Daniele Bianchi : Citation Profile

Queen Mary University of London

7

H index

5

i10 index

226

Citations

RESEARCH PRODUCTION:

12

Articles

14

Papers

RESEARCH ACTIVITY:

   10 years (2013 - 2023). See details.
   Cites by year: 22
   Journals where Daniele Bianchi has often published
   Relations with other researchers
   Recent citing documents: 86.    Total self citations: 11 (4.64 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbi325
   Updated: 2025-12-27    RAS profile: 2023-12-06    
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Relations with other researchers

Works with:

Guidolin, Massimo (2)

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 (13)

Billio, Monica (11)

Guidolin, Massimo (6)

cotter, john (6)

Conlon, Thomas (6)

Ahelegbey, Daniel Felix (5)

Baruník, Jozef (4)

Urquhart, Andrew (4)

Ravazzolo, Francesco (4)

De Pace, Pierangelo (3)

Faria, Gonçalo (3)

Cites to:

Campbell, John (23)

Guidolin, Massimo (22)

Koop, Gary (16)

Stambaugh, Robert (14)

Timmermann, Allan (9)

Pastor, Lubos (9)

French, Kenneth (9)

Geweke, John (8)

Viceira, Luis (8)

van Binsbergen, Jules (8)

Ravazzolo, Francesco (8)

Main data

Where Daniele Bianchi has published?

Journals with more than one article published# docs
The 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 (2025 and 2024)

YearTitle of citing document
2025Exploring Tail Risk Transmission between Volatility Indices and Cryptocurrencies: Evidence from Quantile Connectedness. (2025). Imane, Ennadifi ; Ghizlane, Kadil. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:29:y:2025:i:3:p:119-157.

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2024Adversarial Estimation of Riesz Representers. (2024). Newey, Whitney ; Chernozhukov, Victor ; Syrgkanis, Vasilis ; Singh, Rahul. In: Papers. RePEc:arx:papers:2101.00009.

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2024Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2024). Zohren, Stefan ; Poon, Ser-Huang ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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2025Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2025). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902.

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2025Empirical Asset Pricing via Ensemble Gaussian Process Regression. (2025). Pasricha, Puneet ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2212.01048.

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2024Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter. (2024). Tang, Siu Hin ; Rosenbaum, Mathieu ; Zhou, Chao. In: Papers. RePEc:arx:papers:2311.04727.

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2025Predicting the distributions of stock returns around the globe in the era of big data and learning. (2024). Baruník, Jozef ; Tobek, Ondrej ; Hronec, Martin. In: Papers. RePEc:arx:papers:2408.07497.

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2025Multi-Task Dynamic Pricing in Credit Market with Contextual Information. (2024). Xu, Renyuan ; Ji, Jingwei ; Javanmard, Adel. In: Papers. RePEc:arx:papers:2410.14839.

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2024Hidden Markov graphical models with state-dependent generalized hyperbolic distributions. (2024). Petrella, Lea ; Merlo, Luca ; Foroni, Beatrice. In: Papers. RePEc:arx:papers:2412.03668.

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2025Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study. (2024). Yu, Xun ; Jia, Yanwei ; Huang, Yilie. In: Papers. RePEc:arx:papers:2412.16175.

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2025Time-Varying Bidirectional Causal Relationships Between Transaction Fees and Economic Activity of Subsystems Utilizing the Ethereum Blockchain Network. (2025). Saggu, Aman ; Ante, Lennart. In: Papers. RePEc:arx:papers:2501.05299.

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2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2025Quantifying Cryptocurrency Unpredictability: A Comprehensive Study of Complexity and Forecasting. (2025). Roveri, Manuel ; Pittorino, Fabrizio ; Puoti, Francesco. In: Papers. RePEc:arx:papers:2502.09079.

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2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

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2025On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution. (2025). Cable, Travis ; Mani, Amir ; Qi, Wei ; Sotiropoulos, Georgios ; Xiong, Yiyuan. In: Papers. RePEc:arx:papers:2504.06289.

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2025Modeling Regime Structure and Informational Drivers of Stock Market Volatility via the Financial Chaos Index. (2025). Ataei, Masoud. In: Papers. RePEc:arx:papers:2504.18958.

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2025High-Dimensional Learning in Finance. (2025). Fallahgoul, Hasan. In: Papers. RePEc:arx:papers:2506.03780.

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2025Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy. (2025). Cai, Jinbo ; Wang, Wenjie ; Li, Wenze. In: Papers. RePEc:arx:papers:2507.07477.

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2025Predicting Credit Spreads and Ratings with Machine Learning: The Role of Non-Financial Data. (2025). Wu, Yanran ; Zhang, Xinlei ; Yang, Qianxin ; Xu, Quanyi. In: Papers. RePEc:arx:papers:2509.19042.

