Stefano Grassi : Citation Profile


Are you Stefano Grassi?

Università degli Studi di Roma "Tor Vergata"

8

H index

5

i10 index

160

Citations

RESEARCH PRODUCTION:

14

Articles

42

Papers

RESEARCH ACTIVITY:

   11 years (2008 - 2019). See details.
   Cites by year: 14
   Journals where Stefano Grassi has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 20 (11.11 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgr438
   Updated: 2021-03-01    RAS profile: 2019-03-24    
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Relations with other researchers


Works with:

van Dijk, Herman (10)

Baştürk, Nalan (9)

Ravazzolo, Francesco (3)

Leon-Ledesma, Miguel (3)

ferroni, filippo (3)

Proietti, Tommaso (2)

Marczak, Martyna (2)

Santucci de Magistris, Paolo (2)

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 (16)

Ravazzolo, Francesco (12)

Casarin, Roberto (8)

GUPTA, RANGAN (6)

Gil-Alana, Luis (5)

Walther, Thomas (4)

masciandaro, donato (4)

Pérez, Javier (4)

Aastveit, Knut Are (4)

Drechsel, Thomas (4)

Mertens, Elmar (3)

Cites to:

van Dijk, Herman (27)

Bollerslev, Tim (26)

Diebold, Francis (16)

Ravazzolo, Francesco (15)

Andersen, Torben (14)

Koop, Gary (14)

Watson, Mark (13)

Korobilis, Dimitris (12)

Reichlin, Lucrezia (10)

Proietti, Tommaso (10)

Casarin, Roberto (9)

Main data


Where Stefano Grassi has published?


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

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
Research Memorandum / Maastricht University, Graduate School of Business and Economics (GSBE)2
Working Papers / Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School2

Recent works citing Stefano Grassi (2021 and 2020)


YearTitle of citing document
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103.

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2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103.

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2020Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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2020The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach. (2020). Billio, Monica ; Mistry, Malcolm ; de Cian, Enrica ; DeCian, Enrica ; Casarin, Roberto ; Osuntuyi, Anthony. In: Papers. RePEc:arx:papers:2012.14693.

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2020Temporal disaggregation of overlapping noisy quarterly data: estimation of monthly output from UK value‐added tax data. (2020). Weale, Martin ; Labonne, Paul. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1211-1230.

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2020What drives fluctuations of labor wedge and business cycles? Evidence from Japan. (2020). Shirai, Daichi ; Nutahara, Kengo ; Inaba, Masaru . In: CIGS Working Paper Series. RePEc:cnn:wpaper:20-006e.

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2020On the inflation risks embedded in sovereign bond yields. (2020). Camba-Mendez, Gonzalo. In: Working Paper Series. RePEc:ecb:ecbwps:20202423.

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2020Sequential Bayesian inference for vector autoregressions with stochastic volatility. (2020). Zito, John ; Bognanni, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s016518892030021x.

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2020Partially censored posterior for robust and efficient risk evaluation. (2020). Hoogerheide, Lennart ; Borowska, Agnieszka ; van Dijk, Herman K ; Koopman, Siem Jan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:335-355.

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2020Variance swap payoffs, risk premia and extreme market conditions. (2020). Violante, Francesco ; Stentoft, Lars. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:106-124.

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2020On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin. (2020). Peiris, Shelton ; Chan, Jennifer ; Phillip, Andrew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:69-90.

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2020Managing volumetric risk of long-term power purchase agreements. (2020). Hansen, Rasmus Thrane ; Tranberg, BO ; Catania, Leopoldo. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303627.

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2020Profitability of momentum strategies in Latin America. (2020). Lizarzaburu, Edmundo ; Cardona, Emilio ; Berggrun, Luis. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301460.

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2020Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models. (2020). Ben Cheikh, Nidhaleddine ; Chevallier, Julien ; ben Zaied, Younes. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930162x.

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2021Keeping track of global trade in real time. (2021). Martinez-Martin, Jaime ; Rusticelli, Elena. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:224-236.

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2020Financial frictions and changing macroeconomic volatility. (2020). Higgins, Charles. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070419302629.

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2020Topological recognition of critical transitions in time series of cryptocurrencies. (2020). Shmalo, Yonah ; Roldan, Pablo ; Katz, Yuri ; Goldsmith, Daniel ; Gidea, Marian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:548:y:2020:i:c:s0378437119321363.

