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Details about Stefano Grassi

E-mail:stefano.grassi@uniroma2.it
Workplace:Dipartimento di Economia e Finanza (Department of Economics and Finance), Facoltà di Economia (Faculty of Economics), Università degli Studi di Roma "Tor Vergata" (Tor Vergata University of Rome), (more information at EDIRC)

Access statistics for papers by Stefano Grassi.

Last updated 2019-03-24. Update your information in the RePEc Author Service.

Short-id: pgr438


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Working Papers

2018

  1. Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
    Also in Working Paper, Norges Bank (2018) Downloads View citations (3)
  2. Forecasting Cryptocurrencies Financial Time Series
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (4)
  3. Predicting the Volatility of Cryptocurrency Time Series
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (11)

2017

  1. Does the ARFIMA really shift?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  2. Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in Working Paper, Norges Bank (2015) Downloads View citations (14)
  3. Modelling Crypto-Currencies Financial Time-Series
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (38)
  4. Selecting Primal Innovations in DSGE models
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (3)
  5. The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference
    Working Paper, Norges Bank Downloads View citations (5)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) Downloads View citations (5)
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) Downloads View citations (1)

    See also Journal Article The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference, Journal of Statistical Software, Foundation for Open Access Statistics (2017) Downloads View citations (5) (2017)

2016

  1. A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences (2015) Downloads

    See also Journal Article A data-cleaning augmented Kalman filter for robust estimation of state space models, Econometrics and Statistics, Elsevier (2018) Downloads View citations (4) (2018)
  2. Fundamental shock selection in DSGE models
    2016 Meeting Papers, Society for Economic Dynamics Downloads View citations (7)
    Also in Studies in Economics, School of Economics, University of Kent (2015) Downloads View citations (10)
  3. Parallelization Experience with Four Canonical Econometric Models using ParMitISEM
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (8)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2016) Downloads View citations (8)

    See also Journal Article Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM, Econometrics, MDPI (2016) Downloads View citations (6) (2016)
  4. Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)

2015

  1. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (23)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) Downloads View citations (6)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads View citations (3)
    Working Paper, Norges Bank (2014) Downloads View citations (1)

    See also Journal Article Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox, Journal of Statistical Software, Foundation for Open Access Statistics (2015) Downloads View citations (23) (2015)
  2. Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach
    Studies in Economics, School of Economics, University of Kent Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads

2014

  1. EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro
    Studies in Economics, School of Economics, University of Kent Downloads View citations (6)
  2. Forecasting with the Standardized Self-Perturbed Kalman Filter
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    Also in Studies in Economics, School of Economics, University of Kent (2014) Downloads View citations (3)

    See also Journal Article Forecasting With the Standardized Self‐Perturbed Kalman Filter, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (4) (2017)

2013

  1. EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (1)
    See also Journal Article EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries, International Journal of Forecasting, Elsevier (2015) Downloads View citations (8) (2015)
  2. It's all about volatility of volatility: evidence from a two-factor stochastic volatility model
    Studies in Economics, School of Economics, University of Kent Downloads View citations (10)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads View citations (10)

    See also Journal Article It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model, Journal of Empirical Finance, Elsevier (2015) Downloads View citations (12) (2015)

2012

  1. Heterogeneous Computing in Economics: A Simplified Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (10)
    See also Journal Article Heterogeneous Computing in Economics: A Simplified Approach, Computational Economics, Springer (2014) Downloads View citations (8) (2014)

2011

  1. Bayesian stochastic model specification search for seasonal and calendar effects
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (4)
  2. Characterizing economic trends by Bayesian stochastic model specification search
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2010) Downloads
    MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (1)

    See also Journal Article Characterising economic trends by Bayesian stochastic model specification search, Computational Statistics & Data Analysis, Elsevier (2014) Downloads View citations (4) (2014)
  3. How to measure Corporate Social Responsibility
    Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia Downloads View citations (1)
  4. Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2011) Downloads

