Daniele Bianchi

School of Economics and Finance, Queen Mary University of London

Mile End Road

London , London E1 4NS

United Kingdom

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  • School of Economics and Finance, Queen Mary University of London

SCHOLARLY PAPERS

28

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137

CROSSREF CITATIONS

31

Scholarly Papers (28)

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1.

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 Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 4,781 (3,423)
Citation 100

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

2.

Trading volume and liquidity provision in cryptocurrency markets

Number of pages: 42 Posted: 13 Sep 2018 Last Revised: 20 Jun 2022
Daniele Bianchi, Alexander Dickerson and Mykola Babiak
School of Economics and Finance, Queen Mary University of London, UNSW Business School and Lancaster University Management School
Downloads 2,290 (11,359)
Citation 29

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Liquidity provision, short-term reversal, trading volume, empirical asset pricing, adverse selection.

3.

A risk-based explanation of cryptocurrency returns

Number of pages: 67 Posted: 05 Oct 2021 Last Revised: 29 Nov 2023
Daniele Bianchi and Mykola Babiak
School of Economics and Finance, Queen Mary University of London and Lancaster University Management School
Downloads 1,413 (24,064)

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IPCA, Cryptocurrency markets, Asset pricing, Mispricing, Risk compensation.

4.

On the Performance of Cryptocurrency Funds

Journal of Banking and Finance, Forthcoming
Number of pages: 49 Posted: 10 Apr 2020 Last Revised: 10 Feb 2022
Daniele Bianchi and Mykola Babiak
School of Economics and Finance, Queen Mary University of London and Lancaster University Management School
Downloads 1,168 (31,832)
Citation 7

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Cryptocurrency markets, Alternative investments, Fund management, Bootstrap methods.

5.

Divide and Conquer: Financial Ratios and Industry Returns Predictability

Number of pages: 70 Posted: 08 Mar 2018 Last Revised: 10 May 2021
Daniele Bianchi and Ken McAlinn
School of Economics and Finance, Queen Mary University of London and Temple University, Fox School of Business
Downloads 993 (40,080)
Citation 6

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Financial ratios, returns predictability, data-rich models, industry portfolios, equity premium, machine learning, ensemble learning.

6.

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
Daniele Bianchi, Monica Billio, Monica Billio, Roberto Casarin and Massimo Guidolin
School of Economics and Finance, Queen Mary University of London, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University, Dept. of Finance
Downloads 966 (41,654)
Citation 19

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

7.

Taming Momentum Crashes

Number of pages: 77 Posted: 09 Aug 2022 Last Revised: 05 Aug 2023
Daniele Bianchi, Andrea De Polis, Ivan Petrella, Ivan Petrella and Ivan Petrella
School of Economics and Finance, Queen Mary University of London, University of Warwick - Warwick Business School and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 932 (43,790)

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Time-varying skewness, momentum investing, volatility-managed portfolios.

8.

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 691 (65,539)
Citation 1

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

9.

Adaptive Expectations and Commodity Risk Premiums

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 46 Posted: 28 May 2016 Last Revised: 23 Jan 2021
Daniele Bianchi
School of Economics and Finance, Queen Mary University of London
Downloads 572 (83,130)
Citation 1

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Commodity markets, Empirical asset pricing, Hedging pressure, Time series momentum, Adaptive expectations.

10.

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 565 (84,451)
Citation 3

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

11.

The Dynamics of Returns Predictability in Cryptocurrency Markets

BAFFI CAREFIN Centre Research Paper No. 2020-143
Number of pages: 50 Posted: 30 May 2020 Last Revised: 05 May 2022
Daniele Bianchi, Massimo Guidolin and Manuela Pedio
School of Economics and Finance, Queen Mary University of London, Bocconi University, Dept. of Finance and University of Bristol
Downloads 536 (90,213)
Citation 4

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Bitcoin, cryptocurrencies, returns predictability, investments, dynamic model averaging.

12.

Stablecoins and cryptocurrency returns: What is the role of Tether?

Number of pages: 50 Posted: 15 Jun 2020 Last Revised: 27 May 2021
Daniele Bianchi, Luca Rossini and Matteo Iacopini
School of Economics and Finance, Queen Mary University of London, University of Milan and Queen Mary University of London
Downloads 529 (91,682)
Citation 6

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Stablecoins, Tether USD, Bitcoin, Investments, Shrinkage priors, Bayesian VAR.

