Stefano Grassi : Citation Profile


Are you Stefano Grassi?

Università degli Studi di Roma "Tor Vergata"

7

H index

3

i10 index

114

Citations

RESEARCH PRODUCTION:

14

Articles

42

Papers

RESEARCH ACTIVITY:

   10 years (2008 - 2018). See details.
   Cites by year: 11
   Journals where Stefano Grassi has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 20 (14.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgr438
   Updated: 2019-10-15    RAS profile: 2019-03-24    
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Relations with other researchers


Works with:

van Dijk, Herman (14)

Baştürk, Nalan (10)

Ravazzolo, Francesco (9)

Santucci de Magistris, Paolo (8)

Proietti, Tommaso (8)

Casarin, Roberto (6)

Leon-Ledesma, Miguel (4)

ferroni, filippo (4)

Marczak, Martyna (3)

Delle Monache, Davide (3)

Marcellino, Massimiliano (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stefano Grassi.

Is cited by:

van Dijk, Herman (11)

GUPTA, RANGAN (6)

Aastveit, Knut Are (4)

masciandaro, donato (4)

Ravazzolo, Francesco (4)

Pérez, Javier (4)

Walther, Thomas (3)

Hammoudeh, Shawkat (3)

Plastun, Alex (3)

Cillo, Alessandra (3)

Drechsel, Thomas (3)

Cites to:

Bollerslev, Tim (26)

van Dijk, Herman (25)

Diebold, Francis (17)

Andersen, Torben (14)

Ravazzolo, Francesco (14)

Koop, Gary (14)

Watson, Mark (13)

Korobilis, Dimitris (12)

Reichlin, Lucrezia (10)

Proietti, Tommaso (10)

Forni, Mario (8)

Main data


Where Stefano Grassi has published?


Journals with more than one article published# docs
Journal of Statistical Software2
Journal of Applied Econometrics2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute6
CEIS Research Paper / Tor Vergata University, CEIS3
MPRA Paper / University Library of Munich, Germany3
Working Papers / Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School2
Research Memorandum / Maastricht University, Graduate School of Business and Economics (GSBE)2

Recent works citing Stefano Grassi (2019 and 2018)


YearTitle of citing document
2017Sparse Bayesian time-varying covariance estimation in many dimensions. (2017). Kastner, Gregor. In: Papers. RePEc:arx:papers:1608.08468.

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2018Topological recognition of critical transitions in time series of cryptocurrencies. (2018). Gidea, Marian ; Shmalo, Yonah ; Roldan, Pablo ; Katz, Yuri ; Goldsmith, Daniel. In: Papers. RePEc:arx:papers:1809.00695.

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2019Approximate State Space Modelling of Unobserved Fractional Components. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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2017BEYOND BITCOIN AND CASH: DO WE LIKE A CENTRAL BANK DIGITAL CURRENCY? A FINANCIAL AND POLITICAL ECONOMICS APPROACH. (2017). masciandaro, donato ; Cillo, Alessandra ; Caselli, Stefano ; Borgonovo, Emanuele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1765.

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2018BETWEEN CASH, DEPOSIT AND BITCOIN: WOULD WE LIKE A CENTRAL BANK DIGITAL CURRENCY? MONEY DEMAND AND EXPERIMENTAL ECONOMICS. (2018). masciandaro, donato ; Cillo, Alessandra ; Caselli, Stefano ; Borgonovo, Emanuele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1875.

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2018Cryptocurrencies, central bank digital cash, traditional money: does privacy matter?. (2018). Cillo, Alessandra ; Rabitti, Giovanno ; Masciandaro, Donato ; Caselli, Stefano ; Borgonovo, Emanuele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1895.

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2018Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data. (2018). Urtasun, Alberto ; Sanchez Fuentes, Antonio Jesus ; Pérez, Javier ; Perez, Javier J ; Gil, Maria. In: Working Papers. RePEc:bde:wpaper:1842.

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2018Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility. (2018). Nason, James ; Mertens, Elmar. In: BIS Working Papers. RePEc:bis:biswps:713.

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2018Central Bank Digital Cash and Cryptocurrencies: Insights from a New Baumol–Friedman Demand for Money. (2018). masciandaro, donato. In: Australian Economic Review. RePEc:bla:ausecr:v:51:y:2018:i:4:p:540-550.

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2018Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts. (2018). Bisio, Laura ; Moauro, Filippo . In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:4:p:471-494.

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2017Persistence in the Cryptocurrency Market. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6811.

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2018Agnostic Structural Disturbances (ASDs): Detecting and Reducing Misspecification in Empirical Macroeconomic Models. (2018). Drechsel, Thomas ; Denhaan, Wouter ; den Haan, Wouter J. In: Discussion Papers. RePEc:cfm:wpaper:1826.

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2018Agnostic Structural Disturbances (ASDs): Detecting and Reducing Misspecification in Empirical Macroeconomic Models. (2018). Drechsel, Thomas ; den Haan, Wouter . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13145.

