Daniele Bianchi
Personal Details
First Name: | Daniele |
Middle Name: | |
Last Name: | Bianchi |
Suffix: | |
RePEc Short-ID: | pbi325 |
[This author has chosen not to make the email address public] | |
https://whitesphd.com | |
Terminal Degree: | 2014 Dipartimento di Finanza; Università Commerciale Luigi Bocconi (from RePEc Genealogy) |
Affiliation
School of Economics and Finance
Queen Mary University of London
London, United Kingdomhttp://www.econ.qmul.ac.uk/
RePEc:edi:deqmwuk (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Smoothing volatility targeting," Papers 2212.07288, arXiv.org.
- Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022.
"Trading Volume and Liquidity Provision in Cryptocurrency Markets,"
CERGE-EI Working Papers
wp730, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Journal of Banking & Finance, Elsevier, vol. 142(C).
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
- Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Variational inference for large Bayesian vector autoregressions," Papers 2202.12644, arXiv.org, revised Jun 2023.
- Daniele Bianchi & Mykola Babiak, 2021. "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers wp710, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Daniele Bianchi & Mykola Babiak, 2020.
"On the Performance of Cryptocurrency Funds,"
CERGE-EI Working Papers
wp672, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola, 2022. "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
- Daniele Bianchi & Kenichiro McAlinn, 2018. "Large-Scale Dynamic Predictive Regressions," Papers 1803.06738, arXiv.org.
- Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018.
"Modeling Systemic Risk with Markov Switching Graphical SUR Models,"
Working Papers
626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019. "Modeling systemic risk with Markov Switching Graphical SUR models," Journal of Econometrics, Elsevier, vol. 210(1), pages 58-74.
- Bianchi, Daniele & Tamoni, Andrea, 2016. "The dynamics of expected returns: evidence from multi-scale time series modelling," LSE Research Online Documents on Economics 118992, London School of Economics and Political Science, LSE Library.
- 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
2013/22, Norges Bank.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(1), pages 34-62.
- 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
2013/19, Norges Bank.
- 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, vol. 35(1), pages 110-129, January.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
Articles
- Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2023. "The dynamics of returns predictability in cryptocurrency markets," The European Journal of Finance, Taylor & Francis Journals, vol. 29(6), pages 583-611, April.
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022.
"Trading volume and liquidity provision in cryptocurrency markets,"
Journal of Banking & Finance, Elsevier, vol. 142(C).
- Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022. "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers wp730, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
- Bianchi, Daniele & Babiak, Mykola, 2022.
"On the performance of cryptocurrency funds,"
Journal of Banking & Finance, Elsevier, vol. 138(C).
- Daniele Bianchi & Mykola Babiak, 2020. "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers wp672, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
- Daniele Bianchi & Matthias Büchner & Andrea Tamoni, 2021. "Bond Risk Premiums with Machine Learning [Quadratic term structure models: Theory and evidence]," Review of Financial Studies, Society for Financial Studies, vol. 34(2), pages 1046-1089.
- Bianchi, Daniele, 2021. "Adaptive expectations and commodity risk premiums," Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
- Daniele Bianchi & Matthias Büchner & Tobias Hoogteijling & Andrea Tamoni, 2021. "Corrigendum: Bond Risk Premiums with Machine Learning [Bond risk premiums with machine learning]," Review of Financial Studies, Society for Financial Studies, vol. 34(2), pages 1090-1103.
- Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019.
"Modeling systemic risk with Markov Switching Graphical SUR models,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 58-74.
- Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018. "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers 626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018.
"Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?,"
The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(1), pages 34-62.
- 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 2013/22, Norges Bank.
- 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, vol. 35(1), pages 110-129, January.
- 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 2013/19, Norges Bank.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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, vol. 7(1), pages 1-7, April.
- 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, vol. 236(1), pages 160-176.
- 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, vol. 49(1), pages 116-164, July.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022.
"Trading Volume and Liquidity Provision in Cryptocurrency Markets,"
CERGE-EI Working Papers
wp730, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Journal of Banking & Finance, Elsevier, vol. 142(C).
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
Cited by:
- Crépellière, Tommy & Pelster, Matthias & Zeisberger, Stefan, 2023. "Arbitrage in the market for cryptocurrencies," Journal of Financial Markets, Elsevier, vol. 64(C).
