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Mattias Villani

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This is information that was supplied by Mattias Villani in registering through RePEc. If you are Mattias Villani , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Mattias
Middle Name:
Last Name: Villani
Suffix:

RePEc Short-ID: pvi83

Email: [This author has chosen not to make the email address public]
Homepage: http://villani.wordpress.com
Postal Address:
Phone:

Affiliation

(95%) Avdelningen för statistik, Institutionen för datavetenskap, Linköpings universitet (Division of Statistics, Department of Computer and Information Science, Linkoping University)
Homepage: http://www.ida.liu.se
Location: Sweden, Linköping
(5%) Sveriges Riksbank
Location: Stockholm, Sweden
Homepage: http://www.riksbank.se/
Email:
Phone: 08 - 787 00 00
Fax: 08-21 05 31
Postal: Brunkebergstorg 11, 103 37 Stockholm
Handle: RePEc:edi:rbgovse (more details at EDIRC)

Works

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Working papers

  1. Quiroz, Matias & Villani, Mattias, 2013. "Dynamic mixture-of-experts models for longitudinal and discrete-time survival data," Working Paper Series 268, Sveriges Riksbank (Central Bank of Sweden).
  2. Giordani, Paolo & Jacobson, Tor & von Schedvin , Erik & Villani, Mattias, 2011. "Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios," Working Paper Series 256, Sveriges Riksbank (Central Bank of Sweden).
  3. Wegmann , Bertil & Villani, Mattias, 2010. "Bayesian Inference in Structural Second-Price common Value Auctions," Working Paper Series 242, Sveriges Riksbank (Central Bank of Sweden).
  4. Li, Feng & Villani, Mattias & Kohn, Robert, 2010. "Modeling Conditional Densities Using Finite Smooth Mixtures," Working Paper Series 245, Sveriges Riksbank (Central Bank of Sweden).
  5. Giordani, Paolo & Villani, Mattias, 2009. "Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction," Working Paper Series 234, Sveriges Riksbank (Central Bank of Sweden).
  6. Li, Feng & Villani, Mattias & Kohn, Robert, 2009. "Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities," Working Paper Series 233, Sveriges Riksbank (Central Bank of Sweden).
  7. Villani, Mattias & Kohn, Robert & Giordani, Paolo, 2007. "Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures," Working Paper Series 211, Sveriges Riksbank (Central Bank of Sweden).
  8. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6027, C.E.P.R. Discussion Papers.
  9. Adolfson, Malin & Lindé, Jesper & Villani, Mattias, 2005. "Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model," Working Paper Series 190, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2006.
  10. Villani, Mattias, 2005. "Inference in Vector Autoregressive Models with an Informative Prior on the Steady State," Working Paper Series 181, Sveriges Riksbank (Central Bank of Sweden).
  11. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2005. "Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area," Working Paper Series 180, Sveriges Riksbank (Central Bank of Sweden).
  12. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2005. "Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through," Working Paper Series 179, Sveriges Riksbank (Central Bank of Sweden).
  13. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).
  14. Adolfson, Malin & Andersson, Michael K. & Lindé, Jesper & Villani, Mattias & Vredin, Anders, 2005. "Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks," Working Paper Series 188, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2006.
  15. Gary Koop & Rodney Strachan & Herman van Dijk & Mattias Villani, 2004. "Bayesian Approaches to Cointegration," Discussion Papers in Economics 04/27, Department of Economics, University of Leicester.
  16. Corander, Jukka & Villani, Mattias, 2004. "A Bayesian Approach to Modelling Graphical Vector Autoregressions," Working Paper Series 171, Sveriges Riksbank (Central Bank of Sweden).
  17. Villani, Mattias & Larsson, Rolf, 2004. "The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis," Working Paper Series 175, Sveriges Riksbank (Central Bank of Sweden).
  18. Villani, Mattias, 2003. "Bayes Estimators of the Cointegration Space," Working Paper Series 150, Sveriges Riksbank (Central Bank of Sweden).
  19. Villani, Mattias & Warne, Anders, 2003. "Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs," Working Paper Series, European Central Bank 0296, European Central Bank.
  20. Salabasis, Mickael & Villani, Mattias, 2000. "Panel Regression with Unobserved Classes," Working Paper Series in Economics and Finance 353, Stockholm School of Economics.
  21. Villani, Mattias, 1999. "Bayesian Prediction with a Cointegrated Vector Autoregression," Working Paper Series 97, Sveriges Riksbank (Central Bank of Sweden).

