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Details about Stefano Grassi

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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
    Working Paper, Norges Bank Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) Downloads View citations (1)
  2. Forecasting Cryptocurrencies Financial Time Series
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (1)
  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 (4)

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 (8)
  3. Modelling Crypto-Currencies Financial Time-Series
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (17)
  4. Selecting Primal Innovations in DSGE models
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (1)
  5. The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference
    Working Paper, Norges Bank Downloads View citations (3)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) Downloads View citations (5)

    See also Journal Article in Journal of Statistical Software (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 in Econometrics and Statistics (2018)
  2. Fundamental shock selection in DSGE models
    2016 Meeting Papers, Society for Economic Dynamics Downloads View citations (4)
    Also in Studies in Economics, School of Economics, University of Kent (2015) Downloads View citations (7)
  3. Parallelization Experience with Four Canonical Econometric Models using ParMitISEM
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2016) Downloads View citations (3)

    See also Journal Article in Econometrics (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 (8)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads
    Working Paper, Norges Bank (2014) Downloads
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) Downloads View citations (4)

    See also Journal Article in Journal of Statistical Software (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 (5)
  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 (2)

    See also Journal Article in Journal of Applied Econometrics (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 in International Journal of Forecasting (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 (8)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads View citations (8)

    See also Journal Article in Journal of Empirical Finance (2015)

2012

  1. Heterogeneous Computing in Economics: A Simplified Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (7)
    See also Journal Article in Computational Economics (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 MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (1)
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2010) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (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)
    See also Journal Article in Applied Financial Economics (2014)
  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 in Empirical Economics (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 in Computational Statistics & Data Analysis (2014)

2008

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

Journal Articles

2019

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

2018

  1. A data-cleaning augmented Kalman filter for robust estimation of state space models
    Econometrics and Statistics, 2018, 5, (C), 107-123 Downloads
    See also Working Paper (2016)

2017

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

2016

  1. Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM
    Econometrics, 2016, 4, (1), 1-20 Downloads View citations (4)
    See also Working Paper (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 (2)
    See also Working Paper (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 (5)
    See also Working Paper (2013)
  3. Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
    Journal of Statistical Software, 2015, 068, (i03) Downloads View citations (8)
    See also Working Paper (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 (2011)

2014

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

2010

  1. Has the Volatility of U.S. Inflation Changed and How?
    Journal of Time Series Econometrics, 2010, 2, (1), 1-22 Downloads View citations (6)
    See also Working Paper (2008)
 
Page updated 2019-10-16