Daniele Bianchi

University of Warwick - Finance Group

Assistant Professor of Finance

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

http://whitesphd.com/

SCHOLARLY PAPERS

17

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Scholarly Papers (17)

1.

Cryptocurrencies As an Asset Class? An Empirical Assessment

WBS Finance Group Research Paper
Number of pages: 35 Posted: 30 Nov 2017 Last Revised: 16 Jun 2018
Daniele Bianchi
University of Warwick - Finance Group
Downloads 1,482 (10,967)

Abstract:

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Cryptocurrencies, Blockchain, Financial Markets, Returns Correlations, Volatility Spillovers.

2.

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 736 (31,281)

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

3.

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 484 (54,063)

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

4.

Trading Volume in Cryptocurrency Markets

Number of pages: 56 Posted: 13 Sep 2018 Last Revised: 15 Nov 2018
Daniele Bianchi and Alexander Dickerson
University of Warwick - Finance Group and Warwick Business SchoolWarwick Business School
Downloads 402 (68,366)

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Cryptocurrency, Investments, Trading Volume, Predictability, Informed Trading.

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
University of Warwick - Finance Group
Downloads 397 (68,934)

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

6.

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 384 (72,121)

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

7.

Bond Risk Premia with Machine Learning

Number of pages: 73 Posted: 26 Aug 2018 Last Revised: 31 Oct 2018
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
University of Warwick - Finance Group, University of Warwick - Warwick Business School and London School of Economics & Political Science (LSE)
Downloads 345 (81,455)

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Machine Learning, Deep Neural Networks, Forecasting, Bond Returns Predictability, Empirical Asset Pricing, Ensembled Networks.

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: 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 328 (85,978)

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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

Number of pages: 42 Posted: 01 Mar 2014 Last Revised: 23 Nov 2016
Daniele Bianchi
University of Warwick - Finance Group
Downloads 256 (112,823)

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

10.

Cyber Attacks and Stock Market Activity

Number of pages: 39 Posted: 05 Jun 2018 Last Revised: 30 Aug 2018
Daniele Bianchi and Onur Tosun
University of Warwick - Finance Group and University of Warwick - Finance Group
Downloads 170 (165,886)

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Security Breaches, Hacking, Stock Returns, Trading Volume, Market Liquidity.

11.

An Anatomy of Industry Merger Waves

Number of pages: 40 Posted: 20 Jun 2015 Last Revised: 14 Apr 2016
Daniele Bianchi and Carlo Chiarella
University of Warwick - Finance Group and CUNEF
Downloads 154 (180,491)

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

12.

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 142 (192,921)

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

13.

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 118 (224,295)

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

14.

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 101 (248,959)

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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 University of Warwick - Finance Group

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

16.

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

Number of pages: 70
Daniele Bianchi, Matthias Büchner and Roman Kozhan
University of Warwick - Finance Group, University of Warwick - Warwick Business School and University of Warwick - Warwick Business School
Downloads 16

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

17.

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