6
H index
4
i10 index
153
Citations
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. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pbi325 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Daniele Bianchi. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Review of Financial Studies | 2 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 3 |
Working Paper Series / Sveriges Riksbank (Central Bank of Sweden) | 2 |
Year | Title of citing document | |
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2023 | Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662. Full description at Econpapers || Download paper | |
2023 | Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480. Full description at Econpapers || Download paper | |
2023 | Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902. Full description at Econpapers || Download paper | |
2023 | Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991. Full description at Econpapers || Download paper | |
2023 | BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Relative 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. Full description at Econpapers || Download paper | |
2023 | Macroeconomic Expectations and State-Dependent Factor Returns. (2023). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10720. Full description at Econpapers || Download paper | |
2023 | Global 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. Full description at Econpapers || Download paper | |
2023 | Performance 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. Full description at Econpapers || Download paper | |
2023 | Comparing 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. Full description at Econpapers || Download paper | |
2023 | Machine 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. Full description at Econpapers || Download paper | |
2023 | Deep 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. Full description at Econpapers || Download paper | |
2023 | Arbitrage 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. Full description at Econpapers || Download paper | |
2023 | International 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. Full description at Econpapers || Download paper | |
2023 | Targeting 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Stock 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. Full description at Econpapers || Download paper | |
2023 | Re-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. Full description at Econpapers || Download paper | |
2023 | Machine 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. Full description at Econpapers || Download paper | |
2023 | Have 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. Full description at Econpapers || Download paper | |
2023 | Multilayer 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. Full description at Econpapers || Download paper | |
2023 | Towards 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. Full description at Econpapers || Download paper | |
2023 | DEEP 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Indian 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. Full description at Econpapers || Download 2023 | 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.. Full description at Econpapers || Download paper |
2023 | Tail 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. Full description at Econpapers || Download paper | |
2023 | Deep 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. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2018 | Large-Scale Dynamic Predictive Regressions In: Papers. [Full Text][Citation analysis] | paper | 3 |
2023 | Variational inference for large Bayesian vector autoregressions In: Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | Smoothing volatility targeting In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 3 |
2013 | Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section In: Working Paper. [Full Text][Citation analysis] | paper | 10 |
2015 | Macroeconomic 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2017 | Macroeconomic 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
2013 | Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? In: Working Paper. [Full Text][Citation analysis] | paper | 4 |
2018 | Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2018) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2020 | On the Performance of Cryptocurrency Funds In: CERGE-EI Working Papers. [Full Text][Citation analysis] | paper | 7 |
2022 | On the performance of cryptocurrency funds.(2022) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
2021 | On the Performance of Cryptocurrency Funds.(2021) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2021 | A Factor Model for Cryptocurrency Returns In: CERGE-EI Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Trading Volume and Liquidity Provision in Cryptocurrency Markets In: CERGE-EI Working Papers. [Full Text][Citation analysis] | paper | 3 |
2022 | Trading volume and liquidity provision in cryptocurrency markets.(2022) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2022 | Trading volume and liquidity provision in cryptocurrency markets.(2022) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2021 | Adaptive expectations and commodity risk premiums In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
2019 | Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
2018 | Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
2014 | Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 7 |
2016 | The dynamics of expected returns: evidence from multi-scale time series modelling In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
2014 | Can 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. [Full Text][Citation analysis] | article | 5 |
2016 | Global pulses of organic carbon burial in deep-sea sediments during glacial maxima In: Nature Communications. [Full Text][Citation analysis] | article | 3 |
2021 | Bond Risk Premiums with Machine Learning In: Review of Financial Studies. [Full Text][Citation analysis] | article | 49 |
2021 | Corrigendum: Bond Risk Premiums with Machine Learning In: Review of Financial Studies. [Full Text][Citation analysis] | article | 29 |
2023 | The dynamics of returns predictability in cryptocurrency markets In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
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