Stefano Grassi

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

PhD Candidate

Via Columbia, 2

Rome, 00133

Italy

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

SCHOLARLY PAPERS

10

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36

Scholarly Papers (10)

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1.

Modelling Crypto-Currencies Financial Time-Series

Downloads 2,598 (11,604)
Citation 30

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 2,228 (14,518)
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 370 (172,424)
Citation 14

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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 187 (347,642)

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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 181 (358,045)

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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 160 (398,965)

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

5.

Estimating the Tax and Credit-Event Risk Components of Credit Spreads

Downloads 59 (464,012)
Citation 4

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
Filippo Ferroni, Stefano Grassi and Miguel A. Leon-Ledesma
Federal Reserve Bank of Chicago, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance and University of Exeter
Downloads 59 (794,543)
Citation 4

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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,

CEIS Research paper No 517, Vol.19, Issue 5

Number of pages: 75 Posted: 20 Oct 2021 Last Revised: 30 Aug 2024
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 124 (490,558)

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C11, C51, E30 COVID-19, DSGE, Large shocks, Nonlinear, Non-Gaussian

7.

Energy Shocks, Pandemics and the Macroeconomy

CEIS Working Paper No. 582
Number of pages: 81 Posted: 31 Aug 2024
Luisa Corrado, Stefano Grassi, Aldo Paolillo and Francesco Ravazzolo
University of Rome Tor Vergata Department of Economics and Finance, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance, University of Rome Tor Vergata and Free University of Bozen-Bolzano
Downloads 76 (680,950)

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8.

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
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk
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 68 (724,154)
Citation 2

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

9.

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
Roberto Casarin, Stefano Grassi, Francesco Ravazzollo and H. K. van Dijk
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 56 (800,026)

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

10.

Identifying Large Economic Shocks in a Disaster Environment

Number of pages: 64 Posted: 19 Feb 2024
Stefano Grassi, Luisa Corrado and Aldo Paolillo
University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance, University of Rome Tor Vergata Department of Economics and Finance and University of Rome Tor Vergata
Downloads 47 (869,076)

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