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2025Cryptocurrency as an Investable Asset Class: Coming of Age. (2025). Borri, Nicola ; Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2510.14435.

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2024Asset Pricing and Machine Learning: A critical review. (2024). Bagnara, Matteo. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:27-56.

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2024Deciphering the U.S. metropolitan house price dynamics. (2024). Plakandaras, Vasilios ; Pragidis, Ioannis ; Karypidis, Paris. In: Real Estate Economics. RePEc:bla:reesec:v:52:y:2024:i:2:p:434-485.

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2024THE FACTORS AFFECTING CORPORATE BOND SPREADS. (2024). Michelson, Noam ; Vieder, Haim ; Graham-Rozen, Meital. In: Israel Economic Review. RePEc:boi:isrerv:v:22:y:2024:i:1:p:1-46.

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2024Machine Learning for Continuous-Time Finance. (2024). Duarte, Victor ; Silva, Dejanir H. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10909.

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2025Fear of missing out and cryptocurrency miners: Evidence from Dogecoin and Litecoin. (2025). Ryu, Doojin ; Lee, Geul. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000401.

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2025News-driven peer co-movement in crypto markets. (2025). Zheng, H ; Schwenkler, G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:93:y:2025:i:c:s0929119925000409.

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2025Long-term forecasting in asset pricing: Machine learning models’ sensitivity to macroeconomic shifts and firm-specific factors. (2025). Zhang, Yang ; Qian, Yihe. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000634.

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2024Intricacy of cryptocurrency returns. (2024). Nagl, Maximilian. In: Economics Letters. RePEc:eee:ecolet:v:239:y:2024:i:c:s0165176524002295.

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2024Asset pricing with neural networks: Significance tests. (2024). Lin, Xin ; Franstianto, Vincentius ; Fallahgoul, Hasan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002907.

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2024Predictive ability tests with possibly overlapping models. (2024). Corradi, Valentina ; Fosten, Jack ; Gutknecht, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000629.

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2024COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2024). Casarin, Roberto ; Billio, Monica ; Costola, Michele ; Iacopini, Matteo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:113-131.

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2024Modeling Turning Points in the Global Equity Market. (2024). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2025An adoption model of cryptocurrencies. (2025). Urquhart, Andrew ; Sakkas, Athanasios ; Rzayev, Khaladdin. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:1:p:253-266.

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2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2025Is machine learning a necessity? A regression-based approach for stock return prediction. (2025). Zhao, Junyi ; Bo, Albert ; Jiang, Shan ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000209.

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2024Forecasting oil futures returns with news. (2024). Wang, Yudong ; Pan, Zhiyuan ; Huang, Juan ; Zhong, Hao. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003141.

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2024Risk premium, price of risk and expected volatility in the oil market: Evidence from survey data. (2024). Uctum, Remzi ; Prat, Georges. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006388.

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2025Does Natural Gas Matter for Financial Stability? A SVAR-X Analysis on the European Financial System and Financial Intermediaries. (2025). Marzioni, Stefano ; Spallone, Marco ; Paccione, Cosimo ; Mur, Pina. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002397.

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2025Commodity futures option valuation – An ensemble model. (2025). Yang, AO ; Zong, LU ; Wen, Conghua ; Zhai, Jia ; Cao, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004594.

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2024Is downside risk priced in cryptocurrency market?. (2024). Dobrynskaya, Victoria. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004635.

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2024Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies. (2024). Soski, Tomasz ; Kara, Marta ; Mercik, Aleksander. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000024.

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2024Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Cryptocurrency anomalies and economic constraints. (2024). Liedtke, Gerrit ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001509.

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2024Determinants of corporate credit ratings: Does ESG matter?. (2024). Yew, Rand Kwong ; Michalski, Lachlan. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001601.

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2024Machine learning and the cross-section of cryptocurrency returns. (2024). Shahzad, Syed Jawad Hussain ; Będowska-Sójka, Barbara ; Hussain, Syed Jawad ; Cakici, Nusret ; Bdowska-Sojka, Barbara ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001765.

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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Hansen, Erwin ; Diaz, Juan D ; Cabrera, Gabriel. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

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2024Analyzing credit spread changes using explainable artificial intelligence. (2024). Zagst, Rudi ; Heger, Julia ; Min, Aleksey. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002473.

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2024Presenting a new deep learning-based method with the incorporation of error effects to predict certain cryptocurrencies. (2024). Pourmansouri, Rezvan ; Ahmadpour, Bahador ; Fallah, Mir Feiz. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924003983.

