2108/362783 - 2024 -
The time-varying Multivariate Autoregressive Index model Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - 01 - Articolo su rivista
rivista: INTERNATIONAL JOURNAL OF FORECASTING (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. - - issn: 0169-2070 - wos: (0) - scopus: 2-s2.0-85193080141 (0)
2108/365704 - 2023 -
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility Buccheri, Giuseppe; Grassi, Stefano; Vocalelli, Giorgio - 01 - Articolo su rivista
rivista: JOURNAL OF FINANCIAL ECONOMETRICS (Cary, N.C. Oxford : Oxford University Press.) pp. - - issn: 1479-8409 - wos: WOS:000956478200001 (0) - scopus: (0)
2108/322520 - 2023 -
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings Belotti, Federico; Catania, Leopoldo; Grassi, Stefano - 01 - Articolo su rivista
rivista: ECONOMETRIC REVIEWS (-PHILADELPHIA:TAYLOR & FRANCIS INC,
-New York : Marcel Dekker, c1984-) pp. 281-306 - issn: 0747-4938 - wos: WOS:000949900700001 (2) - scopus: 2-s2.0-85150588978 (2)
2108/363025 - 2023 -
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance Grassi, Stefano - 01 - Articolo su rivista
rivista: JOURNAL OF ECONOMETRICS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. - - issn: 0304-4076 - wos: (0) - scopus: (0)
2108/364704 - 2023 -
The macroeconomic spillovers from space activity Corrado, Luisa; Grassi, Stefano; Paolillo, Aldo - 01 - Articolo su rivista
rivista: PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA (National Academy of Sciences:2101 Constitution Avenue Northwest:Washington, DC 20418:(877)314-2253, (615)377-3322, EMAIL: subspnas@nas.edu, INTERNET: http://www.pnas.org, Fax: (615)377-0525) pp. - - issn: 0027-8424 - wos: WOS:001106393600001 (1) - scopus: 2-s2.0-85174912575 (1)
2108/297333 - 2022 -
Forecasting cryptocurrency volatility Catania, Leopoldo; Grassi, Stefano - 01 - Articolo su rivista
rivista: INTERNATIONAL JOURNAL OF FORECASTING (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. - - issn: 0169-2070 - wos: WOS:000836807400003 (26) - scopus: 2-s2.0-85111581575 (34)
2108/365705 - 2022 -
Forecasting financial markets with semantic network analysis in the COVID-19 crisis Fronzetti Colladon, Andrea; Grassi, Stefano - 01 - Articolo su rivista
rivista: JOURNAL OF FORECASTING (Bognor Regis, United Kingdom: John Wiley & Sons Limited) pp. - - issn: 0277-6693 - wos: WOS:000898024500001 (7) - scopus: (0)
Bernardi, Mauro; Grassi, Stefano - 05 - Curatele
2108/215447 - 2019 -
Forecast density combinations of dynamic models and data driven portfolio strategies Grassi, Stefano - 01 - Articolo su rivista
rivista: JOURNAL OF ECONOMETRICS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 170-186 - issn: 0304-4076 - wos: WOS:000464091200011 (12) - scopus: 2-s2.0-85057214511 (13)
2108/215451 - 2019 -
Forecasting cryptocurrencies under model and parameter instability Catania, Leopoldo; Grassi, Stefano - 01 - Articolo su rivista
rivista: INTERNATIONAL JOURNAL OF FORECASTING (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 485-501 - issn: 0169-2070 - wos: WOS:000469310100005 (72) - scopus: 2-s2.0-85059143794 (90)
2108/215453 - 2019 -
Selecting structural innovations in DSGE models Grassi, Stefano - 01 - Articolo su rivista
rivista: JOURNAL OF APPLIED ECONOMETRICS (John Wiley & Sons Limited:1 Oldlands Way, Bognor Regis, P022 9SA United Kingdom:011 44 1243 779777, EMAIL: cs-journals@wiley.co.uk, INTERNET: http://www.wiley.co.uk, Fax: 011 44 1243 843232) pp. 205-220 - issn: 0883-7252 - wos: WOS:000460413800003 (7) - scopus: 2-s2.0-85056080052 (7)
2108/216209 - 2018 -
Automatic Outlier Detection for the Basic Structural Time Series Model Grassi, Stefano; Proietti, Tommaso - 03 - Contributo in libro
libro: Handbook on Seasonal Adjustment - (978-92-79-80169-3)
2108/215443 - 2018 -
A data-cleaning augmented Kalman filter for robust estimation of state space models Proietti, Tommaso; Grassi, Stefano - 01 - Articolo su rivista
rivista: ECONOMETRICS AND STATISTICS (Publisher: Amsterdam: Elsevier B.V.) pp. 107-123 - issn: 2452-3062 - wos: WOS:000425742700006 (6) - scopus: 2-s2.0-85044462730 (9)
2108/215449 - 2017 -
The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference Grassi, Stefano - 01 - Articolo su rivista
rivista: JOURNAL OF STATISTICAL SOFTWARE (UCLA Statistics.) pp. - - issn: 1548-7660 - wos: WOS:000405449100001 (4) - scopus: 2-s2.0-85025167450 (4)
2108/215455 - 2017 -
Forecasting With the Standardized Self-Perturbed Kalman Filter Grassi, Stefano - 01 - Articolo su rivista
rivista: JOURNAL OF APPLIED ECONOMETRICS (John Wiley & Sons Limited:1 Oldlands Way, Bognor Regis, P022 9SA United Kingdom:011 44 1243 779777, EMAIL: cs-journals@wiley.co.uk, INTERNET: http://www.wiley.co.uk, Fax: 011 44 1243 843232) pp. 318-341 - issn: 0883-7252 - wos: WOS:000397856900005 (8) - scopus: 2-s2.0-85014123479 (8)
2108/215435 - 2015 -
Parallel sequential monte carlo for efficient density combination: The DeCo MATLAB toolbox Grassi, Stefano - 01 - Articolo su rivista
rivista: JOURNAL OF STATISTICAL SOFTWARE (UCLA Statistics.) pp. - - issn: 1548-7660 - wos: WOS:000366014000001 (15) - scopus: 2-s2.0-84949883322 (16)
2108/115824 - 2015 -
EuroMInd-C: a disaggregate monthly indicator of economic activity for the Euro area and member countries Grassi, Stefano; Proietti, Tommaso - 01 - Articolo su rivista
rivista: INTERNATIONAL JOURNAL OF FORECASTING (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 712-738 - issn: 0169-2070 - wos: WOS:000357836500011 (8) - scopus: 2-s2.0-84923356773 (10)
2108/91090 - 2014 -
Characterising economic trends by Bayesian stochastic model specification search Grassi, Stefano; Proietti, Tommaso - 01 - Articolo su rivista
rivista: COMPUTATIONAL STATISTICS & DATA ANALYSIS (Amsterdam: Elsevier Science) pp. 359-374 - issn: 0167-9473 - wos: WOS:000328869000028 (4) - scopus: 2-s2.0-84889091027 (6)
2108/14403 - 2010 -
Has the volatility of U.S. inflation changed and how? Grassi, Stefano; Proietti, Tommaso - 01 - Articolo su rivista
rivista: JOURNAL OF TIME SERIES ECONOMETRICS (Berkeley, CA : Berkeley Electronic Press) pp. - - issn: 1941-1928 - wos: (0) - scopus: (0)