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Registered author: Stefano Grassi
Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas, Stefano Grassi and Francesco Violante,
from Department of Economics and Business Economics, Aarhus University
(2021)
Keywords: Cholesky decomposition, Multivariate GARCH, Asset Pricing, Time Varying Beta,Two Pass Regression
Bayesian stochastic model specification search for seasonal and calendar effects, Stefano Grassi and Tommaso Proietti,
from Department of Economics and Business Economics, Aarhus University
(2011)
Keywords: Seasonality, Structural time series models, Variable selection, Bayesian Estimation.
Characterizing economic trends by Bayesian stochastic model specification search, Stefano Grassi and Tommaso Proietti,
from Department of Economics and Business Economics, Aarhus University
(2011)
Keywords: Bayesian model selection, stationarity, unit roots, stochastic trends, variable selection.
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search, Stefano Grassi and Tommaso Proietti,
from Department of Economics and Business Economics, Aarhus University
(2011)
Keywords: Bayesian model selection, stationarity, unit roots, stochastic trends, variable selection.
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search, Stefano Grassi and Tommaso Proietti,
from University of Sydney Business School, Discipline of Business Analytics
(2011)
Keywords: Linear Mixed Model; Nonstationarity; Variable selection
Has the Volatility of U.S. Inflation Changed and How?, Stefano Grassi and Tommaso Proietti,
from University Library of Munich, Germany
(2008)
Keywords: Marginal Likelihood; Bayesian Model Comparison; Stochastic Volatility; Great Moderation; Inflation Persistence
Characterizing economic trends by Bayesian stochastic model specifi cation search, Stefano Grassi and Tommaso Proietti,
from University Library of Munich, Germany
(2010)
Keywords: Bayesian model selection; stationarity; unit roots; stochastic trends; variable selection.
Characterising economic trends by Bayesian stochastic model specification search, Stefano Grassi and Tommaso Proietti,
in Computational Statistics & Data Analysis
(2014)
Keywords: Bayesian model selection; Stationarity; Unit roots; Stochastic trends; Variable selection;
Heterogeneous Computing in Economics: A Simplified Approach, Matt Dziubinski and Stefano Grassi,
from Department of Economics and Business Economics, Aarhus University
(2012)
Keywords: Code optimization, CUDA, C++, C++ AMP, Data parallelism, DSGE models, Econometrics, Heterogeneous computing, Highperformance computing, Parallel computing.
Forecasting cryptocurrency volatility, Leopoldo Catania and Stefano Grassi,
in International Journal of Forecasting
(2022)
Keywords: Cryptocurrency; Bitcoin; Score-driven model; Density prediction; Volatility prediction; Leverage effect; Long memory; Higher-order moments;
Characterizing economic trends by Bayesian stochastic model specification search, Stefano Grassi and Tommaso Proietti,
from Economics and Econometrics Research Institute (EERI), Brussels
(2010)
Keywords: Bayesian model selection; stationarity; unit roots; stochastic trends; variable selection.
Bayesian stochastic model specification search for seasonal and calendar effects, Tommaso Proietti and Stefano Grassi,
from University Library of Munich, Germany
(2010)
Keywords: Seasonality; Structural time series models; Variable selection.
Heterogeneous Computing in Economics: A Simplified Approach, Matt Dziubinski and Stefano Grassi,
in Computational Economics
(2014)
Keywords: CUDA, C++, C++ AMP, DSGE models, Econometrics, Heterogeneous computing,
Has the Volatility of U.S. Inflation Changed and How?, Stefano Grassi and Tommaso Proietti,
in Journal of Time Series Econometrics
(2010)
Keywords: marginal likelihood, Bayesian model comparison, auxiliary particle filter, stochastic volatility, great moderation, inflation persistence
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search, Tommaso Proietti and Stefano Grassi,
in Empirical Economics
(2015)
Keywords: Nonstationarity, Variable selection, Linear Mixed Models, Seasonality, E32, E37, C53,
Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas, Stefano Grassi and Francesco Violante,
from Center for Research in Economics and Statistics
(2021)
Keywords: Cholesky decomposition, Multivariate GARCH, Asset Pricing, Time Varying Beta, Two Pass Regression.