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2024What drives stock returns across countries? Insights from machine learning models. (2024). Zaremba, Adam ; Cakici, Nusret. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005015.

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2024Macro-Driven Stock Market Volatility Prediction: Insights from a New Hybrid Machine Learning Approach. (2024). Lin, YU ; Xu, Jin ; Lu, Xinjie ; Zeng, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006434.

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2025Cross-sectional interactions in cryptocurrency returns. (2025). Karim, Sitara ; Bdowska-Sjka, Barbara ; Mercik, Aleksander ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007415.

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2024Enhancing digital cryptocurrency trading price prediction with an attention-based convolutional and recurrent neural network approach: The case of Ethereum. (2024). Guo, Ziyu ; Wang, Hui ; Shang, Dawei. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008766.

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2025Drivers of investment intentions across diverse cryptocurrency categories. (2025). Zhang, Shuguang ; Luo, JI. In: Finance Research Letters. RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325002880.

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2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Niu, Zibo ; Zhu, Xuehong ; Suleman, Muhammad Tahir ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

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2025The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX. (2025). Ioan, Roxana ; Dima, Tefana Maria. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001501.

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2025Predicting individual corporate bond returns. (2025). Feng, Guanhao ; He, Xin ; Wu, Chunchi ; Wang, Yanchu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002863.

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2025Returns from liquidity provision in cryptocurrency markets. (2025). Farag, Hisham ; Yarovaya, Larisa ; Luo, DI ; Zieba, Damian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:175:y:2025:i:c:s0378426625000317.

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2025Growing the efficient frontier on panel trees. (2025). Cong, Lin William ; Feng, Guanhao ; He, Jingyu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000327.

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2025Markov switching multiple-equation tensor regressions. (2025). Craiu, Radu V ; Casarin, Roberto ; Wang, Qing. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:208:y:2025:i:c:s0047259x25000223.

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2025Predicting commodity returns: Time series vs. cross sectional prediction models. (2025). Angelidis, Timotheos ; Sakkas, Athanasios ; Tessaromatis, Nikolaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000194.

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2024How good are different machine and deep learning models in forecasting the future price of metals? Full sample versus sub-sample. (2024). Maiti, Moinak ; Kayal, Parthajit ; Varshini, Anu. In: Resources Policy. RePEc:eee:jrpoli:v:92:y:2024:i:c:s0301420724004070.

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2025How does managerial perception of uncertainty affect corporate investment during the COVID-19 pandemic: A text mining approach. (2025). Kimura, Yosuke ; Chen, Ying ; Inoue, Kotaro. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24004074.

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2025Cryptocurrency ETFs vs. nonredeemable investment trusts: An in-depth analysis. (2025). Tang, Hongfei ; Xie, Kangzhen ; Xu, Xiaoqing Eleanor. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025004277.

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2024Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions. (2024). Wang, Gang-Jin ; Ouyang, Zisheng ; Zhou, Xuewei ; Liu, Shuwen ; Lu, Min. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:909-928.

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2024Portfolio insurance strategy in the cryptocurrency market. (2024). Lee, Jaewook ; Ko, Hyungjin ; Son, Bumho. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002611.

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2025Bitcoin trade volume in decentralized markets: International evidence. (2025). Giménez Roche, Gabriel ; Gimnez, Gabriel A ; Nol, Antoine ; Sauce, Loc. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:214:y:2025:i:c:s004016252500085x.

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2025An adoption model of cryptocurrencies. (2025). Urquhart, Andrew ; Sakkas, Athanasios ; Rzayev, Khaladdin. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126508.

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2025Systemic Risk in the Lithium and Copper Value Chains: A Network-Based Analysis Using Euclidean Distance and Graph Theory. (2025). Ruf, Marc Corts ; Yu, Yihao ; Pidelaserra, Jordi Mart. In: Commodities. RePEc:gam:jcommo:v:4:y:2025:i:4:p:23-:d:1764838.

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2024Risk premium, price of risk and expected volatility in the oil market: Evidence from survey data. (2024). Uctum, Remzi ; Prat, Georges. In: Post-Print. RePEc:hal:journl:hal-04873466.

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2025Detecting Bubbles by Machine Learning Prediction.. (2025). Minami, Koutaroh. In: Working Paper Series. RePEc:hit:hcfrwp:g-1-30.

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2024Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI. (2024). Uribe, Jorge ; Chuliá, Helena ; Khalili, Sabuhi ; Chulia, Helena. In: IREA Working Papers. RePEc:ira:wpaper:202402.

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2025Mutual Fund Selection Strategies Based on Machine Learning. (2025). Huang, Yu-Chuan. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10766-3.

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2025Extreme Risk Connectedness in China’s Stock Market: Fresh Insights from Time-Varying General Dynamic Factor Models. (2025). Jin, Xiaoye. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10779-y.

