Daniele Bianchi

University of Warwick, Warwick Business School

Assistant Professor of Finance

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

http://whitesphd.com/

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

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, Warwick Business School, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 289 (35,586)

Abstract:

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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, Warwick Business School
Downloads 147 (121,529)

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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, Warwick Business School, Bocconi University - Department of Finance and Free University of Bolzano
Downloads 146 (92,484)

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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, Warwick Business School and Bocconi University - Department of Finance
Downloads 62 (244,740)

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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, Warwick Business School, Bocconi University - Department of Finance and Free University of Bolzano
Downloads 61 (205,299)

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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, Warwick Business School

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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, Warwick Business School and CUNEF
Downloads 42 (182,420)

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

8.

Carry Trades and Tail Risk: Evidence from Commodity Markets

Number of pages: 43 Posted: 19 Sep 2017 Last Revised: 18 Nov 2017
Daniele Bianchi
University of Warwick, Warwick Business School
Downloads 0 (123,186)

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Commodity Markets, Carry, Quantile Regressions, Tail Risk, Financial Markets

9.

Expected Spot Prices and the Dynamics of Commodity Risk Premia

Number of pages: 50 Posted: 28 May 2016 Last Revised: 22 Jun 2017
Daniele Bianchi and Jacopo Piana
University of Warwick, Warwick Business School and Cass Business School
Downloads 0 (84,341)

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Commodity Markets, Adaptive Expectations, Risk Premia, Empirical Asset Pricing, Survey Forecasts

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
University of Warwick, Warwick Business School and London School of Economics & Political Science (LSE)
Downloads 0 (53,860)

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

11.

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

Posted: 14 Nov 2013 Last Revised: 12 Apr 2015
Daniele Bianchi
University of Warwick, Warwick Business School

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