Julia Packages

  1. VectorAutoregressions.jl: Vector Autoregressive (VAR) models in Julia.

  2. ForecastingCombinations.jl: forecasting using a combinatoric approach and exploiting parallel computing in Julia.

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Luca Brugnolini
Econometrician

I am an econometrician at Rokos Capital Management. My research interests include monetary policy, time series–econometrics, and forecasting.