Modelling Crypto-Currencies Financial Time-Series, Leopoldo Catania and Stefano Grassi,
from Tor Vergata University, CEIS
(2017)
Keywords: Crypto-currency; Bitcoin, Score{Driven model; Leverage effect; Long memory; Higher Order Moments
Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas, Stefano Grassi and Francesco Violante,
from Tor Vergata University, CEIS
(2021)
Keywords: Cholesky decomposition; Multivariate GARCH, Asset Pricing, Time Varying Beta, Two Pass Regression.
Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?, Camilla Muglia, Luca Santabarbara and Stefano Grassi,
in JRFM
(2019)
Keywords: cryptocurrency; Bitcoin; forecasting; point forecast; density forecast; dynamic model averaging; dynamic model selection; forgetting factors
A scalable method for estimating rooftop solar irradiation potential over large regions, René Buffat, Stefano Grassi and Martin Raubal,
in Applied Energy
(2018)
Keywords: Rooftop solar irradiation estimation; Spatio-temporal modelling; Geographic information systems (GIS); Big data;
Assessment of the wake effect on the energy production of onshore wind farms using GIS, Stefano Grassi, Sven Junghans and Martin Raubal,
in Applied Energy
(2014)
Keywords: Geographic Information Systems (GIS); Wind turbine; Wake effect; Roughness; Reduced efficiency coefficient; Annual energy production;
A data-cleaning augmented Kalman filter for robust estimation of state space models, Martyna Marczak, Tommaso Proietti and Stefano Grassi,
from University of Hohenheim, Faculty of Business, Economics and Social Sciences
(2015)
Keywords: robust filtering, augmented Kalman filter, structural time series model, additive outlier, innovation outlier
A data-cleaning augmented Kalman filter for robust estimation of state space models, Martyna Marczak, Tommaso Proietti and Stefano Grassi,
in Econometrics and Statistics
(2018)
Keywords: Robust filtering; Augmented Kalman filter; Structural time series model; Additive outlier; Innovation outlier;
Bayesian Econometrics, Mauro Bernardi, Stefano Grassi and Francesco Ravazzolo,
in JRFM
(2020)
Keywords: Bayesian econometrics; forecasting; MCMC methods; macroeconomic and financial applications
When Long Memory Meets the Kalman Filter: A Comparative Study, Stefano Grassi and Paolo Santucci de Magistris,
from Department of Economics and Business Economics, Aarhus University
(2011)
Keywords: ARFIMA models, Kalman Filter, Missing Observations, Measurement Error, Level Shifts.
It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model, Stefano Grassi and Paolo Santucci de Magistris,
from Department of Economics and Business Economics, Aarhus University
(2013)
Keywords: Time-Varying Parameters, On-line Kalman Filter, Simulation-based inference, Predictive Likelihood, Volatility Factors
When long memory meets the Kalman filter: A comparative study, Stefano Grassi and Paolo Santucci de Magistris,
in Computational Statistics & Data Analysis
(2014)
Keywords: ARFIMA models; State space; Missing observations; Measurement error; Level shifts;
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model, Stefano Grassi and Paolo Santucci de Magistris,
in Journal of Empirical Finance
(2015)
Keywords: Time-varying parameters; On-line Kalman filter; Simulation-based inference; Predictive likelihood; Volatility factors;