- Di Casola, Paola & Habib, Maurizio Michael & Tercero-Lucas, David, 2023. "Global and local drivers of Bitcoin trading vis-à-vis fiat currencies," Working Paper Series 2868, European Central Bank.
- Walid Mensi & Mariya Gubareva & Hee-Un Ko & Xuan Vinh Vo & Sang Hoon Kang, 2023. "Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
- Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022.
"Variational inference for large Bayesian vector autoregressions,"
Papers
2202.12644, arXiv.org, revised Jun 2023.
Cited by:
- Luis Gruber & Gregor Kastner, 2022. "Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!," Papers 2206.04902, arXiv.org, revised Jul 2023.
- Daniele Bianchi & Mykola Babiak, 2021.
"A Factor Model for Cryptocurrency Returns,"
CERGE-EI Working Papers
wp710, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
Cited by:
- Bianchi, Daniele & Babiak, Mykola, 2021.
"On the Performance of Cryptocurrency Funds,"
Working Paper Series
408, Sveriges Riksbank (Central Bank of Sweden).
- Daniele Bianchi & Mykola Babiak, 2020. "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers wp672, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola, 2022. "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Bianchi, Daniele & Babiak, Mykola, 2021.
"On the Performance of Cryptocurrency Funds,"
Working Paper Series
408, Sveriges Riksbank (Central Bank of Sweden).
- Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020.
"Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets,"
BAFFI CAREFIN Working Papers
20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
Cited by:
- Serdar Neslihanoglu, 2021. "Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
- Bianchi, Daniele & Babiak, Mykola, 2021.
"On the Performance of Cryptocurrency Funds,"
Working Paper Series
408, Sveriges Riksbank (Central Bank of Sweden).
- Daniele Bianchi & Mykola Babiak, 2020. "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers wp672, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola, 2022. "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Victoria Dobrynskaya & Mikhail Dubrovskiy, 2022. "Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships," HSE Working papers WP BRP 86/FE/2022, National Research University Higher School of Economics.
- Anyfantaki, Sofia & Arvanitis, Stelios & Topaloglou, Nikolas, 2021. "Diversification benefits in the cryptocurrency market under mild explosivity," European Journal of Operational Research, Elsevier, vol. 295(1), pages 378-393.
- Daniele Bianchi & Mykola Babiak, 2020.
"On the Performance of Cryptocurrency Funds,"
CERGE-EI Working Papers
wp672, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola, 2022. "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
Cited by:
- Dombrowski, Niclas & Drobetz, Wolfgang & Momtaz, Paul P., 2023. "Performance measurement of crypto funds," Economics Letters, Elsevier, vol. 228(C).
- Ben Khelifa, Soumaya & Guesmi, Khaled & Urom, Christian, 2021. "Exploring the relationship between cryptocurrencies and hedge funds during COVID-19 crisis," International Review of Financial Analysis, Elsevier, vol. 76(C).
- Andreas Renard Widarto & Harjum Muharam & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2022. "ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach," SAGE Open, , vol. 12(2), pages 21582440221, April.
- Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2023. "Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter," Papers 2311.04727, arXiv.org.
- Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022.
"Trading Volume and Liquidity Provision in Cryptocurrency Markets,"
CERGE-EI Working Papers
wp730, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Journal of Banking & Finance, Elsevier, vol. 142(C).
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
- Daniele Bianchi & Mykola Babiak, 2021. "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers wp710, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Khaki, Audil & Prasad, Mason & Al-Mohamad, Somar & Bakry, Walid & Vo, Xuan Vinh, 2023. "Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?," Research in International Business and Finance, Elsevier, vol. 64(C).
- Kim, Jang Ho, 2022. "Analyzing diversification benefits of cryptocurrencies through backfill simulation," Finance Research Letters, Elsevier, vol. 50(C).
- Victoria Dobrynskaya & Mikhail Dubrovskiy, 2022. "Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships," HSE Working papers WP BRP 86/FE/2022, National Research University Higher School of Economics.
- Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Daniele Bianchi & Kenichiro McAlinn, 2018.
"Large-Scale Dynamic Predictive Regressions,"
Papers
1803.06738, arXiv.org.
Cited by:
- Kenichiro McAlinn, 2021. "Mixed‐frequency Bayesian predictive synthesis for economic nowcasting," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(5), pages 1143-1163, November.
- K=osaku Takanashi & Kenichiro McAlinn, 2019. "Equivariant online predictions of non-stationary time series," Papers 1911.08662, arXiv.org, revised Jun 2023.