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2024Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment. (2024). Kilincarslan, Erhan ; Demiralay, Sercan. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:3:d:10.1007_s11146-022-09898-w.

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2024Cycling and persistence of iron-bound organic carbon in subseafloor sediments. (2024). Sui, Weikang ; Niu, Mingyang ; Dong, Liang ; Hinrichs, Kai-Uwe ; Wang, Fengping ; Chen, Yunru ; Cui, Xingqian. In: Nature Communications. RePEc:nat:natcom:v:15:y:2024:i:1:d:10.1038_s41467-024-50578-5.

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2024Decomposing Uncertainty in Macro-Finance Term Structure Models. (2024). Byrne, Joseph ; Cao, Shuo. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:14:y:2024:i:3:p:428-449..

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2025Superior forecasting with simple AR(1) models in a low-volatility environment: evidence from the CAT bond market. (2025). Grtler, Marc ; Witowski, Eileen. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:3:d:10.1057_s41260-024-00379-8.

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2024A fuzzy BWM and MARCOS integrated framework with Heronian function for evaluating cryptocurrency exchanges: a case study of Türkiye. (2024). Murat, Tolga ; Yuksel, Serhat ; Diner, Hasan ; Ecer, Fatih. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00543-w.

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2025The tail connectedness among conventional, religious, and sustainable investments: An empirical evidence from neural network quantile regression approach. (2025). Chang, Bisharat Hussain ; Jin, Xin ; Uddin, Mohammed Ahmar. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1124-1142.

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2024The shale oil boom and the US economy: Spillovers and time‐varying effects. (2024). Bjørnland, Hilde ; Skretting, Julia ; Bjrnland, Hilde C. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:6:p:1000-1020.

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2024Hedging pressure and oil volatility: Insurance versus liquidity demands. (2024). Wang, Jianxin ; Nikitopoulos, Christina Sklibosios ; Thomas, Alice Carole. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:252-280.

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2024Unlocking predictive potential: the frequency-domain approach to equity premium forecasting. (2024). Verona, Fabio ; Faria, Gonçalo. In: Bank of Finland Research Discussion Papers. RePEc:zbw:bofrdp:306348.

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2024Enhancing forecast accuracy through frequencydomain combination: Applications to financial and economic indicators. (2024). Verona, Fabio ; Faria, Gonçalo. In: Bank of Finland Research Discussion Papers. RePEc:zbw:bofrdp:307140.

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2025Stock-Oil Comovement: Cash Flows or Discount Rates?. (2025). Zechner, Josef ; Sgner, Leopold ; Randl, Otto ; Melone, Alessandro. In: VfS Annual Conference 2025 (Cologne): Revival of Industrial Policy. RePEc:zbw:vfsc25:325398.

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Works by Daniele Bianchi:

YearTitleTypeCited
2018Large-Scale Dynamic Predictive Regressions In: Papers.
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2023Variational inference for large Bayesian vector autoregressions In: Papers.
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2022Smoothing volatility targeting In: Papers.
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2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets In: BAFFI CAREFIN Working Papers.
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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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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: 12		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: 12		article
2013Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? In: Working Paper.
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2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2018) In: 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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2022On the performance of cryptocurrency funds.(2022) In: Journal of Banking & Finance.
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2021On the Performance of Cryptocurrency Funds.(2021) In: Working Paper Series.
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2021A Factor Model for Cryptocurrency Returns In: CERGE-EI Working Papers.
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2022Trading Volume and Liquidity Provision in Cryptocurrency Markets In: CERGE-EI Working Papers.
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2022Trading volume and liquidity provision in cryptocurrency markets.(2022) In: Journal of Banking & Finance.
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2022Trading volume and liquidity provision in cryptocurrency markets.(2022) In: Working Paper Series.
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This paper has nother version. Agregated cites: 17		paper
2021Adaptive expectations and commodity risk premiums In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article7
2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article36
2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
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This paper has nother version. Agregated cites: 36		paper
2014Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets In: European Journal of Operational Research.
[Full Text][Citation analysis]		article8
2016The dynamics of expected returns: evidence from multi-scale time series modelling In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article7
2016Global pulses of organic carbon burial in deep-sea sediments during glacial maxima In: Nature Communications.
[Full Text][Citation analysis]		article4
2021Bond Risk Premiums with Machine Learning In: The Review of Financial Studies.
[Full Text][Citation analysis]		article104
2021Corrigendum: Bond Risk Premiums with Machine Learning.(2021) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 104		article
2023The dynamics of returns predictability in cryptocurrency markets In: The European Journal of Finance.
[Full Text][Citation analysis]		article3

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