Details about Mattias Villani

Access statistics for papers by Mattias Villani.

Last updated 2020-01-05. Update your information in the RePEc Author Service.

Short-id: pvi83

Working Papers

2017

1. Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods
   Papers, arXiv.org

2016

2. Block-Wise Pseudo-Marginal Metropolis-Hastings
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (2)
3. Speeding up MCMC by Efficient Data Subsampling
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
   Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2015) View citations (2)

2015

4. SCALABLE MCMC FOR LARGE DATA PROBLEMS USING DATA SUBSAMPLING AND THE DIFFERENCE ESTIMATOR
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2013

5. Dynamic mixture-of-experts models for longitudinal and discrete-time survival data
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (2)

2011

6. Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (12)
   See also Journal Article in Journal of Financial and Quantitative Analysis (2014)

2010

7. Bayesian Inference in Structural Second-Price common Value Auctions
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
   See also Journal Article in Journal of Business & Economic Statistics (2011)
8. Modeling Conditional Densities Using Finite Smooth Mixtures
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2009

9. Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
10. Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (1)
    See also Journal Article in International Journal of Forecasting (2010)

2007

11. Evaluating An Estimated New Keynesian Small Open Economy Model
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (21)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (22)
    See also Journal Article in Journal of Economic Dynamics and Control (2008)
12. Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (2)

2006

13. Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (13)
    Also in Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) View citations (9)
14. Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (25)
    See also Journal Article in International Journal of Central Banking (2007)

2005

15. Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (9)
16. Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (56)
    See also Journal Article in Journal of International Economics (2007)
17. Bayesian Inference of General Linear Restrictions on the Cointegration Space
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
18. Bayesian approaches to cointegratrion
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) View citations (6)
19. Inference in Vector Autoregressive Models with an Informative Prior on the Steady State
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (9)

2004

20. A Bayesian Approach to Modelling Graphical Vector Autoregressions
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
    See also Journal Article in Journal of Time Series Analysis (2006)
21. The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (2)

2003

22. Bayes Estimators of the Cointegration Space
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
23. Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (18)
    Also in Working Paper Series, European Central Bank (2003) View citations (20)

2000

24. Panel Regression with Unobserved Classes
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics

1999

25. Bayesian Prediction with a Cointegrated Vector Autoregression
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (1)
    See also Journal Article in International Journal of Forecasting (2001)

Journal Articles

2018

1. Subsampling MCMC - an Introduction for the Survey Statistician
   Sankhya A: The Indian Journal of Statistics, 2018, 80, (1), 33-69 View citations (1)

2014

2. Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios
   Journal of Financial and Quantitative Analysis, 2014, 49, (4), 1071-1099 View citations (10)
   See also Working Paper (2011)

2013

3. Efficient Bayesian Multivariate Surface Regression
   Scandinavian Journal of Statistics, 2013, 40, (4), 706-723 View citations (2)

2012

4. Generalized smooth finite mixtures
   Journal of Econometrics, 2012, 171, (2), 121-133 View citations (10)

2011

5. Bayesian Inference in Structural Second-Price Common Value Auctions
   Journal of Business & Economic Statistics, 2011, 29, (3), 382-396
   Also in Journal of Business & Economic Statistics, 2011, 29, (3), 382-396 (2011)
   See also Working Paper (2010)

2010

6. Forecasting macroeconomic time series with locally adaptive signal extraction
   International Journal of Forecasting, 2010, 26, (2), 312-325 View citations (17)
   See also Working Paper (2009)

2009

7. Regression density estimation using smooth adaptive Gaussian mixtures
   Journal of Econometrics, 2009, 153, (2), 155-173 View citations (19)
8. Steady-state priors for vector autoregressions
   Journal of Applied Econometrics, 2009, 24, (4), 630-650 View citations (108)

2008

9. EMPIRICAL PROPERTIES OF CLOSED- AND OPEN-ECONOMY DSGE MODELS OF THE EURO AREA
   Macroeconomic Dynamics, 2008, 12, (S1), 2-19 View citations (26)
10. Evaluating an estimated new Keynesian small open economy model
    Journal of Economic Dynamics and Control, 2008, 32, (8), 2690-2721 View citations (210)
    See also Working Paper (2007)

2007

11. Bayesian Analysis of DSGE Models—Some Comments
    Econometric Reviews, 2007, 26, (2-4), 173-185 View citations (1)
12. Bayesian estimation of an open economy DSGE model with incomplete pass-through
    Journal of International Economics, 2007, 72, (2), 481-511 View citations (511)
    See also Working Paper (2005)
13. Forecasting Performance of an Open Economy DSGE Model
    Econometric Reviews, 2007, 26, (2-4), 289-328 View citations (100)
14. Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
    International Journal of Central Banking, 2007, 3, (4), 111-144 View citations (86)
    See also Working Paper (2006)

2006

15. A Bayesian Approach to Modelling Graphical Vector Autoregressions
    Journal of Time Series Analysis, 2006, 27, (1), 141-156 View citations (11)
    See also Working Paper (2004)
16. Bayesian point estimation of the cointegration space
    Journal of Econometrics, 2006, 134, (2), 645-664 View citations (12)

2005

17. An estimated New Keynesian small open economy model
    Proceedings, 2005 View citations (26)
18. Are Constant Interest Rate Forecasts Modest Policy Interventions? Evidence from a Dynamic Open‐Economy Model
    International Finance, 2005, 8, (3), 509-544 View citations (19)
19. BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
    Econometric Theory, 2005, 21, (2), 326-357 View citations (27)
20. The Role of Sticky Prices in an Open Economy DSGE Model: A Bayesian Investigation
    Journal of the European Economic Association, 2005, 3, (2-3), 444-457 View citations (38)

2004

21. Bayesian assessment of dimensionality in reduced rank regression
    Statistica Neerlandica, 2004, 58, (3), 255-270 View citations (4)

2001

22. A distance measure between cointegration spaces
    Economics Letters, 2001, 70, (1), 21-27 View citations (4)
23. Bayesian prediction with cointegrated vector autoregressions
    International Journal of Forecasting, 2001, 17, (4), 585-605 View citations (17)
    See also Working Paper (1999)
24. Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
    Journal of Time Series Analysis, 2001, 22, (1), 67-86 View citations (2)