- Dichtl, Hubert & Drobetz, Wolfgang & Neuhierl, Andreas & Wendt, Viktoria-Sophie, 2021. "Data snooping in equity premium prediction," International Journal of Forecasting, Elsevier, vol. 37(1), pages 72-94.
- Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018.
"Modeling Systemic Risk with Markov Switching Graphical SUR Models,"
Working Papers
626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019. "Modeling systemic risk with Markov Switching Graphical SUR models," Journal of Econometrics, Elsevier, vol. 210(1), pages 58-74.
Cited by:
- Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021.
"COVID-19 spreading in financial networks: A semiparametric matrix regression model,"
Working Papers
2021:05, Department of Economics, University of Venice "Ca' Foscari".
- Billio Monica & Casarin Roberto & Costola Michele & Iacopini Matteo, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Papers 2101.00422, arXiv.org.
- Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
- Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020. "Modeling Turning Points In Global Equity Market," DEM Working Papers Series 195, University of Pavia, Department of Economics and Management.
- Rebekka Gätjen & Melanie Schienle, 2015.
"Measuring Connectedness of Euro Area Sovereign Risk,"
SFB 649 Discussion Papers
SFB649DP2015-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," Working Paper Series in Economics 123, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
- Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2020.
"Tail Risk Measurement In Crypto-Asset Markets,"
DEM Working Papers Series
186, University of Pavia, Department of Economics and Management.
- Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
- Alin Marius Andries & Steven Ongena & Nicu Sprincean & Radu Tunaru, 2020.
"Risk Spillovers and Interconnectedness between Systemically Important Institutions,"
Swiss Finance Institute Research Paper Series
20-40, Swiss Finance Institute.
- Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022. "Risk spillovers and interconnectedness between systemically important institutions," Journal of Financial Stability, Elsevier, vol. 58(C).
- Georg Keilbar & Weining Wang, 2022. "Modelling systemic risk using neural network quantile regression," Empirical Economics, Springer, vol. 62(1), pages 93-118, January.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020.
"A Scoring Rule for Factor and Autoregressive Models Under Misspecification,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Domenico Sartore, 2018. "A scoring rule for factor and autoregressive models under misspecification," Working Papers 2018:18, Department of Economics, University of Venice "Ca' Foscari".
- Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023.
"The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification,"
International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
- Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Leibniz Institute for Financial Research SAFE.
- Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco, 2022.
"Markov switching panel with endogenous synchronization effects,"
Journal of Econometrics, Elsevier, vol. 230(2), pages 281-298.
- Komla M. Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2021. "Markov Switching Panel with Endogenous Synchronization Effects," BEMPS - Bozen Economics & Management Paper Series BEMPS82, Faculty of Economics and Management at the Free University of Bozen.
- Ouyang, Zisheng & Zhou, Xuewei, 2023. "Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions," Research in International Business and Finance, Elsevier, vol. 65(C).
- Hadjiantoni, Stella & Kontoghiorghes, Erricos John, 2022. "An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 1-18.
- Monica Billio & Roberto Casarin & Matteo Iacopini, 2018. "Bayesian Markov Switching Tensor Regression for Time-varying Networks," Working Papers 2018:14, Department of Economics, University of Venice "Ca' Foscari".
- Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019.
"Bayesian nonparametric sparse VAR models,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
- Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
- Ahelegbey, Daniel Felix & Giudici, Paolo, 2022.
"NetVIX — A network volatility index of financial markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
- Daniel Felix Ahelegbey & Paolo Giudici, 2020. "NetVIX - A Network Volatility Index of Financial Markets," DEM Working Papers Series 192, University of Pavia, Department of Economics and Management.
- Eva F. Janssens & Robin L. Lumsdaine & Sebastiaan H.L.C.G. Vermeulen, 2022. "An Epidemiological Model of Economic Crisis Spread across Sectors in the United States," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(4), pages 885-919, June.
- Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
- Mike West, 2020. "Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 1-31, February.
- Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
- Kenwin Maung, 2021. "Estimating high-dimensional Markov-switching VARs," Papers 2107.12552, arXiv.org.
- Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
- 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
2013/22, Norges Bank.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(1), pages 34-62.
Cited by:
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Juan Carlos Cuestas & Mercedes Monfort, 2021.
"Co-movement between residential and commercial housing prices: evidence from a new database,"
Applied Economics Letters, Taylor & Francis Journals, vol. 28(5), pages 402-407, March.