    See also Journal Article Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search, Empirical Economics, Springer (2015) Downloads View citations (1) (2015)
  5. When Long Memory Meets the Kalman Filter: A Comparative Study
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article When long memory meets the Kalman filter: A comparative study, Computational Statistics & Data Analysis, Elsevier (2014) Downloads View citations (11) (2014)

2008

  1. Has the Volatility of U.S. Inflation Changed and How?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (10)
    See also Journal Article Has the Volatility of U.S. Inflation Changed and How?, Journal of Time Series Econometrics, De Gruyter (2010) Downloads View citations (8) (2010)

Journal Articles

2019

  1. Selecting structural innovations in DSGE models
    Journal of Applied Econometrics, 2019, 34, (2), 205-220 Downloads View citations (11)

2018

  1. A data-cleaning augmented Kalman filter for robust estimation of state space models
    Econometrics and Statistics, 2018, 5, (C), 107-123 Downloads View citations (4)
    See also Working Paper A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models, CEIS Research Paper (2016) Downloads (2016)

2017

  1. Forecasting With the Standardized Self‐Perturbed Kalman Filter
    Journal of Applied Econometrics, 2017, 32, (2), 318-341 Downloads View citations (4)
    See also Working Paper Forecasting with the Standardized Self-Perturbed Kalman Filter, CREATES Research Papers (2014) Downloads View citations (3) (2014)
  2. The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference
    Journal of Statistical Software, 2017, 079, (i01) Downloads View citations (5)
    See also Working Paper The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference, Working Paper (2017) Downloads View citations (5) (2017)

2016

  1. Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM
    Econometrics, 2016, 4, (1), 1-20 Downloads View citations (6)
    See also Working Paper Parallelization Experience with Four Canonical Econometric Models using ParMitISEM, Tinbergen Institute Discussion Papers (2016) Downloads View citations (8) (2016)

2015

  1. EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries
    International Journal of Forecasting, 2015, 31, (3), 712-738 Downloads View citations (8)
    See also Working Paper EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries, CEIS Research Paper (2013) Downloads View citations (1) (2013)
  2. It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
    Journal of Empirical Finance, 2015, 30, (C), 62-78 Downloads View citations (12)
    See also Working Paper It's all about volatility of volatility: evidence from a two-factor stochastic volatility model, Studies in Economics (2013) Downloads View citations (10) (2013)
  3. Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
    Journal of Statistical Software, 2015, 068, (i03) Downloads View citations (23)
    See also Working Paper Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Tinbergen Institute Discussion Papers (2015) Downloads View citations (23) (2015)
  4. Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
    Empirical Economics, 2015, 48, (3), 983-1011 Downloads View citations (1)
    See also Working Paper Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search, CREATES Research Papers (2011) Downloads View citations (1) (2011)

2014

  1. Characterising economic trends by Bayesian stochastic model specification search
    Computational Statistics & Data Analysis, 2014, 71, (C), 359-374 Downloads View citations (4)
    See also Working Paper Characterizing economic trends by Bayesian stochastic model specification search, CREATES Research Papers (2011) Downloads View citations (1) (2011)
  2. Heterogeneous Computing in Economics: A Simplified Approach
    Computational Economics, 2014, 43, (4), 485-495 Downloads View citations (8)
    See also Working Paper Heterogeneous Computing in Economics: A Simplified Approach, CREATES Research Papers (2012) Downloads View citations (10) (2012)
  3. Item response models to measure corporate social responsibility
    Applied Financial Economics, 2014, 24, (22), 1449-1464 Downloads View citations (7)
  4. When long memory meets the Kalman filter: A comparative study
    Computational Statistics & Data Analysis, 2014, 76, (C), 301-319 Downloads View citations (11)
    See also Working Paper When Long Memory Meets the Kalman Filter: A Comparative Study, CREATES Research Papers (2011) Downloads View citations (6) (2011)

2010

  1. Has the Volatility of U.S. Inflation Changed and How?
    Journal of Time Series Econometrics, 2010, 2, (1), 22 Downloads View citations (8)
    See also Working Paper Has the Volatility of U.S. Inflation Changed and How?, MPRA Paper (2008) Downloads View citations (10) (2008)
 
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