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Publications

by alumni of

Università Commerciale Luigi Bocconi → Dipartimento di Finanza

Bocconi University → Department of Finance

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2024

  1. Bianchi, Daniele & De Polis, Andrea & Petrella, Ivan, 2024, "Taming Momentum Crashes," CEPR Discussion Papers, Centre for Economic Policy Research, number 19030, Apr.

2022

  1. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022, "Variational inference for large Bayesian vector autoregressions," Papers, arXiv.org, number 2202.12644, Feb, revised Jun 2023.
  2. Nicolas Bianco & Mauro Bernardi, 2022, "Flexible variational approximations for stochastic volatility-managed portfolios," Papers, arXiv.org, number 2212.07288, Dec, revised Aug 2026.
  3. Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022, "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp730, Jun.

2021

  1. Daniele Bianchi & Mykola Babiak, 2021, "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp710, Nov.

2020

  1. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020, "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 20143.
  2. Daniele Bianchi & Mykola Babiak, 2020, "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp672, Sep.

2018

  1. Daniele Bianchi & Kenichiro McAlinn, 2018, "Large-Scale Dynamic Predictive Regressions," Papers, arXiv.org, number 1803.06738, Mar.
  2. Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018, "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 626.

2016

  1. Bianchi, Daniele & Tamoni, Andrea, 2016, "The dynamics of expected returns: evidence from multi-scale time series modelling," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118992, Mar.

2013

  1. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013, "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper, Norges Bank, number 2013/19, Aug.
  2. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013, "Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?," Working Paper, Norges Bank, number 2013/22, Sep.

2006

  1. Luisa Anderloni & Daniela Vandone, 2006, "New market segments: migrants and financial innovation," UNIMI - Research Papers in Economics, Business, and Statistics, Universitá degli Studi di Milano, number unimi-1043, Nov.

Journal articles

2024

  1. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2024, "Variational Inference for Large Bayesian Vector Autoregressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 42, issue 3, pages 1066-1082, July, DOI: 10.1080/07350015.2023.2290716.

2023

  1. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2023, "The dynamics of returns predictability in cryptocurrency markets," The European Journal of Finance, Taylor & Francis Journals, volume 29, issue 6, pages 583-611, April, DOI: 10.1080/1351847X.2022.2084343.

2022

  1. Bianchi, Daniele & Babiak, Mykola, 2022, "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106467.
  2. Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022, "Trading volume and liquidity provision in cryptocurrency markets," Journal of Banking & Finance, Elsevier, volume 142, issue C, DOI: 10.1016/j.jbankfin.2022.106547.

2021

  1. Bianchi, Daniele, 2021, "Adaptive expectations and commodity risk premiums," Journal of Economic Dynamics and Control, Elsevier, volume 124, issue C, DOI: 10.1016/j.jedc.2021.104078.
  2. Daniele Bianchi & Matthias Büchner & Andrea Tamoni, 2021, "Bond Risk Premiums with Machine Learning
    [Quadratic term structure models: Theory and evidence]    ," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 2, pages 1046-1089.

2019

  1. Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019, "Modeling systemic risk with Markov Switching Graphical SUR models," Journal of Econometrics, Elsevier, volume 210, issue 1, pages 58-74, DOI: 10.1016/j.jeconom.2018.11.005.

2018

  1. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018, "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 1, pages 34-62.

2017

  1. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2017, "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 1, pages 110-129, January, DOI: 10.1080/07350015.2015.1061436.

2016

  1. Olivier Cartapanis & Daniele Bianchi & Samuel L. Jaccard & Eric D. Galbraith, 2016, "Global pulses of organic carbon burial in deep-sea sediments during glacial maxima," Nature Communications, Nature, volume 7, issue 1, pages 1-7, April, DOI: 10.1038/ncomms10796.

2014

  1. Bianchi, Daniele & Guidolin, Massimo, 2014, "Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets," European Journal of Operational Research, Elsevier, volume 236, issue 1, pages 160-176, DOI: 10.1016/j.ejor.2014.01.030.
  2. Daniele Bianchi & Massimo Guidolin, 2014, "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, volume 49, issue 1, pages 116-164, July, DOI: 10.1007/s11146-013-9411-6.

2012

  1. Emanuele Bacchiocchi & Luisa Anderloni & Daniela Vandone, 2012, "Households’ financial vulnerability in the new scenario," BANCARIA, Bancaria Editrice, volume 10, pages 94-107, October.

Books

2009

  1. Luisa Anderloni & David T. Llewellyn & Reinhard H. Schmidt (ed.), 2009, "Financial Innovation in Retail and Corporate Banking," Books, Edward Elgar Publishing, number 13229, ISBN: ARRAY(0x963f0578).

Chapters

2009

  1. Luisa Anderloni & Paola Bongini, 2009, "Is Financial Innovation Still a Relevant Issue?," Chapters, Edward Elgar Publishing, chapter 2, in: Luisa Anderloni & David T. Llewellyn & Reinhard H. Schmidt, "Financial Innovation in Retail and Corporate Banking".

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