9
H index
9
i10 index
225
Citations
Stefano Grassi : Citation Profile
Università degli Studi di Roma "Tor Vergata" | RESEARCH PRODUCTION: 14 Articles 42 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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11 years (2008 - 2019). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Stefano Grassi. | Is cited by:
| Cites to:
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Main data
Where Stefano Grassi has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Statistical Software | 2 |
| Journal of Applied Econometrics | 2 |
| Computational Statistics & Data Analysis | 2 |
Recent works citing Stefano Grassi (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper |
| 2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper |
| 2023 | sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings. (2023). Gibberd, Alex ; Chan, Tak-Shing ; Mosley, Luke. In: Papers. RePEc:arx:papers:2303.14125. Full description at Econpapers || Download paper |
| 2023 | On the unimportance of commitment for monetary policy. (2023). Paez-Farrell, Juan. In: Papers. RePEc:arx:papers:2308.08044. Full description at Econpapers || Download paper |
| 2023 | Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: Papers. RePEc:arx:papers:2310.17473. Full description at Econpapers || Download paper |
| 2023 | Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386. Full description at Econpapers || Download paper |
| 2023 | Risk and Uncertainty: The Role of Financial Frictions. (2023). Higgins, Charles. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003753. Full description at Econpapers || Download paper |
| 2023 | Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735. Full description at Econpapers || Download paper |
| 2023 | Bayesian forecast combination using time-varying features. (2023). Li, Feng ; Kang, Yanfei. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1287-1302. Full description at Econpapers || Download paper |
| 2023 | Macroeconomic forecasting in the euro area using predictive combinations of DSGE models. (2023). Čapek, Jan ; Reichel, Vlastimil ; Hauzenberger, Niko ; Cuaresma, Jesus Crespo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1820-1838. Full description at Econpapers || Download paper |
| 2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1. Full description at Econpapers || Download paper |
| 2023 | Fiscal targets. A guide to forecasters?. (2023). Pérez, Javier ; Perez Quiros, Gabriel ; Paredes, Joan. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:472-492. Full description at Econpapers || Download paper |
| 2023 | Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: SAFE Working Paper Series. RePEc:zbw:safewp:279783. Full description at Econpapers || Download paper |
Works by Stefano Grassi:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | Bayesian stochastic model specification search for seasonal and calendar effects In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Bayesian stochastic model specification search for seasonal and calendar effects.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2011 | When Long Memory Meets the Kalman Filter: A Comparative Study In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
| 2014 | When long memory meets the Kalman filter: A comparative study.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2011 | Characterizing economic trends by Bayesian stochastic model specification search In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Characterising economic trends by Bayesian stochastic model specification search.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2010 | Characterizing economic trends by Bayesian stochastic model specification search.(2010) In: EERI Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2010 | Characterizing economic trends by Bayesian stochastic model specifi cation search.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search.(2015) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2011 | Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | Heterogeneous Computing in Economics: A Simplified Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
| 2014 | Heterogeneous Computing in Economics: A Simplified Approach.(2014) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2013 | It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 20 |
| 2015 | Its all about volatility of volatility: Evidence from a two-factor stochastic volatility model.(2015) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2013 | Its all about volatility of volatility: evidence from a two-factor stochastic volatility model.(2013) In: Studies in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2013 | Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 22 |
| 2014 | Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox.(2014) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2015 | Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox.(2015) In: Journal of Statistical Software. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
| 2015 | Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2013 | Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2014 | Forecasting with the Standardized Self-Perturbed Kalman Filter In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2014 | Forecasting with the Standardized Self-Perturbed Kalman Filter.(2014) In: Studies in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2017 | Forecasting With the Standardized Self?Perturbed Kalman Filter.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2015 | Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach.(2015) In: Studies in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Does the ARFIMA really shift? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Dynamic predictive density combinations for large data sets in economics and finance In: Working Paper. [Full Text][Citation analysis] | paper | 13 |
| 2017 | Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2017 | The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference In: Working Paper. [Full Text][Citation analysis] | paper | 5 |
| 2017 | The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference.(2017) In: Journal of Statistical Software. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2017 | The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2015 | The R package MitISEM : efficient and robust simulation procedures for Bayesian inference.(2015) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2018 | Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies In: Working Paper. [Full Text][Citation analysis] | paper | 15 |
| 2018 | Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2018 | Predicting the Volatility of Cryptocurrency Time�Series In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2018 | Forecasting Cryptocurrencies Financial Time Series In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Has the Volatility of U.S. Inflation Changed and How? In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 16 |
| 2008 | Has the Volatility of U.S. Inflation Changed and How?.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2018 | A data-cleaning augmented Kalman filter for robust estimation of state space models In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2016 | A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models.(2016) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2015 | A data-cleaning augmented Kalman filter for robust estimation of state space models.(2015) In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2015 | EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 8 |
| 2013 | EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries.(2013) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2017 | Selecting Primal Innovations in DSGE models In: Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM In: Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2016 | Parallelization Experience with Four Canonical Econometric Models using ParMitISEM.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2016 | Parallelization experience with four canonical econometric models using ParMitISEM.(2016) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2011 | How to measure Corporate Social Responsibility In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Fundamental shock selection in DSGE models In: 2016 Meeting Papers. [Full Text][Citation analysis] | paper | 11 |
| 2015 | Fundamental shock selection in DSGE models.(2015) In: Studies in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2017 | Modelling Crypto-Currencies Financial Time-Series In: CEIS Research Paper. [Full Text][Citation analysis] | paper | 36 |
| 2014 | Item response models to measure corporate social responsibility In: Applied Financial Economics. [Full Text][Citation analysis] | article | 7 |
| 2016 | Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2014 | EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro In: Studies in Economics. [Full Text][Citation analysis] | paper | 6 |
| 2019 | Selecting structural innovations in DSGE models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 10 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team