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Details about Daniele Bianchi

Homepage:https://whitesphd.com
Workplace:School of Economics and Finance, Queen Mary University of London, (more information at EDIRC)

Access statistics for papers by Daniele Bianchi.

Last updated 2023-12-06. Update your information in the RePEc Author Service.

Short-id: pbi325


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Working Papers

2023

  1. Variational inference for large Bayesian vector autoregressions
    Papers, arXiv.org Downloads View citations (1)

2022

  1. Smoothing volatility targeting
    Papers, arXiv.org Downloads
  2. Trading Volume and Liquidity Provision in Cryptocurrency Markets
    CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague Downloads View citations (8)
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2022) Downloads View citations (2)

    See also Journal Article Trading volume and liquidity provision in cryptocurrency markets, Journal of Banking & Finance, Elsevier (2022) Downloads View citations (2) (2022)

2021

  1. A Factor Model for Cryptocurrency Returns
    CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague Downloads View citations (3)
  2. On the Performance of Cryptocurrency Funds
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (2)
    Also in CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague (2020) Downloads View citations (4)

    See also Journal Article On the performance of cryptocurrency funds, Journal of Banking & Finance, Elsevier (2022) Downloads View citations (10) (2022)

2020

  1. 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 Downloads View citations (6)

2018

  1. Large-Scale Dynamic Predictive Regressions
    Papers, arXiv.org Downloads View citations (4)
  2. Modeling Systemic Risk with Markov Switching Graphical SUR Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)
    See also Journal Article Modeling systemic risk with Markov Switching Graphical SUR models, Journal of Econometrics, Elsevier (2019) Downloads View citations (31) (2019)

2016

  1. 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 Downloads

2015

  1. Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (2)
    Also in Working Paper, Norges Bank (2013) Downloads View citations (1)

    See also Journal Article 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 (2017) Downloads View citations (12) (2017)

2013

  1. Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?
    Working Paper, Norges Bank Downloads View citations (1)
    See also Journal Article Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?, Journal of Financial Econometrics, Oxford University Press (2018) Downloads View citations (3) (2018)

Journal Articles

2023

  1. The dynamics of returns predictability in cryptocurrency markets
    The European Journal of Finance, 2023, 29, (6), 583-611 Downloads View citations (3)

2022

  1. On the performance of cryptocurrency funds
    Journal of Banking & Finance, 2022, 138, (C) Downloads View citations (10)
    See also Working Paper On the Performance of Cryptocurrency Funds, Working Paper Series (2021) Downloads View citations (2) (2021)
  2. Trading volume and liquidity provision in cryptocurrency markets
    Journal of Banking & Finance, 2022, 142, (C) Downloads View citations (2)
    See also Working Paper Trading Volume and Liquidity Provision in Cryptocurrency Markets, CERGE-EI Working Papers (2022) Downloads View citations (8) (2022)

2021

  1. Adaptive expectations and commodity risk premiums
    Journal of Economic Dynamics and Control, 2021, 124, (C) Downloads View citations (4)
  2. Bond Risk Premiums with Machine Learning
    (Quadratic term structure models: Theory and evidence)
    The Review of Financial Studies, 2021, 34, (2), 1046-1089 Downloads View citations (71)
  3. Corrigendum: Bond Risk Premiums with Machine Learning
    (Bond risk premiums with machine learning)
    The Review of Financial Studies, 2021, 34, (2), 1090-1103 Downloads View citations (63)

2019

  1. Modeling systemic risk with Markov Switching Graphical SUR models
    Journal of Econometrics, 2019, 210, (1), 58-74 Downloads View citations (31)
    See also Working Paper Modeling Systemic Risk with Markov Switching Graphical SUR Models, Working Papers (2018) Downloads View citations (4) (2018)

2018

  1. Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?
    Journal of Financial Econometrics, 2018, 16, (1), 34-62 Downloads View citations (3)
    See also Working Paper Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?, Working Paper (2013) Downloads View citations (1) (2013)

2017

  1. 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, 2017, 35, (1), 110-129 Downloads View citations (12)
    See also Working Paper Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section, Working Papers (2015) Downloads View citations (2) (2015)

2016

  1. Global pulses of organic carbon burial in deep-sea sediments during glacial maxima
    Nature Communications, 2016, 7, (1), 1-7 Downloads View citations (4)

2014

  1. 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, 2014, 49, (1), 116-164 Downloads View citations (7)
  2. Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
    European Journal of Operational Research, 2014, 236, (1), 160-176 Downloads View citations (7)
 
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