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~isPartOf:"Applied economics"
~isPartOf:"Computational economics"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of risk and financial management : JRFM"
~person:"Grassi, Stefano"
~person:"Lucas, André"
~subject:"Nationaleinkommen"
~subject:"Prognose"
~subject:"Prognoseverfahren"
~subject:"VAR-Modell"
~subject:"Welt"
~subject:"Zeitreihenanalyse"
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Grassi, Stefano
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
-
2014
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...
Persistent link: https://www.econbiz.de/10010391531
Saved in:
2
The information in systemic risk rankings
Nucera, Federico
;
Schwaab, Bernd
;
Koopman, Siem Jan
; …
-
2015
We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic...
Persistent link: https://www.econbiz.de/10010532581
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3
Network, market, and book-based systemic risk rankings
Leur, Michiel van de
;
Lucas, André
-
2016
We investigate the information content of stock correlation based network measures for systemic risk rankings, such as SIFIRank (based on Google's PageRank). Using European banking data, we first show that SIFIRank is empirically equivalent to a ranking based on average pairwise stock...
Persistent link: https://www.econbiz.de/10011531142
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4
Forecasting
cryptocurrencies under model and parameter instability
Catania, Leopoldo
;
Grassi, Stefano
;
Ravazzolo, Francesco
- In:
International journal of forecasting
35
(
2019
)
2
,
pp. 485-501
Persistent link: https://www.econbiz.de/10012300691
Saved in:
5
Is Bitcoin a relevant predictor of standard & poor's 500?
Muglia, Camilla
;
Santabarbara, Luca
;
Grassi, Stefano
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
2/93
,
pp. 1-10
The paper investigates whether Bitcoin is a good predictor of the Standard & Poor's 500 Index. To answer this question we compare alternative models using a point and density forecast relying on Dynamic Model Averaging (DMA) and Dynamic Model Selection (DMS). According to our results, Bitcoin...
Persistent link: https://www.econbiz.de/10012022045
Saved in:
6
Bayesian econometrics
Bernardi, Mauro
;
Grassi, Stefano
;
Ravazzolo, Francesco
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
11/257
,
pp. 1-2
,
forecasting
, assessment of policy effectiveness in macro, finance, marketing and monetary economics. …
Persistent link: https://www.econbiz.de/10012389851
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