Daniele Bianchi

School of Economics and Finance, Queen Mary University of London

Mile End Rd

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London , London E1 4NS

United Kingdom

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SCHOLARLY PAPERS

21

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8,985

SSRN CITATIONS
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Top 14,611

in Total Papers Citations

21

CROSSREF CITATIONS

48

Scholarly Papers (21)

1.

Cryptocurrencies As an Asset Class? An Empirical Assessment

Number of pages: 30 Posted: 30 Nov 2017 Last Revised: 06 Sep 2019
Daniele Bianchi
School of Economics and Finance, Queen Mary University of London
Downloads 2,137 (7,218)
Citation 25

Abstract:

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Cryptocurrencies, Bitcoin, Blockchain, Financial Markets, Investments.

2.

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 86 Posted: 26 Aug 2018 Last Revised: 08 Apr 2020
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,755 (10,041)
Citation 7

Abstract:

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Machine Learning, Ensembled Networks, Forecasting, Bond Return Predictability, Empirical Asset Pricing

3.

Trading Volume in Cryptocurrency Markets

WBS Finance Group Research Paper No. 254
Number of pages: 50 Posted: 13 Sep 2018 Last Revised: 26 Dec 2019
Daniele Bianchi and Alexander Dickerson
School of Economics and Finance, Queen Mary University of London and Warwick Business SchoolWarwick Business School
Downloads 887 (28,338)
Citation 15

Abstract:

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Cryptocurrency, Investments, Trading Volume, Predictability, Asymmetric Information

4.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

WBS Finance Group Research Paper No. 227
Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 26 Dec 2019
School of Economics and Finance, Queen Mary University of London, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 811 (32,110)
Citation 10

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

5.

Carry Trades and Tail Risk: Evidence from Commodity Markets

Number of pages: 48 Posted: 19 Sep 2017 Last Revised: 12 May 2018
Daniele Bianchi
School of Economics and Finance, Queen Mary University of London
Downloads 518 (58,052)

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

6.

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
School of Economics and Finance, Queen Mary University of London and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 506 (59,748)
Citation 2

Abstract:

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

7.

Adaptive Expectations and Commodity Risk Premia

Number of pages: 48 Posted: 28 May 2016 Last Revised: 09 Mar 2018
Daniele Bianchi and Jacopo Piana
School of Economics and Finance, Queen Mary University of London and City University London - Faculty of Finance
Downloads 432 (72,612)

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

8.

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: 26 Dec 2019
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
School of Economics and Finance, Queen Mary University of London, Bocconi University - Department of Finance and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 390 (81,834)
Citation 4

Abstract:

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

9.

A Dynamic Test of Conditional Asset Pricing Models

WBS Finance Group Research Paper No. 217
Number of pages: 42 Posted: 01 Mar 2014 Last Revised: 26 Dec 2019
Daniele Bianchi
School of Economics and Finance, Queen Mary University of London
Downloads 278 (119,291)
Citation 2

Abstract:

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

10.

An Anatomy of Industry Merger Waves

Number of pages: 40 Posted: 20 Jun 2015 Last Revised: 14 Apr 2016
Daniele Bianchi and Carlo Chiarella
School of Economics and Finance, Queen Mary University of London and CUNEF
Downloads 196 (168,103)

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

11.

What Matters When? Time-Varying Sparsity in Expected Returns

WBS Finance Group Research Paper
Number of pages: 64 Posted: 20 Aug 2019 Last Revised: 07 May 2020
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 191 (171,997)
Citation 2

Abstract:

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Sparsity, Returns Predictability, Cross Section of Returns, Anomalies, Asset Pricing

12.

Divide and Conquer: Financial Ratios and Industry Returns Predictability

Number of pages: 73 Posted: 08 Mar 2018 Last Revised: 28 May 2020
Daniele Bianchi and Ken McAlinn
School of Economics and Finance, Queen Mary University of London and University of Chicago - Booth School of Business
Downloads 169 (191,711)
Citation 4

Abstract:

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Financial ratios, returns predictability, data-rich models, industry returns, forecasts combination.

13.

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

WBS Finance Group Research Paper No. 210
Number of pages: 40 Posted: 12 Nov 2013 Last Revised: 26 Dec 2019
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
School of Economics and Finance, Queen Mary University of London, Bocconi University - Department of Finance and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 168 (192,668)

Abstract:

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

14.

Predictability of Order Imbalance, Market Quality and Equity Cost of Capital

WBS Finance Group Research Paper No. 262
Number of pages: 72 Posted: 20 Dec 2018 Last Revised: 26 Dec 2019
Daniele Bianchi, Matthias Büchner and Roman Kozhan
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 132 (234,919)

Abstract:

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Order Imbalance Predictability, Market Efficiency, Liquidity Provision, Asymmetric Information

15.

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

WBS Finance Group Research Paper No. 211
Number of pages: 30 Posted: 13 Nov 2013
Daniele Bianchi and Massimo Guidolin
School of Economics and Finance, Queen Mary University of London and Bocconi University - Department of Finance
Downloads 114 (261,965)
Citation 2

Abstract:

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

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 School of Economics and Finance, Queen Mary University of London

Abstract:

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

17.

Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets

BAFFI CAREFIN Centre Research Paper No. 2020-143
Number of pages: 67 Posted: 30 May 2020 Last Revised: 05 Jun 2020
Daniele Bianchi, Massimo Guidolin and Manuela Pedio
School of Economics and Finance, Queen Mary University of London, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 65 (370,055)
Citation 1

Abstract:

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Cryptocurrencies, predictability, portfolio diversification, dynamic model averaging, time-varying parameter regressions

18.

Stablecoins and Cryptocurrency Returns: Evidence From Large Bayesian VARs

Number of pages: 40 Posted: 15 Jun 2020
Daniele Bianchi, Luca Rossini and Matteo Iacopini
School of Economics and Finance, Queen Mary University of London, VU University Amsterdam - Department of Econometrics and Ca Foscari University of Venice
Downloads 50 (426,446)

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Stable-coins, Tether, Bitcoin, Investments, Shrinkage Priors, Bayesian VAR

19.

Sparse Predictive Regressions: Statistical Performance and Economic Significance

Number of pages: 30 Posted: 29 Oct 2019 Last Revised: 31 Oct 2019
Daniele Bianchi and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 40 (458,264)
Citation 1

Abstract:

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Return Predictability, Empirical Asset Pricing, Machine Learning, Bayesian Methods, Penalized Regressions.

20.

On the Performance of Cryptocurrency Funds

Number of pages: 52 Posted: 10 Apr 2020
Daniele Bianchi and Mykola Babiak
School of Economics and Finance, Queen Mary University of London and Lancaster University Management School
Downloads 146

Abstract:

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Cryptocurrency, Investments, Active Management, Alternative Investments, Bootstrap Methods, Bitcoin.

21.

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

Posted: 14 Nov 2013 Last Revised: 12 Apr 2015
Daniele Bianchi
School of Economics and Finance, Queen Mary University of London

Abstract:

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