Forecasting cryptocurrencies under model and parameter instability, Leopoldo Catania, Stefano Grassi and Francesco Ravazzolo,
in International Journal of Forecasting
(2019)
Keywords: Cryptocurrency; Bitcoin; Forecasting; Density forecasting; VAR; Dynamic model averaging;
Modelling and Estimating Large Macroeconomic Shocks During the Pandemic, Luisa Corrado, Stefano Grassi and Aldo Paolillo,
from Department of Economics and Business Economics, Aarhus University
(2021)
Keywords: COVID-19, Nonlinear, Non-Gaussian, Large shocks, DSGE
Item response models to measure corporate social responsibility, Marco Nicolosi, Stefano Grassi and Elena Stanghellini,
in Applied Financial Economics
(2014)
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility*, Giuseppe Buccheri, Stefano Grassi and Giorgio Vocalelli,
in Journal of Financial Econometrics
(2024)
Keywords: illiquidity, market microstructure, score-driven models, volatility estimation
Modelling and Estimating Large Macroeconomic Shocks During the Pandemic, Luisa Corrado, Stefano Grassi and Aldo Paolillo,
from National Institute of Economic and Social Research
(2021)
Keywords: COVID-19, Nonlinear, Non-Gaussian, Large shocks, DSGE
The time-varying Multivariate Autoregressive Index model, Gianluca Cubadda, Stefano Grassi and Barbara Guardabascio,
in International Journal of Forecasting
(2025)
Keywords: Large Vector Autoregressive Models; Multivariate Autoregressive Index models; Time-varying parameter models; Reduced-rank regression; Bayesian Vector Autoregressive Models;
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model, Stefano Grassi and Paolo Santucci de Magistris,
from School of Economics, University of Kent
(2013)
Keywords: Time-Varying Parameters; On-line Kalman Filter; Simulation-based inference; Predictive Likelihood; Volatility Factors
Adaptive Importance Sampling for DSGE Models, Stefano Grassi, Marco Lorusso and Francesco Ravazzolo,
from Faculty of Economics and Management at the Free University of Bozen
(2021)
Keywords: Adaptive Importance Sampling; DSGE Model; Expectation-Maximization; Fiscal policy; Open-Economy Model.
A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models, Martyna Marczak, Tommaso Proietti and Stefano Grassi,
from Tor Vergata University, CEIS
(2016)
Keywords: robust filtering, augmented Kalman filter, structural time series model,additive outlier, innovation outlier
Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility, Giuseppe Buccheri, Stefano Grassi and Giorgio Vocalelli,
from Tor Vergata University, CEIS
(2021)
Keywords: Market microstructure; Illiquidity; Volatility estimation; Score-driven models
Identifying Economic Shocks in a Rare Disaster Environment, Luisa Corrado, Stefano Grassi and Aldo Paolillo,
from Tor Vergata University, CEIS
(2024)
Keywords: COVID-19, DSGE, Large shocks, Nonlinear, Non-Gaussian
The Transmission Mechanism of Quantitative Easing: A Markov-Switching FAVAR Approach, Luisa Corrado, Stefano Grassi and Enrico Minnella,
from Tor Vergata University, CEIS
(2021)
Keywords: Monetary Policy; Financial Crisis; Structural analysis; Non-linear FAVAR
The Time-Varying Multivariate Autoregressive Index Model, Gianluca Cubadda, Stefano Grassi and Barbara Guardabascio,
from Tor Vergata University, CEIS
(2024)
Keywords: Large Vector Autoregressive Models, Multivariate Autoregressive Index Models, Time-Varying Parameter Models, Bayesian Vector Autoregressive Models.