Articles

  1. Villani, Mattias & Kohn, Robert & Nott, David J., 2012. "Generalized smooth finite mixtures," Journal of Econometrics, Elsevier, Elsevier, vol. 171(2), pages 121-133.
  2. Wegmann, Bertil & Villani, Mattias, 2011. "Bayesian Inference in Structural Second-Price Common Value Auctions," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 29(3), pages 382-396.
  3. Giordani, Paolo & Villani, Mattias, 2010. "Forecasting macroeconomic time series with locally adaptive signal extraction," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(2), pages 312-325, April.
  4. Villani, Mattias & Kohn, Robert & Giordani, Paolo, 2009. "Regression density estimation using smooth adaptive Gaussian mixtures," Journal of Econometrics, Elsevier, Elsevier, vol. 153(2), pages 155-173, December.
  5. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.
  6. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2008. "Evaluating an estimated new Keynesian small open economy model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(8), pages 2690-2721, August.
  7. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2008. "Empirical Properties Of Closed- And Open-Economy Dsge Models Of The Euro Area," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 12(S1), pages 2-19, April.
  8. Adolfson, Malin & Laseen, Stefan & Linde, Jesper & Villani, Mattias, 2007. "Bayesian estimation of an open economy DSGE model with incomplete pass-through," Journal of International Economics, Elsevier, vol. 72(2), pages 481-511, July.
  9. Malin Adolfson & Michael K. Andersson & Jesper Lindé & Mattias Villani & Anders Vredin, 2007. "Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 3(4), pages 111-144, December.
  10. Malin Adolfson & Jesper Linde & Mattias Villani, 2007. "Forecasting Performance of an Open Economy DSGE Model," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 26(2-4), pages 289-328.
  11. Malin Adolfson & Jesper Linde & Mattias Villani, 2007. "Bayesian Analysis of DSGE Models—Some Comments," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 26(2-4), pages 173-185.
  12. Jukka Corander & Mattias Villani, 2006. "A Bayesian Approach to Modelling Graphical Vector Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(1), pages 141-156, 01.
  13. Villani, Mattias, 2006. "Bayesian point estimation of the cointegration space," Journal of Econometrics, Elsevier, Elsevier, vol. 134(2), pages 645-664, October.
  14. Malin Adolfson & Stefan Laséen & Jesper Lindé & Mattias Villani, 2005. "Are Constant Interest Rate Forecasts Modest Policy Interventions? Evidence from a Dynamic Open-Economy Model," International Finance, Wiley Blackwell, Wiley Blackwell, vol. 8(3), pages 509-544, December.
  15. Malin Adolfson & Stefan Laseen & Jesper Lindé & Mattias Villani, 2005. "An estimated New Keynesian small open economy model," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  16. Villani, Mattias, 2005. "Bayesian Reference Analysis Of Cointegration," Econometric Theory, Cambridge University Press, vol. 21(02), pages 326-357, April.
  17. Malin Adolfson & Stefan Laséen & Jesper Lindé & Mattias Villani, 2005. "The Role of Sticky Prices in an Open Economy DSGE Model: A Bayesian Investigation," Journal of the European Economic Association, MIT Press, MIT Press, vol. 3(2-3), pages 444-457, 04/05.
  18. Jukka Corander & Mattias Villani, 2004. "Bayesian assessment of dimensionality in reduced rank regression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, Netherlands Society for Statistics and Operations Research, vol. 58(3), pages 255-270.
  19. Villani, Mattias, 2001. "Bayesian prediction with cointegrated vector autoregressions," International Journal of Forecasting, Elsevier, Elsevier, vol. 17(4), pages 585-605.
  20. Larsson, Rolf & Villani, Mattias, 2001. "A distance measure between cointegration spaces," Economics Letters, Elsevier, vol. 70(1), pages 21-27, January.

NEP Fields

22 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2011-12-13
  2. NEP-CBA: Central Banking (3) 2005-10-15 2007-01-28 2007-02-17
  3. NEP-DGE: Dynamic General Equilibrium (4) 2005-03-20 2005-03-20 2005-10-15 2006-03-05
  4. NEP-ECM: Econometrics (16) 2000-02-21 2003-10-05 2004-01-25 2004-09-30 2005-01-02 2005-03-20 2005-03-20 2005-10-15 2005-10-15 2005-10-15 2007-11-24 2009-12-11 2009-12-11 2010-05-29 2010-10-30 2013-06-30. Author is listed
  5. NEP-EEC: European Economics (1) 2005-03-20
  6. NEP-ETS: Econometric Time Series (12) 2001-10-16 2003-10-05 2004-01-12 2004-09-30 2004-11-07 2005-03-20 2005-03-20 2005-03-20 2005-10-15 2005-10-15 2006-03-05 2009-12-11. Author is listed
  7. NEP-FIN: Finance (1) 2005-01-02
  8. NEP-FMK: Financial Markets (1) 2005-10-04
  9. NEP-FOR: Forecasting (6) 2005-10-15 2005-10-15 2006-03-05 2007-11-24 2009-12-11 2013-06-30. Author is listed
  10. NEP-IFN: International Finance (2) 2007-01-28 2007-02-17
  11. NEP-MAC: Macroeconomics (10) 2004-01-12 2005-03-20 2005-03-20 2005-03-20 2005-10-04 2005-10-15 2005-10-15 2007-01-28 2007-02-17 2007-11-24. Author is listed
  12. NEP-MON: Monetary Economics (4) 2005-10-04 2005-10-15 2007-01-28 2007-02-17
  13. NEP-ORE: Operations Research (2) 2009-12-11 2010-05-29

Statistics

This author is among the top 5% authors according to these criteria:
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  2. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
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