13.

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, WBS Finance Group Research Paper No. 209
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, Dept. of Finance and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 486 (101,677)
Citation 7

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

14.

Variational inference for large Bayesian vector autoregressions

Number of pages: 79 Posted: 17 Mar 2021 Last Revised: 29 Jun 2023
Mauro Bernardi, Daniele Bianchi and Nicolas Bianco
University of Padua, School of Economics and Finance, Queen Mary University of London and University of Padua
Downloads 413 (123,186)

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Bayesian methods, variational inference, hierarchical shrinkage prior, high-dimensional models, vector autoregressions, industry returns predictability.

15.

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 Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 410 (124,174)
Citation 2

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

16.

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 305 (171,558)
Citation 2

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

17.

Dynamic Variable Selection in High-Dimensional Predictive Regressions

Number of pages: 70 Posted: 22 Apr 2023
Daniele Bianchi, Nicolas Bianco and Mauro Bernardi
School of Economics and Finance, Queen Mary University of London, University of Padua and University of Padua
Downloads 264 (198,935)

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Economic forecasting, Bayesian methods, Dynamic variable selection, Time-varying parameters, Mean-field approximation, Variational Bayes inference

18.

An Anatomy of Industry Merger Waves

Number of pages: 40 Posted: 20 Jun 2015 Last Revised: 14 Apr 2016
Daniele Bianchi, Carlo Chiarella and Carlo Chiarella
School of Economics and Finance, Queen Mary University of London and CUNEFBocconi University - Baffi Carefin Centre
Downloads 228 (229,616)

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

19.

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, Dept. of Finance and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 208 (250,170)

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

20.

Sovereign Credit Default Swaps and Macroeconomic Fundamentals

Number of pages: 57 Posted: 24 Jul 2021 Last Revised: 31 May 2022
Daniele Bianchi and Adam Shuaib
School of Economics and Finance, Queen Mary University of London and University of Cambridge - Cambridge Judge Business School
Downloads 205 (253,479)

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Statistical learning, Sovereign default risk, Credit default swap, Empirical asset pricing, Macroeconomic factors

21.

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, Dept. of Finance
Downloads 152 (328,862)
Citation 4

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

22.

Buying Beauty? On Rarity and Returns in Non-Fungible Tokens

Number of pages: 39 Posted: 31 Jan 2023
Victoria Dobrynskaya and Daniele Bianchi
School of Finance, HSE University and School of Economics and Finance, Queen Mary University of London
Downloads 140 (351,261)

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Non-fungible tokens, NFT, Digital art, Bored Apes, Cryptocurrency markets, Alternative investments

23.

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 131 (369,641)
Citation 3

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

24.

Smoothing Volatility Targeting

Number of pages: 58 Posted: 27 Dec 2022
Daniele Bianchi, Mauro Bernardi and Nicolas Bianco
School of Economics and Finance, Queen Mary University of London, University of Padua and University of Padua
Downloads 126 (380,654)

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Volatility targeting, mean-variance efficiency, Bayesian methods, stochastic volatility models, variational Bayes inference.

25.

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

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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, WBS Finance Group Research Paper No. 221
Posted: 25 Jun 2014
Massimo Guidolin and Daniele Bianchi
Bocconi University, Dept. of Finance and School of Economics and Finance, Queen Mary University of London

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

26.

It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction

Number of pages: 88 Posted: 24 Jul 2023 Last Revised: 30 Nov 2023
Daniele Bianchi, Alexandre Rubesam and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, IESEG School of Management and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 59 (614,094)

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Equity premium; Out-of-sample predictability; Forecast combination; Model complexity; Subset regression; Shrinkage.

27.

Cryptocurrencies As an Asset Class? An Empirical Assessment

Journal of Alternative Investments, forthcoming
Posted: 30 Nov 2017 Last Revised: 07 Aug 2020
Daniele Bianchi
School of Economics and Finance, Queen Mary University of London

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Cryptocurrencies, Bitcoin, Blockchain, Financial Markets, Investments.

28.

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

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