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2019Forecasting Volatility in Cryptocurrency Markets. (2019). Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7919.

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2017Persistence in the Cryptocurrency Market. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1703.

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2018Correlated shocks in estimated DSGE models. (2018). Wesselbaum, Dennis ; Falter, Alexander. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00660.

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2019Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks. (2019). Darn, Olivier ; Charles, Amlie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00117.

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2018Asymmetric volatility in cryptocurrencies. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:148-151.

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2017Data revisions and DSGE models. (2017). Galvão, Ana ; Galvo, Ana Beatriz. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:215-232.

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2019Dynamic Bayesian predictive synthesis in time series forecasting. (2019). West, Mike ; McAlinn, Kenichiro. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:155-169.

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2019Forecast density combinations of dynamic models and data driven portfolio strategies. (2019). Hoogerheide, L ; Grassi, S ; Borowska, A ; Baturk, N ; van Dijk, H K. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:170-186.

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2019Sequentially adaptive Bayesian learning algorithms for inference and optimization. (2019). Durham, Garland ; Geweke, John. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:4-25.

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2019Importance sampling from posterior distributions using copula-like approximations. (2019). Tsionas, Mike ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:45-57.

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2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

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2019Conditional tail-risk in cryptocurrency markets. (2019). Borri, Nicola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:1-19.

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2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:105-116.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2019Forecasting cryptocurrencies under model and parameter instability. (2019). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:485-501.

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2019VIX derivatives: Valuation models and empirical evidence. (2019). Yu, Min-Teh ; Wang, Yaw-Huei ; Shih, Pai-Ta ; Lo, Chien-Ling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:1-21.

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2019Gold prices and the cryptocurrencies: Evidence of convergence and cointegration. (2019). Gil-Alana, Luis A ; Adebola, Solarin Sakiru ; Madigu, Godfrey . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:1227-1236.

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2018Agnostic structural disturbances (ASDs): detecting and reducing misspecification in empirical macroeconomic models. (2018). Drechsel, Thomas ; den Haan, Wouter J. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90384.

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2019Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?. (2019). Grassi, Stefano ; Santabarbara, Luca ; Muglia, Camilla. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:93-:d:235917.

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2017A Toolkit for Value Function Iteration. (2017). Kirkby, Robert. In: Computational Economics. RePEc:kap:compec:v:49:y:2017:i:1:d:10.1007_s10614-015-9544-1.

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2019Bitcoin fluctuations and the frequency of price overreactions. (2019). Plastun, Alex ; Oliinyk, Viktor ; Caporale, Guglielmo Maria. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:2:d:10.1007_s11408-019-00332-5.

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2017Temporal disaggregation by dynamic regressions: recent developments in Italian quarterly national accounts. (2017). Moauro, Filippo ; Bisio, Laura. In: MPRA Paper. RePEc:pra:mprapa:80211.

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2017Dealing with Misspecification in DSGE Models: A Survey. (2017). Paccagnini, Alessia. In: MPRA Paper. RePEc:pra:mprapa:82914.

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2018Bottom-up or direct? Forecasting German GDP in a data-rich environment. (2018). Scheufele, Rolf ; Heinisch, Katja. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:2:d:10.1007_s00181-016-1218-x.

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2018Can oil prices help predict US stock market returns? Evidence using a dynamic model averaging (DMA) approach. (2018). Naser, Hanan ; Alaali, Fatema. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1323-5.

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2018The Evolution of Forecast Density Combinations in Economics. (2018). Mitchell, James ; van Dijk, Herman ; Ravazzolo, Francesco ; Aastveit, Knut Are. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180069.

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2019Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance. (2019). van Dijk, Herman ; Ravazzollo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190025.

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2019Partially Censored Posterior for Robust and Efficient Risk Evaluation. (2019). van Dijk, Herman ; Koopman, Siem Jan ; Hoogerheide, Lennart ; Borowska, Agnieszka. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190057.

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2017On the optimal design of place-based policies: A structural evaluation of EU regional transfers. (2017). von Ehrlich, Maximilian ; Mennuni, Alessandro . In: Diskussionsschriften. RePEc:ube:dpvwib:dp1702.

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2018Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:12.

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2018Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting. (2018). Walther, Thomas ; Klein, Tony. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:15.

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2019The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity. (2019). Mendieta-Muñoz, Ivan ; Li, Mengheng ; Mendieta-Munoz, Ivan. In: Working Paper Series, Department of Economics, University of Utah. RePEc:uta:papers:2019_06.

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2019The multivariate simultaneous unobserved components model and identification via heteroskedasticity. (2019). Li, Mengheng ; Mendieta-Munoz, Ivan. In: Working Paper Series. RePEc:uts:ecowps:2019/08.

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2018A scoring rule for factor and autoregressive models under misspecification. (2018). Casarin, Roberto ; Sartore, Domenico ; Ravazzolo, Francesco ; Corradin, Fausto. In: Working Papers. RePEc:ven:wpaper:2018:18.

