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

8

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SSRN CITATIONS
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Top 28,430

in Total Papers Citations

3

CROSSREF CITATIONS

28

Scholarly Papers (8)

1.
Downloads 2,061 ( 10,610)
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 and Finance
Downloads 1,735 (13,779)
Citation 16

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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 326 (128,541)
Citation 9

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

2.

Estimating Risk in Illiquid Markets: a Model of Market Friction With Stochastic Volatility

CEIS Working Paper No. 506
Number of pages: 56 Posted: 01 Feb 2021 Last Revised: 09 Nov 2021
Giuseppe Buccheri, Stefano Grassi and Giorgio Vocalelli
University of Verona - Department of Economics, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance and University of Rome Tor Vergata
Downloads 137 (287,086)

Abstract:

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Market microstructure, Illiquidity, Volatility estimation, Score-driven models

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 112 (332,575)

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Space Explorations, Narrative Events, Space Economy, VAR

4.

Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas

CEIS Working Paper No. 510
Number of pages: 57 Posted: 18 Mar 2021
Stefano Grassi and Francesco Violante
University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance and affiliation not provided to SSRN
Downloads 74 (429,755)

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Cholesky decomposition; Multivariate GARCH, Asset Pricing, Time Varying Beta, Two Pass Regression.

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 30 (639,640)
Citation 1

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Reduced rank covariance matrix, DSGE models, stochastic dimension search

6.

Identifying Economic Shocks in a Rare Disaster Environment

CEIS Working Paper No. 517
Number of pages: 61 Posted: 20 Oct 2021 Last Revised: 23 Nov 2021
Luisa Corrado, Stefano Grassi and Aldo Paolillo
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 47 (532,756)

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COVID-19, Nonlinear, Non-Gaussian, Large shocks, DSGE

7.

A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance

Tinbergen Institute Discussion Paper 2021-016/III
Number of pages: 51 Posted: 18 Feb 2021
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 21 (686,099)
Citation 2

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

8.

A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods

Tinbergen Institute Discussion Paper 2022-013/III
Number of pages: 32 Posted: 05 Apr 2022
University Ca' Foscari of Venice - Department of Economics, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance, BI Norwegian Business School and Tinbergen Institute
Downloads 13 (769,653)

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Density combination, large set of predictive densities, dynamic factor models, nonlinear state-space, Bayesian inference