Details about Stefano Grassi
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
- Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
Also in Working Paper, Norges Bank (2018) View citations (3)
- Forecasting Cryptocurrencies Financial Time Series
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (4)
- Predicting the Volatility of Cryptocurrency Time Series
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (11)
2017
- Does the ARFIMA really shift?
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
Also in Working Paper, Norges Bank (2015) View citations (14)
- Modelling Crypto-Currencies Financial Time-Series
CEIS Research Paper, Tor Vergata University, CEIS View citations (38)
- Selecting Primal Innovations in DSGE models
Working Paper Series, Federal Reserve Bank of Chicago View citations (3)
- The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference
Working Paper, Norges Bank View citations (5)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (5) Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) 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) View citations (5) (2017)
2016
- A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models
CEIS Research Paper, Tor Vergata University, CEIS ![Downloads](/downloads_econpapers.gif)
Also in Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences (2015) ![Downloads](/downloads_econpapers.gif)
See also Journal Article A data-cleaning augmented Kalman filter for robust estimation of state space models, Econometrics and Statistics, Elsevier (2018) View citations (4) (2018)
- Fundamental shock selection in DSGE models
2016 Meeting Papers, Society for Economic Dynamics View citations (7)
Also in Studies in Economics, School of Economics, University of Kent (2015) View citations (10)
- Parallelization Experience with Four Canonical Econometric Models using ParMitISEM
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)
Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2016) View citations (8)
See also Journal Article Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM, Econometrics, MDPI (2016) View citations (6) (2016)
- Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
2015
- Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (23)
Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) View citations (6) CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) View citations (3) Working Paper, Norges Bank (2014) 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) View citations (23) (2015)
- Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach
Studies in Economics, School of Economics, University of Kent ![Downloads](/downloads_econpapers.gif)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)
2014
- EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro
Studies in Economics, School of Economics, University of Kent View citations (6)
- Forecasting with the Standardized Self-Perturbed Kalman Filter
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
Also in Studies in Economics, School of Economics, University of Kent (2014) View citations (3)
See also Journal Article Forecasting With the Standardized Self‐Perturbed Kalman Filter, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (4) (2017)
2013
- EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries
CEIS Research Paper, Tor Vergata University, CEIS 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) View citations (8) (2015)
- It's all about volatility of volatility: evidence from a two-factor stochastic volatility model
Studies in Economics, School of Economics, University of Kent View citations (10)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) 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) View citations (12) (2015)
2012
- Heterogeneous Computing in Economics: A Simplified Approach
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (10)
See also Journal Article Heterogeneous Computing in Economics: A Simplified Approach, Computational Economics, Springer (2014) View citations (8) (2014)
2011
- Bayesian stochastic model specification search for seasonal and calendar effects
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University ![Downloads](/downloads_econpapers.gif)
Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (4)
- Characterizing economic trends by Bayesian stochastic model specification search
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
Also in EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2010) ![Downloads](/downloads_econpapers.gif) MPRA Paper, University Library of Munich, Germany (2010) View citations (1)
See also Journal Article Characterising economic trends by Bayesian stochastic model specification search, Computational Statistics & Data Analysis, Elsevier (2014) View citations (4) (2014)
- How to measure Corporate Social Responsibility
Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (1)
- 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 View citations (1)
Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2011) ![Downloads](/downloads_econpapers.gif)
See also Journal Article Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search, Empirical Economics, Springer (2015) View citations (1) (2015)
- When Long Memory Meets the Kalman Filter: A Comparative Study
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
See also Journal Article When long memory meets the Kalman filter: A comparative study, Computational Statistics & Data Analysis, Elsevier (2014) View citations (11) (2014)
2008
- Has the Volatility of U.S. Inflation Changed and How?
MPRA Paper, University Library of Munich, Germany 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) View citations (8) (2010)
Journal Articles
2019
- Selecting structural innovations in DSGE models
Journal of Applied Econometrics, 2019, 34, (2), 205-220 View citations (11)
2018
- A data-cleaning augmented Kalman filter for robust estimation of state space models
Econometrics and Statistics, 2018, 5, (C), 107-123 View citations (4)
See also Working Paper A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models, CEIS Research Paper (2016) (2016)
2017
- Forecasting With the Standardized Self‐Perturbed Kalman Filter
Journal of Applied Econometrics, 2017, 32, (2), 318-341 View citations (4)
See also Working Paper Forecasting with the Standardized Self-Perturbed Kalman Filter, CREATES Research Papers (2014) View citations (3) (2014)
- The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference
Journal of Statistical Software, 2017, 079, (i01) View citations (5)
See also Working Paper The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference, Working Paper (2017) View citations (5) (2017)
2016
- Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM
Econometrics, 2016, 4, (1), 1-20 View citations (6)
See also Working Paper Parallelization Experience with Four Canonical Econometric Models using ParMitISEM, Tinbergen Institute Discussion Papers (2016) View citations (8) (2016)
2015
- 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 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) View citations (1) (2013)
- It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
Journal of Empirical Finance, 2015, 30, (C), 62-78 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) View citations (10) (2013)
- Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
Journal of Statistical Software, 2015, 068, (i03) View citations (23)
See also Working Paper Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Tinbergen Institute Discussion Papers (2015) View citations (23) (2015)
- Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
Empirical Economics, 2015, 48, (3), 983-1011 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) View citations (1) (2011)
2014
- Characterising economic trends by Bayesian stochastic model specification search
Computational Statistics & Data Analysis, 2014, 71, (C), 359-374 View citations (4)
See also Working Paper Characterizing economic trends by Bayesian stochastic model specification search, CREATES Research Papers (2011) View citations (1) (2011)
- Heterogeneous Computing in Economics: A Simplified Approach
Computational Economics, 2014, 43, (4), 485-495 View citations (8)
See also Working Paper Heterogeneous Computing in Economics: A Simplified Approach, CREATES Research Papers (2012) View citations (10) (2012)
- Item response models to measure corporate social responsibility
Applied Financial Economics, 2014, 24, (22), 1449-1464 View citations (7)
- When long memory meets the Kalman filter: A comparative study
Computational Statistics & Data Analysis, 2014, 76, (C), 301-319 View citations (11)
See also Working Paper When Long Memory Meets the Kalman Filter: A Comparative Study, CREATES Research Papers (2011) View citations (6) (2011)
2010
- Has the Volatility of U.S. Inflation Changed and How?
Journal of Time Series Econometrics, 2010, 2, (1), 22 View citations (8)
See also Working Paper Has the Volatility of U.S. Inflation Changed and How?, MPRA Paper (2008) View citations (10) (2008)
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