← All authors Stefano Grassi University of Rome Tor Vergata (from arXiv:2501.03945, 2025) · ORCID · OpenAlex
31 papers in scope · 30 published · 3 on the econ.EM arXiv · 613 citations · h-index 13 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Joann Jasiak Gianluca Cubadda Francesco Giancaterini Alain Hecq Aryan Manafi Neyazi Alessandro Casini Daniel Velásquez-Gaviria Pierre Perrón Elisa Voisin Christian Gouriéroux Sean Telg Tomás del Barrio Castro Taosong Deng Claudio Morana Dimitris Korobilis Ivan Ricardo Barbara Guardabascio Leopoldo Catania Federico Belotti Lorenzo Trapani Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 31)
Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach
published 2025 · Journal of commodity markets · 2 citations · first circulated 2023
Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing
published 2025 · Journal of Business and Economic Statistics · 2 citations
with Francesco Violante
working paper 2025 · arXiv
published 2024 · International Journal of Forecasting · 3 citations
The macroeconomic spillovers from space activity
published 2023 · Proceedings of the National Academy of Sciences · 9 citations
with Luisa Corrado, Aldo Paolillo, Edgar Silgado-Gómez
The COVID-19 pandemic and family business performance
published 2023 · Small Business Economics · 60 citations
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility
published 2023 · Journal of Financial Econometrics · 1 citations
published 2023 · Econometric Reviews · 4 citations · first circulated 2021
A flexible predictive density combination for large financial data sets in regular and crisis periods
published 2023 · Journal of Econometrics · 8 citations · first circulated 2021
Forecasting financial markets with semantic network analysis in the COVID-19 crisis
published 2022 · View · 12 citations
Forecasting cryptocurrency volatility
published 2021 · International Journal of Forecasting · 62 citations
Bayesian Econometrics
published 2020 · Journal of risk and financial management · 9 citations
Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?
published 2019 · Journal of risk and financial management · 7 citations
with Camilla Muglia, Luca Santabarbara
Forecasting cryptocurrencies under model and parameter instability
published 2018 · International Journal of Forecasting · 153 citations
Forecast density combinations of dynamic models and data driven portfolio strategies
published 2018 · Journal of Econometrics · 19 citations
Selecting structural innovations in DSGE models
published 2018 · Journal of Applied Econometrics · 13 citations
with Filippo Ferroni, Miguel A. León-Ledesma
A data-cleaning augmented Kalman filter for robust estimation of state space models
published 2017 · Econometrics and Statistics · 13 citations · first circulated 2016
Modelling Crypto-Currencies Financial Time-Series
published 2017 · CEIS Research Paper · 61 citations
The R Package MitISEM : Efficient and Robust Simulation Procedures for Bayesian Inference
published 2017 · Journal of Statistical Software · 4 citations · first circulated 2015
Does the ARFIMA really shift
published 2017 · CREATES Research Papers
with Davide Delle Monache, Paolo Santucci de Magistris
no link
Forecasting With the Standardized Self‐Perturbed Kalman Filter
published 2016 · Journal of Applied Econometrics · 16 citations · first circulated 2014
with Nima Nonejad, Paolo Santucci de Magistris
Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM
published 2016 · Econometrics · 4 citations
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries
published 2015 · International Journal of Forecasting · 13 citations · first circulated 2013
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
published 2015 · Journal of Statistical Software · 32 citations · first circulated 2013
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
published 2014 · Journal of Empirical Finance · 18 citations · first circulated 2013
with Paolo Santucci de Magistris
Item response models to measure corporate social responsibility
published 2014 · Applied Financial Economics · 24 citations
with Marco Nicolosi, Elena Stanghellini
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
published 2014 · Empirical Economics · 2 citations · first circulated 2011
Heterogeneous Computing in Economics: A Simplified Approach
published 2013 · Computational Economics · 15 citations · first circulated 2012
with Matt P. Dziubinski
Characterising economic trends by Bayesian stochastic model specification search
published 2013 · Computational Statistics & Data Analysis · 4 citations · first circulated 2010
When long memory meets the Kalman filter: A comparative study
published 2012 · Computational Statistics & Data Analysis · 26 citations · first circulated 2011
with Paolo Santucci de Magistris
Has the Volatility of U.S. Inflation Changed and How?
published 2010 · Journal of Time Series Econometrics · 17 citations · first circulated 2008
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