Daniele Bianchi

University of Warwick - Finance Group

Assistant Professor of Finance

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

http://whitesphd.com/

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

1.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 18 May 2017
University of Warwick - Finance Group, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 289 (32,721)

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Markov Regime-Switching, Weighted Eigenvector Centrality, Graphical Models, MCMC, Systemic Risk, Network Connectivity

2.

A Dynamic Test of Conditional Asset Pricing Models

Number of pages: 42 Posted: 01 Mar 2014 Last Revised: 23 Nov 2016
Daniele Bianchi
University of Warwick - Finance Group
Downloads 147 (116,757)

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Factor Pricing Models, Savage-Dickey Density Ratio, Stochastic Betas, Bayesian Econometrics

3.

Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section

Journal of Business & Economic Statistics, Forthcoming
Number of pages: 44 Posted: 12 Nov 2013 Last Revised: 11 Jun 2015
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
University of Warwick - Finance Group, Bocconi University - Department of Finance and Free University of Bolzano
Downloads 146 (87,711)

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Structural breaks, Change-point model, Stochastic volatility, Multi-factor linear models, Asset pricing

4.

Can Long-Run Dynamic Optimal Strategies Outperform Fixed-Mix Portfolios? Evidence from Multiple Data Sets

Number of pages: 30 Posted: 13 Nov 2013
Daniele Bianchi and Massimo Guidolin
University of Warwick - Finance Group and Bocconi University - Department of Finance
Downloads 62 (251,600)

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Finance, Investment analysis, Portfolio choice, Predictability, Vector autoregressive models, Out-of-sample performance

5.

Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?

Number of pages: 40 Posted: 12 Nov 2013 Last Revised: 06 Nov 2016
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
University of Warwick - Finance Group, Bocconi University - Department of Finance and Free University of Bolzano
Downloads 61 (192,817)

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I-CAPM, Mispricing, REIT, Model Uncertainty, Stochastic Breaks, Bayesian Econometrics

Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios

Journal of Real Estate Finance and Economics, Vol. 49, No. 1, 2014
Posted: 25 Jun 2014
Massimo Guidolin and Daniele Bianchi
Bocconi University - Department of Finance and University of Warwick - Finance Group

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REIT returns; Predictability; Strategic asset allocation; Markov switching; Vector autoregressive models; Out-of-sample performance

7.

An Anatomy of Industry Merger Waves

Number of pages: 48 Posted: 20 Jun 2015 Last Revised: 14 Apr 2016
Daniele Bianchi and Carlo Chiarella
University of Warwick - Finance Group and CUNEF
Downloads 42 (184,943)

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M&A, Poisson Regressions, Markov Regime-Switching, Time-Varying Probabilities, Discrete-Choice Models, MCMC

8.

Large-Scale Dynamic Predictive Regressions

Number of pages: 51 Posted: 08 Mar 2018
Daniele Bianchi and Ken McAlinn
University of Warwick - Finance Group and University of Chicago - Booth School of Business
Downloads 0 (365,477)

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Data-Rich Models, Big Data, Forecast Combination, Model Averaging, Dynamic Forecasting, Macroeconomic Forecasting, Returns Predictability

9.

Cryptocurrencies As an Asset Class? An Empirical Assessment

WBS Finance Group Research Paper
Number of pages: 59 Posted: 30 Nov 2017 Last Revised: 10 Feb 2018
Daniele Bianchi
University of Warwick - Finance Group
Downloads 0 (33,492)

Abstract:

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Cryptocurrencies, Bitcoin, Blockchain, Financial Markets, Investments

10.

Adaptive Expectations and Commodity Risk Premia

Number of pages: 48 Posted: 28 May 2016 Last Revised: 09 Mar 2018
Daniele Bianchi and Jacopo Piana
University of Warwick - Finance Group and City University London - Faculty of Finance
Downloads 0 (77,656)

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Commodity Markets, Adaptive Expectations, Empirical Asset Pricing, Hedging Pressure, Time-Series Momentum

11.

The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling

Number of pages: 78 Posted: 03 Nov 2015 Last Revised: 10 Jul 2016
Daniele Bianchi and Andrea Tamoni
University of Warwick - Finance Group and London School of Economics & Political Science (LSE)
Downloads 0 (54,020)

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Expected Returns, Long-Horizon Predictability, Multi-Scale, Bayesian Methods

12.

Real-Time Learning, Macroeconomic Uncertainty, and the Variance Risk Premium

Posted: 14 Nov 2013 Last Revised: 12 Apr 2015
Daniele Bianchi
University of Warwick - Finance Group

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Variance Risk Premium, Real-Time Learning, Parameter Uncertainty, Recursive Preferences

13.

Carry Trades and Tail Risk: Evidence from Commodity Markets

Number of pages: 47 Posted: 19 Sep 2017
Daniele Bianchi
University of Warwick - Finance Group
Downloads 306

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Commodity Markets, Carry Trades, Bayesian Quantile Regressions, Tail Risk, Empirical Asset Pricing, Risk Management.