Stefano Grassi

University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance

PhD Candidate

Via Columbia, 2

Rome, 00133

Italy

SCHOLARLY PAPERS

5

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1,602

SSRN CITATIONS
Rank 28,044

SSRN RANKINGS

Top 28,044

in Total Papers Citations

3

CROSSREF CITATIONS

28

Scholarly Papers (5)

1.
Downloads 1,491 ( 14,174)
Citation 15

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 and Finance
Downloads 1,186 (19,774)
Citation 16

Abstract:

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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 and Finance
Downloads 305 (115,727)
Citation 6

Abstract:

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

2.
Downloads 26 (447,528)
Citation 1

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 and Finance and University of Kent - Department of Economics
Downloads 26 (578,431)
Citation 1

Abstract:

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Reduced rank covariance matrix, DSGE models, stochastic dimension search

3.

The Macroeconomic Effects of Aerospace Shocks

CEIS Working Paper No. 503
Number of pages: 29 Posted: 18 Nov 2020
Luisa Corrado, Stefano Grassi and Edgar Silgado-Gómez
University of Rome Tor Vergata Department of Economics and Finance, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance and University of Rome Tor Vergata
Downloads 45 (476,174)

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Space Explorations, Narrative Events, Space Economy, VAR

4.

A Structural Model of Market Friction with Time-Varying Volatility

CEIS Working Paper No. 506
Number of pages: 34 Posted: 01 Feb 2021
Giuseppe Buccheri, Stefano Grassi and Giorgio Vocalelli
University of Rome Tor Vergata, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance and University of Rome Tor Vergata
Downloads 38 (498,585)

Abstract:

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Illiquidity, Market Microstructure, Volatility, Risk assessment.

5.

A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance

Tinbergen Institute Discussion Paper 2021-016/III
Number of pages: 51
University Ca' Foscari of Venice - Department of Economics, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance, Free University of Bozen-Bolzano and Tinbergen Institute
Downloads 2 (732,772)

Abstract:

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Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference