Department of Economics and Business Economics

Stefano Grassi

  1. 2021
  2. Published

    Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. / Grassi, Stefano; Violante, Francesco.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2021.

    Research output: Working paperResearch

  3. Submitted

    Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. / Belotti, Federico; Casini, Alessandro; Catania, Leopoldo; Grassi, Stefano; Perron, Pierre.

    2021.

    Research output: Working paperResearch

  4. 2019
  5. Published

    Forecast density combinations of dynamic models and data driven portfolio strategies. / Baştürk, N.; Borowska, A.; Grassi, S.; Hoogerheide, L.; van Dijk, H. K.

    In: Journal of Econometrics, Vol. 210, No. 1, 05.2019, p. 170-186.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  6. Published

    Selecting structural innovations in DSGE models. / Ferroni, Filippo; Grassi, Stefano; León-Ledesma, Miguel A.

    In: Journal of Applied Econometrics, Vol. 34, No. 2, 03.2019, p. 205-220.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. Published

    Forecasting Cryptocurrencies Under Model and Parameter Instability. / Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco.

    In: International Journal of Forecasting, Vol. 35, No. 2, 2019, p. 485-501.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  8. 2018
  9. Published

    A data-cleaning augmented Kalman filter for robust estimation of state space models. / Marczak, Martyna; Proietti, Tommaso; Grassi, Stefano.

    In: Econometrics and Statistics, Vol. 5, No. 1, 01.01.2018, p. 107-123.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. Published

    Predicting the Volatility of Cryptocurrency Time–Series. / Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco.

    Mathematical and Statistical Methods for Actuarial Sciences and Finance. ed. / Marco Corazza; María Durbán; Aurea Grané; Cira Perna; Marilena Sibillo. Springer, 2018. p. 203-207.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  11. 2017
  12. Published

    Does the ARFIMA really shift? / Monache, Davide Delle; Grassi, Stefano; Santucci de Magistris, Paolo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  13. Published

    Forecasting with the Standardized Self-Perturbed Kalman Filter. / Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo.

    In: Journal of Applied Econometrics, Vol. 32, No. 2, 2017, p. 318–341.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. Published
  15. 2015
  16. Published

    It’s all about volatility of volatility : Evidence from a two-factor stochastic volatility model. / Grassi, Stefano; Santucci de Magistris, Paolo.

    In: Journal of Empirical Finance, Vol. 30, 01.2015, p. 62-78.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  17. Published

    EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries. / Grassi, Stefano; Proietti, Tommaso; Frale, Cecilia; Marcellino, Massimiliano; Mazzi , Gianluigi.

    In: International Journal of Forecasting, Vol. 31, No. 3, 2015, p. 712–738.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  18. Published

    Parallel Sequential Monte Carlo for Efficient Density Combination : The DeCo MATLAB Toolbox. / Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; Dijk, Herman K. van.

    In: Journal of Statistical Software, Vol. 68, No. 3, 2015.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  19. Published

    Stochastic trends and seasonality in economic time series : new evidence from Bayesian stochastic model specification search. / Proietti, Tommaso; Grassi, Stefano.

    In: Empirical Economics, Vol. 48, No. 3, 2015, p. 983-1011.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  20. 2014
  21. Published

    When long memory meets the Kalman filter : A comparative study. / Grassi, Stefano; Santucci de Magistris, Paolo.

    In: Computational Statistics & Data Analysis, Vol. 76, No. 2, 08.2014, p. 301-319.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  22. Published

    Characterising economic trends by Bayesian stochastic model specification search. / Grassi, S.; Proietti, T.

    In: Computational Statistics & Data Analysis, Vol. 71, 01.01.2014, p. 359-374.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  23. Published

    Heterogeneous Computing in Economics : A Simplified Approach. / Dziubinski, M.P.; Grassi, S.

    In: Computational Economics, Vol. 43, No. 4, 01.01.2014, p. 485-495.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  24. 2013
  25. Published

    Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox. / Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; Dijk, Herman K. van.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paperResearch

  26. 2012
  27. Published

    Heterogeneous Computing in Economics: A Simplified Approach. / Dziubinski, Matt P.; Grassi, Stefano.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  28. Published

    Bayesian stochastic model specification search for seasonal and calendar effects. / Proietti, Tommaso; Grassi, Stefano.

    Economic Time Series: Modeling and Seasonality. ed. / William R. Bell; Scott H. Holan; Tucker S. McElroy. CRC Press, 2012. p. 431-455.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  29. 2011
  30. Published

    Characterizing economic trends by Bayesian stochastic model specification search. / Grassi, Stefano; Proietti, Tommaso.

    Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch