Stefano Grassi
Stefano Grassi
University of Rome Tor Vergata
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Forecasting cryptocurrencies under model and parameter instability
L Catania, S Grassi, F Ravazzolo
International Journal of Forecasting 35 (2), 485-501, 2019
Predicting the volatility of cryptocurrency time-series
L Catania, S Grassi, F Ravazzolo
Mathematical and statistical methods for actuarial sciences and finance, 203-207, 2018
Modelling crypto-currencies financial time-series
L Catania, S Grassi
Available at SSRN 3028486, 2017
Item response models to measure corporate social responsibility
M Nicolosi, S Grassi, E Stanghellini
Applied Financial Economics 24 (22), 1449-1464, 2014
Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox
R Casarin, S Grassi, F Ravazzolo, HK Van Dijk
Tinbergen Institute Discussion Paper 13-055/III, 2013
Has the volatility of US inflation changed and how?
S Grassi, T Proietti
Journal of Time Series Econometrics 2 (1), 2010
Forecasting cryptocurrencies financial time series
L Catania, S Grassi, F Ravazzolo
BI Norwegian Business School, Centre for Applied Macro-and Petroleum Economics, 2018
When long memory meets the Kalman filter: A comparative study
S Grassi, PS de Magistris
Computational Statistics & Data Analysis 76, 301-319, 2014
Dynamic predictive density combinations for large data sets in economics and finance
R Casarin, S Grassi, F Ravazzolo, HK van Dijk
Tinbergen Institute Discussion Paper 15-084/III, 2016
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
S Grassi, PS de Magistris
Journal of Empirical Finance 30, 62-78, 2015
Heterogeneous computing in economics: A simplified approach
MP Dziubinski, S Grassi
Computational Economics 43 (4), 485-495, 2014
Forecast density combinations of dynamic models and data driven portfolio strategies
N Baştürk, A Borowska, S Grassi, L Hoogerheide, HK van Dijk
Journal of Econometrics 210 (1), 170-186, 2019
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries
S Grassi, T Proietti, C Frale, M Marcellino, G Mazzi
International Journal of Forecasting 31 (3), 712-738, 2015
Selecting structural innovations in DSGE models
F Ferroni, S Grassi, MA León‐Ledesma
Journal of Applied Econometrics 34 (2), 205-220, 2019
Forecasting with the standardized self‐perturbed Kalman filter
S Grassi, N Nonejad, PS De Magistris
Journal of Applied Econometrics 32 (2), 318-341, 2017
A data-cleaning augmented Kalman filter for robust estimation of state space models
M Marczak, T Proietti, S Grassi
Econometrics and Statistics 5, 107-123, 2018
The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference
N Basturk, S Grassi, LF Hoogerheide, A Opschoor, HK Van Dijk
Tinbergen Institute Discussion Paper 15-042/III, 2017
The statistical relation of sea-level and temperature revisited
S Grassi, E Hillebrand, D Ventosa-Santaulària
Dynamics of Atmospheres and Oceans 64, 1-9, 2013
Characterising economic trends by Bayesian stochastic model specification search
S Grassi, T Proietti
Computational Statistics & Data Analysis 71, 359-374, 2014
Parallelization experience with four canonical econometric models using ParMitISEM
N Baştürk, S Grassi, L Hoogerheide, HK Van Dijk
Econometrics 4 (1), 11, 2016
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