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2018Short-term forecasting economic activity in Germany: A supply and demand side system of bridge equations. (2018). Pinkwart, Nicolas . In: Discussion Papers. RePEc:zbw:bubdps:362018.

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Works by Stefano Grassi:


YearTitleTypeCited
2011Bayesian stochastic model specification search for seasonal and calendar effects In: CREATES Research Papers.
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2010Bayesian stochastic model specification search for seasonal and calendar effects.(2010) In: MPRA Paper.
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2011When Long Memory Meets the Kalman Filter: A Comparative Study In: CREATES Research Papers.
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2014When long memory meets the Kalman filter: A comparative study.(2014) In: Computational Statistics & Data Analysis.
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2011Characterizing economic trends by Bayesian stochastic model specification search In: CREATES Research Papers.
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2014Characterising economic trends by Bayesian stochastic model specification search.(2014) In: Computational Statistics & Data Analysis.
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2010Characterizing economic trends by Bayesian stochastic model specification search.(2010) In: EERI Research Paper Series.
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2010Characterizing economic trends by Bayesian stochastic model specifi cation search.(2010) In: MPRA Paper.
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2011Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search In: CREATES Research Papers.
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2015Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search.(2015) In: Empirical Economics.
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2011Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search.(2011) In: Working Papers.
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2012Heterogeneous Computing in Economics: A Simplified Approach In: CREATES Research Papers.
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2014Heterogeneous Computing in Economics: A Simplified Approach.(2014) In: Computational Economics.
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This paper has another version. Agregated cites: 7
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2013It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model In: CREATES Research Papers.
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2015Its all about volatility of volatility: Evidence from a two-factor stochastic volatility model.(2015) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 14
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2013Its all about volatility of volatility: evidence from a two-factor stochastic volatility model.(2013) In: Studies in Economics.
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2013Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox In: CREATES Research Papers.
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2014Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox.(2014) In: Working Paper.
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This paper has another version. Agregated cites: 9
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2015Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox.(2015) In: Journal of Statistical Software.
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This paper has another version. Agregated cites: 9
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2015Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 9
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2013Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 9
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2014Forecasting with the Standardized Self-Perturbed Kalman Filter In: CREATES Research Papers.
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2014Forecasting with the Standardized Self-Perturbed Kalman Filter.(2014) In: Studies in Economics.
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This paper has another version. Agregated cites: 3
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2017Forecasting With the Standardized Self‐Perturbed Kalman Filter.(2017) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 3
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2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach In: CREATES Research Papers.
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2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach.(2015) In: Studies in Economics.
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2017Does the ARFIMA really shift? In: CREATES Research Papers.
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2015Dynamic predictive density combinations for large data sets in economics and finance In: Working Paper.
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2017Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance.(2017) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 7
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2017The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference In: Working Paper.
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2017The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference.(2017) In: Journal of Statistical Software.
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2017The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference.(2017) In: Tinbergen Institute Discussion Papers.
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2015The R package MitISEM : efficient and robust simulation procedures for Bayesian inference.(2015) In: Research Memorandum.
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2018Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies In: Working Paper.
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2018Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies.(2018) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 3
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2018Predicting the Volatility of Cryptocurrency Time–Series In: Working Papers.
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2018Forecasting Cryptocurrencies Financial Time Series In: Working Papers.
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2010Has the Volatility of U.S. Inflation Changed and How? In: Journal of Time Series Econometrics.
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2008Has the Volatility of U.S. Inflation Changed and How?.(2008) In: MPRA Paper.
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2018A data-cleaning augmented Kalman filter for robust estimation of state space models In: Econometrics and Statistics.
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2016A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models.(2016) In: CEIS Research Paper.
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2015A data-cleaning augmented Kalman filter for robust estimation of state space models.(2015) In: Hohenheim Discussion Papers in Business, Economics and Social Sciences.
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2015EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries In: International Journal of Forecasting.
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2013EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries.(2013) In: CEIS Research Paper.
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2017Selecting Primal Innovations in DSGE models In: Working Paper Series.
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2016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM In: Econometrics.
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2016Parallelization Experience with Four Canonical Econometric Models using ParMitISEM.(2016) In: Tinbergen Institute Discussion Papers.
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2016Parallelization experience with four canonical econometric models using ParMitISEM.(2016) In: Research Memorandum.
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2011How to measure Corporate Social Responsibility In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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2014Item response models to measure corporate social responsibility.(2014) In: Applied Financial Economics.
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2016Fundamental shock selection in DSGE models In: 2016 Meeting Papers.
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2015Fundamental shock selection in DSGE models.(2015) In: Studies in Economics.
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This paper has another version. Agregated cites: 7
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2017Modelling Crypto-Currencies Financial Time-Series In: CEIS Research Paper.
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2016Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies In: Tinbergen Institute Discussion Papers.
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2014EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro In: Studies in Economics.
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2019Selecting structural innovations in DSGE models In: Journal of Applied Econometrics.
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