Forecasting Cryptocurrencies Financial Time Series, Leopoldo Catania, Stefano Grassi and Francesco Ravazzolo,
from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
(2018)
Keywords: Cryptocurrency, Bitcoin, Forecasting, Density Forecasting, VAR, Dynamic Model Averaging
Predicting the Volatility of Cryptocurrency Time Series, Leopoldo Catania, Stefano Grassi and Francesco Ravazzolo,
from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
(2018)
How to measure Corporate Social Responsibility, Marco Nicolosi, Stefano Grassi and Elena Stanghellini,
from Università di Perugia, Dipartimento Economia
(2011)
Keywords: Socially Responsible Investment, CSR ability, latent variable model, item response theory
Forecasting financial markets with semantic network analysis in the COVID‐19 crisis, Andrea Fronzetti Colladon, Stefano Grassi, Francesco Ravazzolo and Francesco Violante,
in Journal of Forecasting
(2023)
Large scale technical and economical assessment of wind energy potential with a GIS tool: Case study Iowa, Stefano Grassi, Ndaona Chokani and Reza S. Abhari,
in Energy Policy
(2012)
Keywords: GIS; Economic exploitable wind energy potential; Power purchase agreement (PPA);
On Finding the Community with Maximum Persistence Probability, Alessandro Avellone, Stefano Benati, Rosanna Grassi and Giorgio Rizzini,
from arXiv.org
(2022)
Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM, Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide and Herman van Dijk,
in Econometrics
(2016)
Keywords: Importance sampling; parallel computing; MitISEM; MCMC
Forecasting With the Standardized Self‐Perturbed Kalman Filter, Stefano Grassi, Nima Nonejad and Paolo Santucci De Magistris,
in Journal of Applied Econometrics
(2017)
Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach, Davide Delle Monache, Stefano Grassi and Paolo Santucci de Magistris,
from Department of Economics and Business Economics, Aarhus University
(2015)
Keywords: Long Memory, ARFIMA Processes, Level Shifts, State-Space methods, KPSS test
Does the ARFIMA really shift?, Davide Delle Monache, Stefano Grassi and Paolo Santucci de Magistris,
from Department of Economics and Business Economics, Aarhus University
(2017)
Keywords: ARFIMA Processes, Level Shifts, State-Space methods, KPSS test
Forecasting with the Standardized Self-Perturbed Kalman Filter, Stefano Grassi, Nima Nonejad and Paolo Santucci de Magistris,
from Department of Economics and Business Economics, Aarhus University
(2014)
Keywords: TVP models, Self-Perturbed Kalman Filter, Forecasting, Equity Premium, Realized Variance
Multi-Attribute Community Detection in International Trade Network, Rosanna Grassi, Paolo Bartesaghi, Stefano Benati and Gian Paolo Clemente,
in Networks and Spatial Economics
(2021)
Keywords: Networks, Community detection, Centrality measures, International Trade Network, CP-problem
Fundamental shock selection in DSGE models, Stefano Grassi, Miguel Leon-Ledesma and Filippo Ferroni,
from Society for Economic Dynamics
(2016)
Selecting structural innovations in DSGE models, Filippo Ferroni, Stefano Grassi and Miguel A. León‐Ledesma,
in Journal of Applied Econometrics
(2019)
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk,
from Department of Economics and Business Economics, Aarhus University
(2013)
Keywords: Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab
Global Money Supply and Energy and Non-Energy Commodity Prices: A MS-TV-VAR Approach, Stefano Grassi, Francesco Ravazzolo, Joaquin Vespignani and Giorgio Vocalelli,
from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
(2023)
Keywords: Global money supply, Energy and non-energy prices, Markov-Switching VAR
Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance, Roberto Casarin, Stefano Grassi, Francesco Ravazzollo and Herman van Dijk,
from Tinbergen Institute
(2019)
Keywords: Forecast combinations, Particle filters, Bayesian inference, State Space Models, Sequential Monte Carlo
On finding the community with maximum persistence probability, Alessandro Avellone, Stefano Benati, Rosanna Grassi and Giorgio Rizzini,
in 4OR
(2024)
Keywords: Persistence probability, Integer fractional programming, Community index, Heuristics
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk,
in Journal of Statistical Software
(2015)
A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk,
from Rimini Centre for Economic Analysis
(2020)
Keywords: Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk,
from Department of Economics, University of Venice "Ca' Foscari"
(2013)
Keywords: Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab.
