Stefano Grassi

University of Rome, Tor Vergata, Faculty of Economics, Department of Economics, Law and Institutions

PhD Candidate

Via Columbia, 2

Rome, 00133

Italy

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2

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28

Scholarly Papers (2)

1.
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Citation 14

Modelling Crypto-Currencies Financial Time-Series

Number of pages: 40 Posted: 01 Sep 2017 Last Revised: 28 Oct 2019
Leopoldo Catania and Stefano Grassi
Aarhus University - School of Business and Social Sciences and University of Rome, Tor Vergata, Faculty of Economics, Department of Economics, Law and Institutions
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Citation 19

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Crypto-Currency, Bitcoin, Score-Driven Model, Leverage Effect, Long Memory, Higher Order Moments

Modelling Crypto-Currencies Financial Time-Series

CEIS Working Paper No. 417
Number of pages: 39 Posted: 11 Dec 2017 Last Revised: 17 Dec 2017
Leopoldo Catania and Stefano Grassi
Aarhus University - School of Business and Social Sciences and University of Rome, Tor Vergata, Faculty of Economics, Department of Economics, Law and Institutions
Downloads 291 (107,692)
Citation 3

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Crypto-currency; Bitcoin, Score-Driven model; Leverage effect; Long memory; Higher Order Moments

Selecting Primal Innovations in DSGE Models

FRB of Chicago Working Paper No. WP-2017-20
Number of pages: 37 Posted: 07 Nov 2017 Last Revised: 11 Nov 2017
Federal Reserve Bank of Chicago, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics, Law and Institutions and University of Kent - Department of Economics
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Reduced rank covariance matrix, DSGE models, stochastic dimension search