Daniele Bianchi : Citation Profile


Are you Daniele Bianchi?

Queen Mary University of London

6

H index

4

i10 index

153

Citations

RESEARCH PRODUCTION:

12

Articles

14

Papers

RESEARCH ACTIVITY:

   10 years (2013 - 2023). See details.
   Cites by year: 15
   Journals where Daniele Bianchi has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 11 (6.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbi325
   Updated: 2024-01-16    RAS profile: 2023-12-06    
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Relations with other researchers


Works with:

Guidolin, Massimo (3)

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

Is cited by:

Casarin, Roberto (10)

Billio, Monica (9)

Conlon, Thomas (6)

Guidolin, Massimo (6)

cotter, john (6)

Santos, Andre (4)

Ravazzolo, Francesco (4)

Ahelegbey, Daniel Felix (4)

Goutte, Stéphane (4)

Chan, Joshua (3)

GUPTA, RANGAN (3)

Cites to:

Campbell, John (23)

Guidolin, Massimo (22)

Koop, Gary (16)

Stambaugh, Robert (14)

Pastor, Lubos (9)

French, Kenneth (9)

Timmermann, Allan (9)

Viceira, Luis (8)

van Binsbergen, Jules (8)

Geweke, John (8)

Ravazzolo, Francesco (8)

Main data


Where Daniele Bianchi has published?


Journals with more than one article published# docs
Review of Financial Studies2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org3
Working Paper Series / Sveriges Riksbank (Central Bank of Sweden)2

Recent works citing Daniele Bianchi (2024 and 2023)


YearTitle of citing document
2023Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662.

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2023Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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2023Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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2023Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter. (2023). Rosenbaum, Mathieu ; Tang, Siu Hin ; Zhou, Chao. In: Papers. RePEc:arx:papers:2311.04727.

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2023Relative Valuation with Machine Learning. (2023). Lu, Helen ; Geertsema, Paul. In: Journal of Accounting Research. RePEc:bla:joares:v:61:y:2023:i:1:p:329-376.

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2023Macroeconomic Expectations and State-Dependent Factor Returns. (2023). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10720.

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2023Global and local drivers of Bitcoin trading vis-à-vis fiat currencies. (2023). Habib, Maurizio Michael ; di Casola, Paola ; Tercero-Lucas, David. In: Working Paper Series. RePEc:ecb:ecbwps:20232868.

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2023Performance measurement of crypto funds. (2023). Momtaz, Paul P ; Drobetz, Wolfgang ; Dombrowski, Niclas. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s016517652300143x.

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2023Comparing stochastic volatility specifications for large Bayesian VARs. (2023). Chan, Joshua. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446.

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2023Machine learning and the cross-section of emerging market stock returns. (2023). Kalsbach, Tobias ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000274.

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2023Deep learning and technical analysis in cryptocurrency market. (2023). Goutte, Stéphane ; von Mettenheim, Hans-Jorg ; Liu, Fei ; Le, Hoang-Viet. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001824.

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2023Arbitrage in the market for cryptocurrencies. (2023). Zeisberger, Stefan ; Pelster, Matthias ; Crepelliere, Tommy. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000150.

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2023International stock volatility predictability: New evidence from uncertainties. (2023). Wu, Lan ; Wang, Tianyang ; Ma, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000495.

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2023Targeting predictors in random forest regression. (2023). Nielsen, Mikkel Slot ; Muhlbach, Nicolaj Sondergaard ; Christensen, Bent Jesper ; Borup, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:841-868.

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2023The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223.

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2023Stock market volatility prediction: Evidence from a new bagging model. (2023). Huang, Dengshi ; Xu, Weiju ; Bu, Jinfeng ; Luo, Qin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:445-456.

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2023Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094.

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2023Machine learning sentiment analysis, COVID-19 news and stock market reactions. (2023). Pelizzon, Loriana ; Nofer, Michael ; Hinz, Oliver ; Costola, Michele. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000077.

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2023Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?. (2023). Kurosaki, Tetsuo ; Sakurai, Yuji. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000417.

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2023Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000703.

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2023Towards a macroprudential regulatory framework for mutual funds?. (2023). Hasse, Jean-Baptiste ; Candelon, Bertrand ; Panopoulou, Ekaterini ; Argyropoulos, Christos. In: Post-Print. RePEc:hal:journl:hal-04103373.

