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

16

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1,610

CITATIONS
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16

Scholarly Papers (16)

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 214 (140,804)
Citation 23

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 179 (166,024)
Citation 91

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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 172 (171,998)

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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 131 (216,845)
Citation 10

Abstract:

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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 121 (228,986)
Citation 2

Abstract:

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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 116 (236,266)
Citation 68

Abstract:

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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 111 (243,765)
Citation 38

Abstract:

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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 Universitaet Hamburg
Downloads 110 (245,332)
Citation 1

Abstract:

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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 108 (248,563)

Abstract:

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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 105 (253,536)
Citation 1

Abstract:

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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 75 (313,180)

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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 60 (352,504)
Citation 3

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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 58 (358,385)
Citation 7

Abstract:

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Analysis of variance, Bayesian inference, predictive distributions

14.

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 27 (476,644)
Citation 6

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

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 12 (585,375)

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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

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 9 (605,806)

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

16.

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 (631,365)
Citation 2
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