- Juan Carlos Cuestas, 2019. "Co-movement between residential and commercial housing prices: Evidence from a new database," Working Papers 2019/11, Economics Department, Universitat Jaume I, Castellón (Spain).
- Joshua C. C. Chan, 2022.
"Comparing Stochastic Volatility Specifications for Large Bayesian VARs,"
Papers
2208.13255, arXiv.org.
- Chan, Joshua C.C., 2023. "Comparing stochastic volatility specifications for large Bayesian VARs," Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
- 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
2013/19, Norges Bank.
- 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, vol. 35(1), pages 110-129, January.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
Cited by:
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018.
"Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?,"
The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(1), pages 34-62.
- 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 2013/22, Norges Bank.
- Argyropoulos, Christos & Candelon, Bertrand & Hasse, Jean-Baptiste & Panopoulou, Ekaterini, 2020.
"Toward a macroprudential regulatory framework for mutual funds,"
LIDAM Discussion Papers LFIN
2020008, Université catholique de Louvain, Louvain Finance (LFIN).
- Christos Argyropoulos & Bertrand Candelon & Jean-Baptiste Hasse & Ekaterini Panopoulou, 2023. "Towards a macroprudential regulatory framework for mutual funds?," Post-Print hal-04103373, HAL.
- Argyropoulos, Christos & Candelon, Bertrand & Hasse, Jean-Baptiste & Panopoulou, Ekaterini, 2023. "Toward a Macroprudential Regulatory Framework for Mutual Funds," LIDAM Reprints LFIN 2023006, Université catholique de Louvain, Louvain Finance (LFIN).
- Christos Argyropoulos & Bertrand Candelon & Jean-Baptiste Hasse & Ekaterini Panopoulou, 2020. "Toward a Macroprudential Regulatory Framework for Mutual Funds," GRU Working Paper Series GRU_2020_008, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Daniele Bianchi & Kenichiro McAlinn, 2018. "Large-Scale Dynamic Predictive Regressions," Papers 1803.06738, arXiv.org.
- Vegard H. Larsen & Leif Anders Thorsrud & Julia Zhulanova, 2019.
"News-driven inflation expectations and information rigidities,"
Working Paper
2019/5, Norges Bank.
- Larsen, Vegard H. & Thorsrud, Leif Anders & Zhulanova, Julia, 2021. "News-driven inflation expectations and information rigidities," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 507-520.
- Vegard H. Larsen & Leif Anders Thorsrud & Julia Zhulanova, 2019. "News-driven inflation expectations and information rigidities," Working Papers No 03/2019, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Byrne, Joseph P & Ibrahim, Boulis Maher & Zong, Xiaoyu, 2020.
"Asset Prices and Capital Share Risks: Theory and Evidence,"
MPRA Paper
101781, University Library of Munich, Germany.
- Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," Papers 2006.14023, arXiv.org.
- Casas Villalba, Maria Isabel & Mao, Xiuping & Lopes Moreira Da Veiga, María Helena, 2020. "Adaptative predictability of stock market returns," DES - Working Papers. Statistics and Econometrics. WS 31648, Universidad Carlos III de Madrid. Departamento de Estadística.
- Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
- Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- MeiChi Huang, 2022. "Time‐varying roles of housing risk factors in state‐level housing markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4660-4683, October.
- Isabel Casas & Xiuping Mao & Helena Veiga, 2018. "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers 2018-10, Department of Economics and Business Economics, Aarhus University.
- Felix Haase & Matthias Neuenkirch, 2023.
"Macroeconomic Expectations and State-Dependent Factor Returns,"
Research Papers in Economics
2023-09, University of Trier, Department of Economics.
- Felix Haase & Matthias Neuenkirch, 2023. "Macroeconomic Expectations and State-Dependent Factor Returns," CESifo Working Paper Series 10720, CESifo.
Articles
- Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2023.
"The dynamics of returns predictability in cryptocurrency markets,"
The European Journal of Finance, Taylor & Francis Journals, vol. 29(6), pages 583-611, April.
Cited by:
- Sakurai, Yuji & Kurosaki, Tetsuo, 2023. "Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?," Research in International Business and Finance, Elsevier, vol. 65(C).
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022.
"Trading volume and liquidity provision in cryptocurrency markets,"
Journal of Banking & Finance, Elsevier, vol. 142(C).
See citations under working paper version above.
- Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022. "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers wp730, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
- Bianchi, Daniele & Babiak, Mykola, 2022.
"On the performance of cryptocurrency funds,"
Journal of Banking & Finance, Elsevier, vol. 138(C).
See citations under working paper version above.
- Daniele Bianchi & Mykola Babiak, 2020. "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers wp672, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
- Daniele Bianchi & Matthias Büchner & Andrea Tamoni, 2021.
"Bond Risk Premiums with Machine Learning [Quadratic term structure models: Theory and evidence],"
Review of Financial Studies, Society for Financial Studies, vol. 34(2), pages 1046-1089.
Cited by:
- Faria, Gonçalo & Verona, Fabio, 2023. "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers 1/2023, Bank of Finland.
- Peter Carr & Liuren Wu, 2023. "Decomposing Long Bond Returns: A Decentralized Theory," Review of Finance, European Finance Association, vol. 27(3), pages 997-1026.
- Ba Chu & Shafiullah Qureshi, 2021. "Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth," Carleton Economic Papers 21-12, Carleton University, Department of Economics.
- Costola, Michele & Hinz, Oliver & Nofer, Michael & Pelizzon, Loriana, 2023. "Machine learning sentiment analysis, COVID-19 news and stock market reactions," Research in International Business and Finance, Elsevier, vol. 64(C).
- Eghbal Rahimikia & Stefan Zohren & Ser-Huang Poon, 2021. "Realised Volatility Forecasting: Machine Learning via Financial Word Embedding," Papers 2108.00480, arXiv.org, revised Mar 2023.
- Victor Chernozhukov & Whitney Newey & Rahul Singh & Vasilis Syrgkanis, 2020. "Adversarial Estimation of Riesz Representers," Papers 2101.00009, arXiv.org.
- Borup, Daniel & Christensen, Bent Jesper & Mühlbach, Nicolaj Søndergaard & Nielsen, Mikkel Slot, 2023. "Targeting predictors in random forest regression," International Journal of Forecasting, Elsevier, vol. 39(2), pages 841-868.
- Oguzhan Cepni & Rangan Gupta & I. Ethem Guney & M. Hasan Yilmaz, 2019.
"Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages,"
Working Papers
201957, University of Pretoria, Department of Economics.
- Oguzhan Cepni & Rangan Gupta & I. Ethem Güney & M. Yilmaz, 2020. "Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 966-985, September.
- Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2020.
"A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance,"
Working Paper series
20-27, Rimini Centre for Economic Analysis.
- Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2021. "A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance," Tinbergen Institute Discussion Papers 21-016/III, Tinbergen Institute.
- Liu, Qingbai & Wang, Chuanjie & Zhang, Ping & Zheng, Kaixin, 2021. "Detecting stock market manipulation via machine learning: Evidence from China Securities Regulatory Commission punishment cases," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Lu, Xinjie & Ma, Feng & Xu, Jin & Zhang, Zehui, 2022. "Oil futures volatility predictability: New evidence based on machine learning models11All the authors contribute to the paper equally," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021.
"Machine Learning and Factor-Based Portfolio Optimization,"
Working Papers
202111, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866, arXiv.org.
- Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
- Zhao, Albert Bo & Cheng, Tingting, 2022. "Stock return prediction: Stacking a variety of models," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 288-317.
- Mykola Babiak & Jozef Barunik, 2020.
"Deep Learning, Predictability, and Optimal Portfolio Returns,"
Papers
2009.03394, arXiv.org, revised Jul 2021.
- Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," CERGE-EI Working Papers wp677, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Mustafa, Andy Ali & Lin, Ching-Yang & Kakinaka, Makoto, 2022. "Detecting market pattern changes: A machine learning approach," Finance Research Letters, Elsevier, vol. 47(PA).
- Jorge Guijarro-Ordonez & Markus Pelger & Greg Zanotti, 2021. "Deep Learning Statistical Arbitrage," Papers 2106.04028, arXiv.org, revised Oct 2022.
- Sung Hoon Choi, 2021. "Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia," Papers 2108.10250, arXiv.org, revised May 2022.
- Victor DeMiguel & Javier Gil-Bazo & Francisco J. Nogales & André A. P. Santos, 2021.
"Can machine learning help to select portfolios of mutual funds?,"
Economics Working Papers
1772, Department of Economics and Business, Universitat Pompeu Fabra.