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2023DEEP LEARNING AND TECHNICAL ANALYSIS IN CRYPTOCURRENCY MARKET. (2023). Goutte, Stéphane ; Mettenheim, Von Hans-Jorg ; Liu, Fei ; Le, Viet Hoang. In: Working Papers. RePEc:hal:wpaper:halshs-03917333.

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2023A Welfare Economic Approach to Planetary Boundaries. (2023). Johan, Rockstrom ; Ottmar, Edenhofer ; Matthias, Kalkuhl ; Michael, Sureth. In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). RePEc:jns:jbstat:v:243:y:2023:i:5:p:477-542:n:3.

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2023The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis. (2023). Guidolin, Massimo ; Petrova, Milena T ; Pedio, Manuela. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:1:d:10.1007_s11146-020-09769-2.

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2023Indian Ocean glacial deoxygenation and respired carbon accumulation during mid-late Quaternary ice ages. (2023). Deckker, Patrick ; Harrison, Richard J ; Roberts, Andrew P ; Stuut, Jan-Berend W ; Zhao, Xiang ; Leng, Melanie ; Heslop, David ; Berndt, Thomas A ; Wang, Shishun ; Chang, Liao ; Huang, Baoqi ; Zeng, Fan ; Pei, Zhaowen ; Xue, Pengfei. In: Nature Communications. RePEc:nat:natcom:v:14:y:2023:i:1:d:10.1038_s41467-023-40452-1.

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Decomposing Long Bond Returns: A Decentralized Theory*. (2023). Wu, Liuren ; Carr, Peter. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:3:p:997-1026..

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2023Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets. (2023). Vo, Xuan Vinh ; Ko, Hee-Un ; Gubareva, Mariya ; Mensi, Walid ; Kang, Sang Hoon. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00498-y.

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2023Deep distributional time series models and the probabilistic forecasting of intraday electricity prices. (2023). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:493-511.

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2023.

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Works by Daniele Bianchi:


YearTitleTypeCited
2018Large-Scale Dynamic Predictive Regressions In: Papers.
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paper3
2023Variational inference for large Bayesian vector autoregressions In: Papers.
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paper1
2022Smoothing volatility targeting In: Papers.
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paper0
2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets In: BAFFI CAREFIN Working Papers.
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paper3
2013Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section In: Working Paper.
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paper10
2015Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 10
paper
2017Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2017) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 10
article
2013Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? In: Working Paper.
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paper4
2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2018) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 4
article
2020On the Performance of Cryptocurrency Funds In: CERGE-EI Working Papers.
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paper7
2022On the performance of cryptocurrency funds.(2022) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 7
article
2021On the Performance of Cryptocurrency Funds.(2021) In: Working Paper Series.
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This paper has nother version. Agregated cites: 7
paper
2021A Factor Model for Cryptocurrency Returns In: CERGE-EI Working Papers.
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paper0
2022Trading Volume and Liquidity Provision in Cryptocurrency Markets In: CERGE-EI Working Papers.
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paper3
2022Trading volume and liquidity provision in cryptocurrency markets.(2022) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 3
article
2022Trading volume and liquidity provision in cryptocurrency markets.(2022) In: Working Paper Series.
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This paper has nother version. Agregated cites: 3
paper
2021Adaptive expectations and commodity risk premiums In: Journal of Economic Dynamics and Control.
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article2
2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
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article26
2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
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This paper has nother version. Agregated cites: 26
paper
2014Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets In: European Journal of Operational Research.
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article7
2016The dynamics of expected returns: evidence from multi-scale time series modelling In: LSE Research Online Documents on Economics.
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paper0
2014Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios In: The Journal of Real Estate Finance and Economics.
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article5
2016Global pulses of organic carbon burial in deep-sea sediments during glacial maxima In: Nature Communications.
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article3
2021Bond Risk Premiums with Machine Learning In: Review of Financial Studies.
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article49
2021Corrigendum: Bond Risk Premiums with Machine Learning In: Review of Financial Studies.
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article29
2023The dynamics of returns predictability in cryptocurrency markets In: The European Journal of Finance.
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article1

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