Paolo Giordani

Sveriges Riksbank - Research Division

SCHOLARLY PAPERS

17

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CITATIONS
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163

Scholarly Papers (17)

1.

Up the Stairs, Down the Elevator: Valuation Ratios and Shape Predictability in the Distribution of Stock Returns

Swedish House of Finance Research Paper No. 17-5
Number of pages: 45 Posted: 19 Dec 2016 Last Revised: 03 Jul 2018
Paolo Giordani and Michael Halling
Sveriges Riksbank - Research Division and Stockholm School of Economics & Swedish House of Finance
Downloads 328 (85,937)

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return predictability, valuation ratios, skewness

2.

Inflation Forecast Uncertainty

Stockholm School of Economics EFI Working Paper No. 384, European Economic Review, Vol. 47, pp.1037-1059, 2003
Number of pages: 37 Posted: 24 Nov 2001 Last Revised: 15 Jun 2013
Paolo Giordani and Paul Söderlind
Sveriges Riksbank - Research Division and University of St. Gallen
Downloads 321 (88,045)
Citation 39

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survey data, Survey of Professional Forecasters, GDP growth, VAR, T-GARCH

3.

An Alternative Explanation of the Price Puzzle

Stockholm School of Econ./EFI Working Paper No. 414
Number of pages: 40 Posted: 22 Apr 2001
Paolo Giordani
Sveriges Riksbank - Research Division
Downloads 321 (88,045)
Citation 32

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VAR, monetary policy, misspecification, output gap, technology shocks

4.

Constitutions and Central-Bank Independence: An Objection to 'Mccallum's Second Fallacy'

Stockholm School of Econ./EFI Working Paper No. 426
Number of pages: 18 Posted: 07 May 2001
Paolo Giordani and Giancarlo Spagnolo
Sveriges Riksbank - Research Division and Stockholm School of Economics (SITE)
Downloads 276 (103,712)
Citation 3

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constitution, delegation, inertia, renegotiation costs, separation of powers

5.

Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions

Journal of Economic Dynamics and Control, Vol. 28, pp. 2367-2397, 2004, Stockholm School of Economics Working Paper No. 499
Number of pages: 38 Posted: 22 Jul 2002 Last Revised: 15 Jun 2013
Paolo Giordani and Paul Söderlind
Sveriges Riksbank - Research Division and University of St. Gallen
Downloads 244 (117,974)
Citation 19

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robustness, model uncertainty, Schur decomposition, discretion, simple rules

6.

Adaptive Independent Metropolis-Hastings by Fast Estimation of Mixtures of Normals

Number of pages: 35 Posted: 12 Jan 2008
Paolo Giordani and Robert Kohn
Sveriges Riksbank - Research Division and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 203 (141,085)
Citation 1

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Clustering, Gibbs sampling, Markov chain, Monte Carlo

7.

Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models

Number of pages: 28 Posted: 28 Feb 2006
Paolo Giordani and Robert Kohn
Sveriges Riksbank - Research Division and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 173 (163,305)
Citation 20

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Structural breaks, Parameter instability, Change-point, State-space, Mixtures, Discrete latent variables, Adaptive Metropolis-Hastings

8.

Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios

Riksbank Research Paper Series No. 87, Sveriges Riksbank Working Paper Series, No. 256
Number of pages: 47 Posted: 23 Feb 2012
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division, Sveriges Riksbank and Linkoping University
Downloads 149 (185,387)

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bankruptcy risk model, micro-data, logistic spline regression, financial ratios

9.

Stronger Evidence of Long-Run Neutrality: A Comment on Bernanke and Mihov

SSE/EFI Economics and Finance Working Paper No. 441
Number of pages: 12 Posted: 04 May 2001
Paolo Giordani
Sveriges Riksbank - Research Division
Downloads 140 (195,048)

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long-run money neutrality, technology shocks, output gap, VAR misspecification

10.

Structural Breaks, Parameter Uncertainty and Term Structure Puzzles

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 41 Posted: 29 Dec 2010
George Bulkley and Paolo Giordani
University of Bristol and Sveriges Riksbank - Research Division
Downloads 124 (214,739)

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Change-Point, Learning, Expectations Hypothesis

11.

A Unified Approach to Nonlinearity, Structural Change, and Outliers

Econometric Institute Report EI 2005-09
Number of pages: 37 Posted: 24 Jan 2006
Paolo Giordani, Robert Kohn and Dick J. C. van Dijk
Sveriges Riksbank - Research Division, University of New South Wales - School of Economics and School of Banking and Finance and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 118 (222,823)
Citation 10

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State-space models, Markov-switching models, Threshold models, Bayesian inference, Business cycle asymmetry

12.

Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures

Riksbank Research Paper Series No. 211
Number of pages: 46 Posted: 27 Oct 2007
Mattias Villani, Robert Kohn and Paolo Giordani
Sveriges Riksbank - Research Division, University of New South Wales - School of Economics and School of Banking and Finance and Sveriges Riksbank - Research Division
Downloads 109 (235,929)

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Bayesian inference, Markov Chain Monte Carlo, Mixture of Experts, Predictive inference, Splines, Value-at-Risk, Variable selection

13.

Reconsidering the Role of Money for Output, Prices and Interest Rates

SSE/EFI Economics and Finance Working Paper No. 514
Number of pages: 32 Posted: 25 Mar 2003
Paolo Giordani and Giovanni Favara
Sveriges Riksbank - Research Division and HEC University of Lausanne
Downloads 98 (253,932)
Citation 10

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New-Keynesian models, LM shocks, VAR, Block-exogeneity

14.

Forecasting Macroeconomic Time Series with Locally Adaptive Signal Extraction

Riksbank Research Paper Series No. 65, Sveriges Riksbank Working Paper Series No. 234
Number of pages: 23 Posted: 08 Mar 2010
Paolo Giordani and Mattias Villani
Sveriges Riksbank - Research Division and Sveriges Riksbank - Research Division
Downloads 85 (277,988)
Citation 3

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Bayesian inference, Forecast evaluation, Regime switching, State space modeling, Dynamic mixture models

15.

Is There Evidence of Pessimism and Doubt in Subjective Distributions? Implications for the Equity Premium Puzzle

Journal of Economic Dynamics and Control, Vol. 30, pp. 1027-1043, 2006
Number of pages: 27 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paolo Giordani and Paul Söderlind
Sveriges Riksbank - Research Division and University of St. Gallen
Downloads 56 (348,540)
Citation 18

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equity premium, riskfree rate, aggregation of beliefs, Survey of Professional Forecasters, Livingston Survey

16.

Evaluating New-Keynesian Models of a Small Open Economy

Oxford Bulletin of Economics & Statistics, Vol. 66, No. S1, pp. 713-733, September 2004
Number of pages: 21 Posted: 25 Sep 2004
Paolo Giordani
Sveriges Riksbank - Research Division
Downloads 32 (433,083)
Citation 5
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17.

Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel

CEPR Discussion Paper No. 4068
Number of pages: 22 Posted: 19 Nov 2003
Paolo Giordani and Paul Söderlind
Sveriges Riksbank - Research Division and University of St. Gallen
Downloads 20 (493,583)
Citation 3
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Equity premium, risk-free rate, aggregation of beliefs, survey of professional forecasters, Livingston survey