- Victor DeMiguel & Javier Gil-Bazo & Francisco J. Nogales & André A. P. Santos, 2021. "Can Machine Learning Help to Select Portfolios of Mutual Funds?," Working Papers 1245, Barcelona School of Economics.
- Gang Chu & John W. Goodell & Dehua Shen & Yongjie Zhang, 2022. "Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction," Annals of Operations Research, Springer, vol. 318(1), pages 103-128, November.
- Goutte, Stéphane & Le, Hoang-Viet & Liu, Fei & von Mettenheim, Hans-Jörg, 2023.
"Deep learning and technical analysis in cryptocurrency market,"
Finance Research Letters, Elsevier, vol. 54(C).
- Stéphane Goutte & Viet Hoang Le & Fei Liu & Hans-Jörg Mettenheim, Von, 2023. "Deep Learning And Technical Analysis In Cryptocurrency Market," Working Papers halshs-03917333, HAL.
- Hanauer, Matthias X. & Kalsbach, Tobias, 2023. "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 55(C).
- Nadja Klein & Michael Stanley Smith & David J. Nott, 2023. "Deep distributional time series models and the probabilistic forecasting of intraday electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 493-511, June.
- Hanauer, Matthias X. & Kononova, Marina & Rapp, Marc Steffen, 2022. "Boosting agnostic fundamental analysis: Using machine learning to identify mispricing in European stock markets," Finance Research Letters, Elsevier, vol. 48(C).
- Sergio Consoli & Luca Tiozzo Pezzoli & Elisa Tosetti, 2022. "Neural forecasting of the Italian sovereign bond market with economic news," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(S2), pages 197-224, December.
- Liu, Qingfu & Tao, Zhenyi & Tse, Yiuman & Wang, Chuanjie, 2022. "Stock market prediction with deep learning: The case of China," Finance Research Letters, Elsevier, vol. 46(PA).
- Siem Jan Koopman & Julia Schaumburg & Quint Wiersma, 2021. "Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels," Tinbergen Institute Discussion Papers 21-008/III, Tinbergen Institute.
- Damir Filipovi'c & Puneet Pasricha, 2022. "Empirical Asset Pricing via Ensemble Gaussian Process Regression," Papers 2212.01048, arXiv.org.
- Paul Geertsema & Helen Lu, 2023. "Relative Valuation with Machine Learning," Journal of Accounting Research, Wiley Blackwell, vol. 61(1), pages 329-376, March.
- Andrew J. Patton & Yasin Simsek, 2023. "Generalized Autoregressive Score Trees and Forests," Papers 2305.18991, arXiv.org.
- Yao, Haixiang & Xia, Shenghao & Liu, Hao, 2022. "Six-factor asset pricing and portfolio investment via deep learning: Evidence from Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
- Yu, Fanchao, 2023. "Macroeconomic information, global economic policy uncertainty and gold futures return predictability," Finance Research Letters, Elsevier, vol. 55(PA).
- Bianchi, Daniele, 2021.
"Adaptive expectations and commodity risk premiums,"
Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
Cited by:
- Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2020.
"Momentum and the Cross-Section of Stock Volatility,"
QBS Working Paper Series
2020/01, Queen's University Belfast, Queen's Business School.
- Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2022. "Momentum and the Cross-section of Stock Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Wang, Jiqian & Ma, Feng & Wang, Tianyang & Wu, Lan, 2023. "International stock volatility predictability: New evidence from uncertainties," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
- Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2020.
"Momentum and the Cross-Section of Stock Volatility,"
QBS Working Paper Series
2020/01, Queen's University Belfast, Queen's Business School.
- Daniele Bianchi & Matthias Büchner & Tobias Hoogteijling & Andrea Tamoni, 2021.
"Corrigendum: Bond Risk Premiums with Machine Learning [Bond risk premiums with machine learning],"
Review of Financial Studies, Society for Financial Studies, vol. 34(2), pages 1090-1103.
Cited by:
- Faria, Gonçalo & Verona, Fabio, 2023. "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers 1/2023, Bank of Finland.
- Peter Carr & Liuren Wu, 2023. "Decomposing Long Bond Returns: A Decentralized Theory," Review of Finance, European Finance Association, vol. 27(3), pages 997-1026.
- Ba Chu & Shafiullah Qureshi, 2021. "Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth," Carleton Economic Papers 21-12, Carleton University, Department of Economics.