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk,
from Tinbergen Institute
(2015)
Keywords: Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk,
from Tinbergen Institute
(2017)
Keywords: Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference, GPU Computing
Parallelization Experience with Four Canonical Econometric Models using ParMitISEM, Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide and Herman van Dijk,
from Tinbergen Institute
(2016)
Keywords: finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference
Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies, Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide and Herman van Dijk,
from Tinbergen Institute
(2016)
Keywords: Nonlinear, non-gaussian state space, filters, density combinations, bayesian modeling, equity momentum
A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk,
from Tinbergen Institute
(2021)
Keywords: Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference
A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk,
from Tinbergen Institute
(2022)
Keywords: Density Combination, Large Set of Predictive Densities, Dynamic Factor Models, Nonlinear state-space, Bayesian Inference
Forecasting with the Standardized Self-Perturbed Kalman Filter, Stefano Grassi, Nima Nonejad and Paolo Santucci de Magistris,
from School of Economics, University of Kent
(2014)
Keywords: TVP models; Self-Perturbed Kalman Filter; Dynamic Model Averaging; Dynamic Model Selection; Forecasting; Realized Variance
Fundamental shock selection in DSGE models, Filippo Ferroni, Stefano Grassi and Miguel Leon-Ledesma,
from School of Economics, University of Kent
(2015)
Keywords: Reduced rank covariance matrix; DSGE models; stochastic dimension search
Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach, Davide Delle Monache, Stefano Grassi and Paolo Santucci,
from School of Economics, University of Kent
(2015)
Keywords: Long Memory; ARFIMA Processes; Level Shifts; State-Space methods; KPSS test
Parallelization experience with four canonical econometric models using ParMitISEM, Nalan Baştürk, Stefano Grassi, L. Hoogerheide and Herman van Dijk,
from Maastricht University, Graduate School of Business and Economics (GSBE)
(2016)
Forecasting financial markets with semantic network analysis in the COVID—19 crisis, Andrea Fronzetti Colladon, Stefano Grassi, Francesco Ravazzolo and Francesco Violante,
from Center for Research in Economics and Statistics
(2021)
Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach, Stefano Grassi, Francesco Ravazzolo, Joaquin Vespignani and Giorgio Vocalelli,
from Faculty of Economics and Management at the Free University of Bozen
(2023)
Keywords: Global money supply, Energy and non-energy prices, Markov-Switching VAR.
The Macroeconomic Effects of Aerospace Shocks, Luisa Corrado, Stefano Grassi and Edgar Silgado-Gómez,
from Tor Vergata University, CEIS
(2020)
Keywords: Space Explorations,Narrative Events,Space Economy,VAR.
Energy Shocks, Pandemics and the Macroeconomy, Luisa Corrado, Stefano Grassi, Aldo Paolillo and Francesco Ravazzolo,
from Tor Vergata University, CEIS
(2024)
Dynamic predictive density combinations for large data sets in economics and finance, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk,
from Norges Bank
(2015)
Keywords: Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference, GPU Computing
Forecast density combinations with dynamic learning for large data sets in economics and finance, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk,
from Norges Bank
(2019)
Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach, Stefano Grassi, Francesco Ravazzolo, Joaquin Vespignani and Giorgio Vocalelli,
from University of Tasmania, Tasmanian School of Business and Economics
(2023)
Keywords: global money supply; energy and non-energy prices; Markov-Switching VAR
Selecting Primal Innovations in DSGE models, Filippo Ferroni, Stefano Grassi and Miguel Leon-Ledesma,
from Federal Reserve Bank of Chicago
(2017)
Keywords: Reduced rank covariance matrix; DSGE models; stochastic dimension search
The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference, Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide, Anne Opschoor and Herman van Dijk,
in Journal of Statistical Software
(2017)
The macroeconomic spillovers from space activity, Luisa Corrado, Stefano Grassi, Aldo Paolillo and Edgar Silgado-Gómez,
in Proceedings of the National Academy of Sciences
(2023)
Keywords: macroeconomy,space economy,growth
