Daniele Bianchi

School of Economics and Finance, Queen Mary University of London

Mile End Rd

Mile End Road

London , London E1 4NS

United Kingdom

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SCHOLARLY PAPERS

19

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8,464

SSRN CITATIONS
Rank 15,478

SSRN RANKINGS

Top 15,478

in Total Papers Citations

17

CROSSREF CITATIONS

40

Scholarly Papers (19)

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 1,999 (7,512)
Citation 20

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Cryptocurrencies, Bitcoin, Blockchain, Financial Markets, Investments.

2.
Downloads 1,444 ( 12,777)
Citation 9

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 82 Posted: 26 Aug 2018 Last Revised: 26 Dec 2019
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 1,245 (15,825)
Citation 7

Abstract:

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

Bond Risk Premia with Machine Learning

USC-INET Research Paper No. 19-11, April 2019
Number of pages: 96 Posted: 15 Jun 2019 Last Revised: 23 Jun 2019
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 199 (157,154)
Citation 4

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

3.

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 793 (31,166)
Citation 8

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

4.

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 746 (33,849)
Citation 9

Abstract:

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Cryptocurrency, Investments, Trading Volume, Predictability, Asymmetric Information

5.

Cyber Attacks and Stock Market Activity

WBS Finance Group Research Paper No. 251
Number of pages: 50 Posted: 05 Jun 2018 Last Revised: 26 Dec 2019
Daniele Bianchi and Onur Kemal Tosun
School of Economics and Finance, Queen Mary University of London and Cardiff Business School - Accounting and Finance Section
Downloads 545 (51,332)
Citation 3

Abstract:

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Security Breaches, Hacking, Stock Returns, Market Activity

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 497 (57,741)
Citation 2

Abstract:

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

7.

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 483 (59,845)

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

8.

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 422 (70,532)

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

9.

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 - Department of Finance and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 370 (82,258)
Citation 3

Abstract:

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

10.

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 272 (115,533)

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

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
School of Economics and Finance, Queen Mary University of London and CUNEF
Downloads 186 (167,327)

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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?

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 161 (189,801)

Abstract:

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

13.

Large-Scale Dynamic Predictive Regressions

WBS Finance Group Research Paper No. 247
Number of pages: 51 Posted: 08 Mar 2018
Daniele Bianchi and Ken McAlinn
School of Economics and Finance, Queen Mary University of London and University of Chicago - Booth School of Business
Downloads 149 (202,631)
Citation 2

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

14.

What Matters When? Time-Varying Sparsity in Expected Returns

Number of pages: 64 Posted: 20 Aug 2019 Last Revised: 12 Dec 2019
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 143 (209,577)
Citation 1

Abstract:

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

15.

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 114 (249,395)

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

16.

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 112 (252,524)
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, WBS Finance Group Research Paper No. 221
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

18.

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 28 (491,796)

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

19.

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