Gianni Amisano

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

University of Bologna - Rimini Center for Economic Analysis (RCEA)

senior fellow

Via Patara, 3

Rimini (RN), RN 47900

Italy

University of Brescia - Department of Economics

professor of econometrics

Via San Faustino 74B

Brescia, 25122

Italy

SCHOLARLY PAPERS

17

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SSRN CITATIONS
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Top 4,550

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15

CROSSREF CITATIONS

223

Scholarly Papers (17)

1.

Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns

ECB Working Paper No. 831
Number of pages: 77 Posted: 28 Aug 2007
John Geweke and Gianni Amisano
University of Technology Sydney - Economics Discipline Group and Board of Governors of the Federal Reserve System
Downloads 217 (145,135)

Abstract:

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asset returns, Bayesian, forecasting, MCMC, mixture models

2.

Optimal Prediction Pools

ECB Working Paper No. 1017
Number of pages: 37 Posted: 04 Jul 2008
John Geweke and Gianni Amisano
University of Technology Sydney - Economics Discipline Group and Board of Governors of the Federal Reserve System
Downloads 182 (170,773)
Citation 6

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forecasting, GARCH, log scoring, Markov mixture, model combination, S&P 500 returns, stochastic volatility

3.

Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing the Systematic Risk

CAREFIN Research Paper
Number of pages: 49 Posted: 24 Oct 2008 Last Revised: 06 Apr 2015
Gianni Amisano and Roberto Savona
Board of Governors of the Federal Reserve System and University of Brescia
Downloads 174 (177,730)

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Equity mutual funds, conditional asset pricing models, time-varying beta, Bayesian analysis

4.

Money Growth and Inflation: A Regime Switching Approach

ECB Working Paper No. 1207
Number of pages: 53 Posted: 10 Jun 2010
Gianni Amisano and Gabriel Fagan
Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 134 (221,010)

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Money Growth, Inflation Regimes, Early Warning, Time Varying Transition Probabilities, Markov Switching Model, Bayesian Inference

5.

Evaluating the Predictive Distributions of Bayesian Models of Asset Returns

Number of pages: 19 Posted: 04 Jul 2008
John Geweke and Gianni Amisano
University of Technology Sydney - Economics Discipline Group and Board of Governors of the Federal Reserve System
Downloads 124 (234,589)
Citation 2

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forecasting, GARCH, inverse probability transform, Markov mixture, predictive likelihood, S&P 500 returns, stochastic volatility

6.

Comparing and Evaluating Bayesian Predictive Distributions of Asset Returns

ECB Working Paper No. 969
Number of pages: 33 Posted: 29 Nov 2008
John Geweke and Gianni Amisano
University of Technology Sydney - Economics Discipline Group and Board of Governors of the Federal Reserve System
Downloads 123 (236,048)
Citation 4

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forecasting, GARCH, inverse probability transform, Markov mixture, predictive likelihood, S&P 500 returns, stochastic volatility

7.

Prediction Using Several Macroeconomic Models

ECB Working Paper No. 1537
Number of pages: 43 Posted: 11 May 2013
Gianni Amisano and John Geweke
Board of Governors of the Federal Reserve System and University of Technology Sydney - Economics Discipline Group
Downloads 115 (248,039)
Citation 3

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Analysis of variance, Bayesian model averaging, dynamic factor model, dynamic stochastic general equilibrium model, prediction pools, probability integral transform test, vector autoregression model

8.

Money Growth and Infl‡ation: Evidence from a Markov Switching Bayesian VAR

Hamburg University, Department Wirtschaft und Politik Macroeconomics and Finance Series Discussion Paper 4/2013
Number of pages: 24 Posted: 18 Jun 2013
Gianni Amisano and Roberta Colavecchio
Board of Governors of the Federal Reserve System and Banque centrale du Luxembourg
Downloads 113 (251,116)

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money growth, infl‡ation regimes, Markov Switching vector autoregressive model, Bayesian inference

9.

Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk

ECB Working Paper No. 881
Number of pages: 53 Posted: 12 Mar 2008 Last Revised: 07 Apr 2008
Gianni Amisano and Roberto Savona
Board of Governors of the Federal Reserve System and University of Brescia
Downloads 110 (255,995)

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Equity mutual funds, conditional asset pricing models, time-varying beta, Bayesian analysis

10.

Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

ECB Working Paper No. 754
Number of pages: 55 Posted: 31 May 2007
Gianni Amisano and Oreste Tristani
Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 107 (260,927)

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DSGE models, inflation persistence, second order approximations

11.

Entry into New Pharmaceutical Submarkets: The Role of Submarket Concentration

Number of pages: 51 Posted: 09 Apr 2008
Gianni Amisano and Maria Letizia Giorgetti
Board of Governors of the Federal Reserve System and affiliation not provided to SSRN
Downloads 77 (321,674)

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Entry, Diversification, Bayesian Inference, Panel data, Probit model, random effects

12.

EMU and the Adjustment to Asymmetric Shocks: The Case of Italy

ECB Working Paper No. 1128
Number of pages: 39 Posted: 24 Dec 2009
Gianni Amisano, Nicola Giammarioli and Livio Stracca
Board of Governors of the Federal Reserve System, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 63 (358,881)

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EMU, relative economic performance, shocks, adjustment, Italy

13.

Analysis of Variance for Bayesian Inference

ECB Working Paper No. 1409
Number of pages: 24 Posted: 21 Dec 2011
John Geweke and Gianni Amisano
University of Technology Sydney - Economics Discipline Group and Board of Governors of the Federal Reserve System
Downloads 60 (367,786)

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Analysis of variance, Bayesian inference, predictive distributions

Uncertainty Shocks, Monetary Policy and Long-Term Interest Rates

ECB Working Paper No. 2279 (2019); ISBN 978-92-899-3541-8
Number of pages: 57 Posted: 14 May 2019
Gianni Amisano and Oreste Tristani
Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 31 (489,402)

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monetary policy rules, uncertainty shocks, term structure of interest rates, regime switches, Bayesian estimation

Uncertainty Shocks, Monetary Policy and Long-Term Interest Rates

FEDS Working Paper No. 2019-024
Number of pages: 55 Posted: 14 Apr 2019
Gianni Amisano and Oreste Tristani
Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 14 (597,399)

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Monetary policy rules, Uncertainty shocks, Term structure of interest rates, Regime switches, Bayesian estimation

15.

Exact Likelihood Computation for Nonlinear DSGE Models with Heteroskedastic Innovations

ECB Working Paper No. 1341
Number of pages: 43 Posted: 31 May 2011
Gianni Amisano and Oreste Tristani
Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 29 (486,914)

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DSGE models, second-order approximation, regime switching, time-varying volatility

16.

Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

CEPR Discussion Paper No. DP6373
Number of pages: 50 Posted: 23 May 2008
Gianni Amisano and Oreste Tristani
Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 3 (649,130)
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Bayesian estimation, DSGE models, inflation persistence, second order approximations, sequential Monte Carlo

17.

Assessing European Central Bank's Credibility During the First Years of the Eurosystem: A Bayesian Empirical Investigation

The Manchester School, Vol. 78, Issue 5, pp. 437-459, September 2010
Number of pages: 23 Posted: 10 Aug 2010
Gianni Amisano and Marco Tronzano
Board of Governors of the Federal Reserve System and Università degli Studi di Genova
Downloads 2 (658,662)
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