- Costola, Michele & Hinz, Oliver & Nofer, Michael & Pelizzon, Loriana, 2023. "Machine learning sentiment analysis, COVID-19 news and stock market reactions," Research in International Business and Finance, Elsevier, vol. 64(C).
- Eghbal Rahimikia & Stefan Zohren & Ser-Huang Poon, 2021. "Realised Volatility Forecasting: Machine Learning via Financial Word Embedding," Papers 2108.00480, arXiv.org, revised Mar 2023.
- Borup, Daniel & Christensen, Bent Jesper & Mühlbach, Nicolaj Søndergaard & Nielsen, Mikkel Slot, 2023. "Targeting predictors in random forest regression," International Journal of Forecasting, Elsevier, vol. 39(2), pages 841-868.
- Liu, Qingbai & Wang, Chuanjie & Zhang, Ping & Zheng, Kaixin, 2021. "Detecting stock market manipulation via machine learning: Evidence from China Securities Regulatory Commission punishment cases," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Lu, Xinjie & Ma, Feng & Xu, Jin & Zhang, Zehui, 2022. "Oil futures volatility predictability: New evidence based on machine learning models11All the authors contribute to the paper equally," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021.
"Machine Learning and Factor-Based Portfolio Optimization,"
Working Papers
202111, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866, arXiv.org.
- Zhao, Albert Bo & Cheng, Tingting, 2022. "Stock return prediction: Stacking a variety of models," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 288-317.
- Mustafa, Andy Ali & Lin, Ching-Yang & Kakinaka, Makoto, 2022. "Detecting market pattern changes: A machine learning approach," Finance Research Letters, Elsevier, vol. 47(PA).
- Victor DeMiguel & Javier Gil-Bazo & Francisco J. Nogales & André A. P. Santos, 2021.
"Can machine learning help to select portfolios of mutual funds?,"
Economics Working Papers
1772, Department of Economics and Business, Universitat Pompeu Fabra.
- Victor DeMiguel & Javier Gil-Bazo & Francisco J. Nogales & André A. P. Santos, 2021. "Can Machine Learning Help to Select Portfolios of Mutual Funds?," Working Papers 1245, Barcelona School of Economics.
- Gang Chu & John W. Goodell & Dehua Shen & Yongjie Zhang, 2022. "Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction," Annals of Operations Research, Springer, vol. 318(1), pages 103-128, November.
- Goutte, Stéphane & Le, Hoang-Viet & Liu, Fei & von Mettenheim, Hans-Jörg, 2023.
"Deep learning and technical analysis in cryptocurrency market,"
Finance Research Letters, Elsevier, vol. 54(C).
- Stéphane Goutte & Viet Hoang Le & Fei Liu & Hans-Jörg Mettenheim, Von, 2023. "Deep Learning And Technical Analysis In Cryptocurrency Market," Working Papers halshs-03917333, HAL.
- Hanauer, Matthias X. & Kalsbach, Tobias, 2023. "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 55(C).
- Nadja Klein & Michael Stanley Smith & David J. Nott, 2023. "Deep distributional time series models and the probabilistic forecasting of intraday electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 493-511, June.
- Hanauer, Matthias X. & Kononova, Marina & Rapp, Marc Steffen, 2022. "Boosting agnostic fundamental analysis: Using machine learning to identify mispricing in European stock markets," Finance Research Letters, Elsevier, vol. 48(C).
- Sergio Consoli & Luca Tiozzo Pezzoli & Elisa Tosetti, 2022. "Neural forecasting of the Italian sovereign bond market with economic news," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(S2), pages 197-224, December.
- Liu, Qingfu & Tao, Zhenyi & Tse, Yiuman & Wang, Chuanjie, 2022. "Stock market prediction with deep learning: The case of China," Finance Research Letters, Elsevier, vol. 46(PA).
- Damir Filipovi'c & Puneet Pasricha, 2022. "Empirical Asset Pricing via Ensemble Gaussian Process Regression," Papers 2212.01048, arXiv.org.
- Paul Geertsema & Helen Lu, 2023. "Relative Valuation with Machine Learning," Journal of Accounting Research, Wiley Blackwell, vol. 61(1), pages 329-376, March.
- Andrew J. Patton & Yasin Simsek, 2023. "Generalized Autoregressive Score Trees and Forests," Papers 2305.18991, arXiv.org.