The COVID-19 pandemic and family business performance, Ivan Miroshnychenko, Giorgio Vocalelli, Alfredo Massis, Stefano Grassi and Francesco Ravazzolo,
in Small Business Economics
(2024)
Keywords: Family firms, Financial performance, COVID-19, Pandemic, Resilience
Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings, Federico Belotti, Alessandro Casini, Leopoldo Catania, Stefano Grassi and Pierre Perron,
from arXiv.org
(2021)
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings, Federico Belotti, Alessandro Casini, Leopoldo Catania, Stefano Grassi and Pierre Perron,
in Econometric Reviews
(2023)
A flexible predictive density combination for large financial data sets in regular and crisis periods, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman K. van Dijk,
in Journal of Econometrics
(2023)
Keywords: Density combination; Large set of predictive densities; Dynamic factor models; Nonlinear state-space; Bayesian inference;
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries, Stefano Grassi, Tommaso Proietti, Cecilia Frale, Massimiliano Marcellino and Gianluigi Mazzi,
in International Journal of Forecasting
(2015)
Keywords: Index of coincident indicators; Temporal disaggregation; Multivariate state space models; Dynamic factor models; Quarterly national accounts;
The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference, Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide, Anne Opschoor and Herman van Dijk,
from Tinbergen Institute
(2017)
Keywords: finite mixtures, Student-t densities, importance sampling, MCMC, Metropolis-Hastings algorithm, expectation maximization, Bayesian inference, R-software
Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies, Nalan Baştürk, Agnieszka Borowska, Stefano Grassi, Lennart (L.F.) Hoogerheide and Herman van Dijk,
from Tinbergen Institute
(2018)
Keywords: forecast combination; momentum strategy; filtering methods; Bayes estimates
A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman K. van Dijk,
from Tinbergen Institute
(2022)
Keywords: Density Combination, Large Set of Predictive Densities, Dynamic Factor Models, Nonlinear state-space, Bayesian Inference
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro, Stefano Grassi, Tommaso Proietti, Cecilia Frale, Massimiliano Marcellino and Gianluigi Mazzi,
from School of Economics, University of Kent
(2014)
Keywords: Index of coincident indicators; Temporal Disaggregation; Multivariate State Space Models; Dynamic factor Models; Quarterly National accounts
The R package MitISEM: efficient and robust simulation procedures for Bayesian inference, Nalan Baştürk, Stefano Grassi, L. Hoogerheide, A. Opschoor and Herman van Dijk,
from Maastricht University, Graduate School of Business and Economics (GSBE)
(2015)
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries, Cecilia Frale, Stefano Grassi, Massimiliano Marcellino, Gianluigi Mazzi and Tommaso Proietti,
from Tor Vergata University, CEIS
(2013)
Keywords: Index of coincident indicators,Temporal Disaggregation,Multivariate State Space Models,Dynamic factor Models,Quarterly National accounts
Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox, Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Harman K. van Dijk,
from Norges Bank
(2014)
Keywords: Density forecast combination, sequrntial Monte Carlo, parallel computing, GPU, MATLAB
The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference, Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide, Anne Opschoor and Herman van Dijk,
from Norges Bank
(2017)
Keywords: Finite mixtures, Student-t densities, importance sampling, MCMC, MetropolisHastings algorithm, expectation maximization, Bayesian inference, R software
Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies, Nalan Baştürk, Agnieszka Borowska, Stefano Grassi, Lennart Hoogerheide and Herman van Dijk,
from Norges Bank
(2018)
The Cadaveric Studies and the Definition of the Antero-Lateral Ligament of the Knee: From the Anatomical Features to the Patient-Specific Reconstruction Surgical Techniques, Giacomo Dal Fabbro, Piero Agostinone, Gian Andrea Lucidi, Nicola Pizza, Nicolò Maitan, Alberto Grassi and Stefano Zaffagnini,
in IJERPH
(2021)
Keywords: human anatomy; cadaver dissection; surgical technologies; sports and anatomy; history of medicine
The New Tasks for Chinese Trade Unions, Sergio Grassi,
in Journal of Current Chinese Affairs - China aktuell
(2008)
I consumi culturali dei giovani italiani nei rapporti Iard, Riccardo Grassi,
in Economia della Cultura
(2008)
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