Motivated by the observation that score-driven models can be viewed as a...
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12/30/2017
A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
We propose a dynamic network model where two mechanisms control the prob...
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01/20/2017