Stefano Grassi

University of Rome Tor Vergata

Via Cracovia 1

Rome, 00133

Italy

  • University of Rome Tor Vergata

SCHOLARLY PAPERS

5

DOWNLOADS

628

TOTAL CITATIONS

4

Scholarly Papers (5)

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1.

The Transmission Mechanism of Quantitative Easing: A Markov-Switching FAVAR Approach

CEIS Working Paper No. 520
Number of pages: 40 Posted: 03 Nov 2021
Luisa Corrado, Stefano Grassi and Enrico Minnella
University of Rome Tor Vergata Department of Economics and Finance, University of Rome Tor Vergata and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 223 (291,636)

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Monetary Policy; Financial Crisis; Structural analysis; Non-linear FAVAR

2.

Global Money Supply and Energy and Non-Energy Commodity Prices: A MS-TV-VAR Approach

Number of pages: 39 Posted: 09 Mar 2023
Stefano Grassi, Francesco Ravazzolo, Joaquin Vespignani and Giorgio Vocalelli
University of Rome Tor Vergata, Free University of Bozen-Bolzano, University of Tasmania - School of Economics and Finance and University of Rome Tor Vergata
Downloads 180 (356,144)

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Global money supply, Energy and non-energy prices, Markov-Switching V

3.

Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies

Tinbergen Institute Discussion Paper 2018-076/III
Number of pages: 53 Posted: 04 Nov 2018
Nalan Basturk, Agnieszka Borowska, Stefano Grassi, Lennart F. Hoogerheide and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, VU University Amsterdam, University of Rome Tor Vergata, VU University Amsterdam and Tinbergen Institute
Downloads 85 (631,117)
Citation 1

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forecast combination, momentum strategy, filtering methods, Bayes estimates

4.

Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance

Tinbergen Institute Discussion Paper 2019-025/III
Number of pages: 79 Posted: 02 May 2019
Roberto Casarin, Stefano Grassi, Francesco Ravazzollo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Rome Tor Vergata, BI Norwegian Business School and Tinbergen Institute
Downloads 82 (644,623)
Citation 3

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Forecast Combinations, Particle Filters, Bayesian Inference, State Space Models, Sequential Monte Carlo

5.

The Time-Varying Multivariate Autoregressive Index Model

CEIS Working Paper No. 571
Number of pages: 52 Posted: 10 Jan 2024
Gianluca Cubadda, Stefano Grassi and Barbara Guardabascio
University of Rome Tor Vergata - Department of Economics and Finance, University of Rome Tor Vergata and University of Perugia
Downloads 58 (776,309)

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Large Vector Autoregressive Models, Multivariate Autoregressive Index Models, Time-Varying Parameter Models, Bayesian Vector Autoregressive Models