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2020Cryptocurrencies and stock market indices. Are they related?. (2020). Gil-Alana, Luis ; Romero, Maria Fatima ; Aikins, Emmanuel Joel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919303472.

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2020Agnostic structural disturbances (ASDs): detecting and reducing misspecification in empirical macroeconomic models. (2020). Drechsel, Thomas ; den Haan, Wouter J. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:103147.

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2020MAJA: A two-region DSGE model for Sweden and its main trading partners. (2020). Strid, Ingvar ; Corbo, Vesna. In: Working Paper Series. RePEc:hhs:rbnkwp:0391.

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2020Forecasting volatility in bitcoin market. (2020). Bekiros, Stelios ; Segnon, Mawuli. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00368-y.

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2020Using Genetic Algorithm and NARX Neural Network to Forecast Daily Bitcoin Price. (2020). Han, Jin-Bom ; Ri, Kum-Sun ; Jang, Myong-Hun ; Kim, Sun-Hak. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09928-5.

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2020Volatility of Cryptocurrencies. (2020). Cicvaria, Branimir Cvitko. In: Notitia - journal for economic, business and social issues. RePEc:noa:journl:y:2020:i:6:p:13-23.

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2020A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance. (2020). van Dijk, Herman ; Casarin, Roberto ; Ravazzolo, Francesco ; Grassi, Stefano. In: Working Paper series. RePEc:rim:rimwps:20-27.

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2020Market attention and Bitcoin price modeling: theory, estimation and option pricing. (2020). Patacca, Marco ; Figa-Talamanca, Gianna ; Cretarola, Alessandra. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00262-x.

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2020Analysis of the Dimensions of Corporate Social Responsibility: Study Applied to Co-operativism in Ecuador. (2020). Santa, Francisco Gonzalez ; Hidalgo-Fernandez, Amalia ; Mero, Nelly Moreira ; Alcivar, Iliana Loor. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:148:y:2020:i:2:d:10.1007_s11205-019-02213-w.

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2021A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance. (2021). Grassi, Stefano ; Casarin, Roberto ; van Dijk, Herman K ; Ravazzolo, Francesco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210016.

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2021The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach. (2021). Billio, Monica ; Mistry, Malcolm ; de Cian, Enrica ; DeCian, Enrica ; Casarin, Roberto ; Osuntuyi, Anthony. In: Working Papers. RePEc:ven:wpaper:2021:03.

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2021Labor Supply Shocks and the Beveridge Curve. Empirical Evidence from EU Enlargement. (2020). Schiman, Stefan. In: WIFO Working Papers. RePEc:wfo:wpaper:y:2020:i:606.

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2021Measuring the slowly evolving trend in US inflation with professional forecasts. (2021). Smith, Gregor W ; Nason, James M. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:1:p:1-17.

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2021Dynamics and synchronization of global equilibrium interest rates. (2021). Milivojevic, Lazar ; Beyer, Robert . In: IMFS Working Paper Series. RePEc:zbw:imfswp:146.

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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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This paper has another version. Agregated cites: 3
paper
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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article
2011Characterizing economic trends by Bayesian stochastic model specification search In: CREATES Research Papers.
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paper1
2014Characterising economic trends by Bayesian stochastic model specification search.(2014) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 1
article
2010Characterizing economic trends by Bayesian stochastic model specification search.(2010) In: EERI Research Paper Series.
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This paper has another version. Agregated cites: 1
paper
2010Characterizing economic trends by Bayesian stochastic model specifi cation search.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 1
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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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paper0
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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paper8
2014Heterogeneous Computing in Economics: A Simplified Approach.(2014) In: Computational Economics.
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article
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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article
2013Its all about volatility of volatility: evidence from a two-factor stochastic volatility model.(2013) In: Studies in Economics.
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paper
2013Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox In: CREATES Research Papers.
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paper12
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: 12
paper
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: 12
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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: 12
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2013Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers.
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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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2017Forecasting With the Standardized Self‐Perturbed Kalman Filter.(2017) In: Journal of Applied Econometrics.
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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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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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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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This paper has another version. Agregated cites: 14
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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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This paper has another version. Agregated cites: 4
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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: 8
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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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