- Yao, Haixiang & Xia, Shenghao & Liu, Hao, 2022. "Six-factor asset pricing and portfolio investment via deep learning: Evidence from Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
- Yu, Fanchao, 2023. "Macroeconomic information, global economic policy uncertainty and gold futures return predictability," Finance Research Letters, Elsevier, vol. 55(PA).
- Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019.
"Modeling systemic risk with Markov Switching Graphical SUR models,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 58-74.
See citations under working paper version above.
- Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018. "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers 626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018.
"Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?,"
The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(1), pages 34-62.
See citations under working paper version above.
- 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 2013/22, Norges Bank.
- 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, vol. 35(1), pages 110-129, January.
See citations under working paper version above.
- 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 2013/19, Norges Bank.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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, vol. 7(1), pages 1-7, April.
Cited by:
- James A. Bradley & Dominik Hülse & Douglas E. LaRowe & Sandra Arndt, 2022. "Transfer efficiency of organic carbon in marine sediments," Nature Communications, Nature, vol. 13(1), pages 1-8, December.
- Sureth Michael & Kalkuhl Matthias & Edenhofer Ottmar & Rockström Johan, 2023. "A Welfare Economic Approach to Planetary Boundaries," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 243(5), pages 477-542, October.
- Liao Chang & Babette A. A. Hoogakker & David Heslop & Xiang Zhao & Andrew P. Roberts & Patrick Deckker & Pengfei Xue & Zhaowen Pei & Fan Zeng & Rong Huang & Baoqi Huang & Shishun Wang & Thomas A. Bern, 2023. "Indian Ocean glacial deoxygenation and respired carbon accumulation during mid-late Quaternary ice ages," Nature Communications, Nature, vol. 14(1), pages 1-11, December.
- 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, vol. 236(1), pages 160-176.
Cited by:
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020.
"Mildly Explosive Dynamics in U.S. Fixed Income Markets,"
Working Papers
667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, "undated". "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Economics Department, Working Paper Series 1001, Economics Department, Pomona College, revised 12 Feb 2020.
- Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2017. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Globalization Institute Working Papers 324, Federal Reserve Bank of Dallas.
- Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
- Li, Xiaoyue & Uysal, A. Sinem & Mulvey, John M., 2022. "Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks," European Journal of Operational Research, Elsevier, vol. 299(3), pages 1158-1176.
- Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
- Iason Kynigakis & Ekaterini Panopoulou, 2022. "Does model complexity add value to asset allocation? Evidence from machine learning forecasting models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 603-639, April.
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020.
"Mildly Explosive Dynamics in U.S. Fixed Income Markets,"
Working Papers
667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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, vol. 49(1), pages 116-164, July.
Cited by:
- Prashant Das & Julia Freybote & Gianluca Marcato, 2015. "An Investigation into Sentiment-Induced Institutional Trading Behavior and Asset Pricing in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 160-189, August.
- Massimo Guidolin & Manuela Pedio & Milena Petrova, 2019.
"The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis,"
BAFFI CAREFIN Working Papers
19122, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Massimo Guidolin & Manuela Pedio & Milena T. Petrova, 2023. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 67(1), pages 108-149, July.
- Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
- Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2019.
"What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data,"
Working Papers
201974, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2021. "What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data," The Journal of Real Estate Finance and Economics, Springer, vol. 62(1), pages 81-107, January.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ORE: Operations Research (6) 2013-08-31 2015-06-20 2020-08-10 2021-12-20 2022-04-18 2022-05-09. Author is listed
- NEP-PAY: Payment Systems & Financial Technology (6) 2020-08-10 2020-10-19 2021-12-20 2022-04-18 2022-06-20 2022-08-22. Author is listed
- NEP-RMG: Risk Management (6) 2013-08-31 2015-06-20 2018-08-20 2020-08-10 2021-12-20 2022-05-09. Author is listed
- NEP-FMK: Financial Markets (4) 2020-08-10 2020-10-19 2021-12-20 2022-08-22
- NEP-MAC: Macroeconomics (4) 2020-08-10 2020-10-19 2022-04-18 2022-06-20
- NEP-ECM: Econometrics (3) 2013-08-31 2018-08-20 2022-05-09
- NEP-CFN: Corporate Finance (1) 2021-12-20
- NEP-ETS: Econometric Time Series (1) 2022-05-09
- NEP-MON: Monetary Economics (1) 2022-08-22
- NEP-MST: Market Microstructure (1) 2022-08-22
- NEP-URE: Urban & Real Estate Economics (1) 2013-10-02
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