Mattias Villani

Sveriges Riksbank - Research Division

S-103 37 Stockholm

Sweden

http://www.riksbank.com/research/villani

Stockholm University - Department of Statistics

Universitetsvägen 10

Stockholm, Stockholm SE-106 91

Sweden

http://www.riksbank.com/research/villani

SCHOLARLY PAPERS

13

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1,587

SSRN CITATIONS
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Top 3,528

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131

CROSSREF CITATIONS

230

Scholarly Papers (13)

1.

Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks

Riksbank Research Paper Series No. 23, Sveriges Riksbank Working Paper No. 188
Number of pages: 28 Posted: 19 Apr 2007
Sveriges Riksbank, Finansinspektionen, Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Sveriges Riksbank
Downloads 424 (77,519)
Citation 42

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Bayesian inference, Combined forecasts, DSGE models, Forecasting, Monetary policy, Subjective forecasting, Vector autoregressions

2.

Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through

Riksbank Research Paper Series No. 18, Sveriges Riksbank Working Paper Series No. 179
Number of pages: 82 Posted: 19 Oct 2006
Sveriges Riksbank, Sveriges Riksbank - Monetary Policy Department, Sveriges Riksbank - Research Division and Sveriges Riksbank - Research Division
Downloads 278 (124,307)
Citation 132

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DSGE model, Open economy, Monetary Policy, Bayesian Inference, Business cycle

Evaluating an Estimated New Keynesian Small Open Economy Model

Riksbank Research Paper Series No. 203
Number of pages: 59 Posted: 18 Oct 2007
Sveriges Riksbank, Sveriges Riksbank - Research Division, Sveriges Riksbank - Monetary Policy Department and Sveriges Riksbank - Research Division
Downloads 188 (181,529)
Citation 11

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DSGE, VAR, VECM, Open economy, Bayesian inference

Evaluating an Estimated New Keynesian Small Open Economy Model

CEPR Discussion Paper No. 6027
Number of pages: 57 Posted: 26 Jun 2007
Sveriges Riksbank, Sveriges Riksbank - Research Division, Sveriges Riksbank - Monetary Policy Department and Sveriges Riksbank - Research Division
Downloads 2 (748,621)
Citation 15
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Bayesian inference, DSGE model, DSGE-VAR model, DSGE-VECM model, open economy

4.

Monetary Policy Analysis in a Small Open Economy Using Bayesian Cointegrated Structural Vars

Number of pages: 30 Posted: 16 Apr 2004
Mattias Villani and Anders Warne
Sveriges Riksbank - Research Division and affiliation not provided to SSRN
Downloads 173 (195,411)

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Structural, Vector autoregression, monetary policy, impulse responses, counterfactual experiments

5.

Inference in Vector Autoregressive Models with an Informative Prior on the Steady State

Riksbank Research Paper No. 19, Sveriges Riksbank Working Paper No. 181
Number of pages: 19 Posted: 19 Oct 2006
Mattias Villani
Sveriges Riksbank - Research Division
Downloads 117 (267,358)
Citation 6

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Cointegration, Bayesian inference, Forecasting, Unconditional Mean, VARs

6.

Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures

Riksbank Research Paper Series No. 211
Number of pages: 46 Posted: 27 Oct 2007
Mattias Villani, Robert Kohn and Paolo Giordani
Sveriges Riksbank - Research Division, University of New South Wales - School of Economics and School of Banking and Finance and Norwegian Business School
Downloads 113 (273,993)
Citation 4

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Bayesian inference, Markov Chain Monte Carlo, Mixture of Experts, Predictive inference, Splines, Value-at-Risk, Variable selection

7.

Forecasting Macroeconomic Time Series with Locally Adaptive Signal Extraction

Riksbank Research Paper Series No. 65, Sveriges Riksbank Working Paper Series No. 234
Number of pages: 23 Posted: 08 Mar 2010
Paolo Giordani and Mattias Villani
Norwegian Business School and Sveriges Riksbank - Research Division
Downloads 89 (321,087)
Citation 8

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Bayesian inference, Forecast evaluation, Regime switching, State space modeling, Dynamic mixture models

8.

Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities

Riksbank Research Paper Series No. 64, Sveriges Riksbank Working Paper Series No. 233
Number of pages: 24 Posted: 04 Mar 2010 Last Revised: 08 May 2010
Feng Li, Mattias Villani and Robert Kohn
Central University of Finance and Economics (CUFE), Sveriges Riksbank - Research Division and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 74 (358,281)
Citation 7

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Bayesian Inference, Markov Chain Monte Carlo, Mixture of Experts, Variable Selection, Volatility Modeling

9.

Bayesian Inference of General Linear Restrictions on the Cointegration Space

Riksbank Research Paper Series No. 24, Sveriges Riksbank Working Paper Series No. 189
Number of pages: 19 Posted: 24 Apr 2007
Mattias Villani
Sveriges Riksbank - Research Division
Downloads 42 (466,916)

Abstract:

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Bayesian inference, cointegration, posterior probability, restrictions

10.

Modeling Conditional Densities Using Finite Smooth Mixtures

Riksbank Research Paper Series No. 76, Sveriges Riksbank Working Paper Series No. 245
Number of pages: 22 Posted: 27 Jan 2011
Robert Kohn, Feng Li and Mattias Villani
University of New South Wales - School of Economics and School of Banking and Finance, Central University of Finance and Economics (CUFE) and Sveriges Riksbank - Research Division
Downloads 40 (475,574)

Abstract:

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Bayesian inference, Markov chain Monte Carlo, Mixture of Experts, Variable selection

11.

Bayesian Inference in Structural Second-Price Common Value Auctions

Riksbank Research Paper Series No. 73, Sveriges Riksbank Working Paper Series No. 242
Number of pages: 30 Posted: 29 May 2010
Bertil Wegmann and Mattias Villani
Stockholm University - Department of Statistics and Sveriges Riksbank - Research Division
Downloads 25 (552,362)

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Bid function approximation, eBay, Internet auctions, Likelihood inference, Markov Chain Monte Carlo, Normal valuations, Variable selection

12.

A Bayesian Approach to Modelling Graphical Vector Autoregressions

Journal of Time Series Analysis, Vol. 27, No. 1, pp. 141-156, January 2006
Number of pages: 16 Posted: 21 Feb 2006
Jukka Corander and Mattias Villani
University of Helsinki - Department of Mathematics and Sveriges Riksbank - Research Division
Downloads 14 (624,673)
Citation 4
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Fractional Bayes, Granger causality, graphical models, lag-length selection, vector autoregression

13.

Regression Density Estimation Using Smooth Adaptive Gaussian Mixtures

Journal of Econometrics, Vol. 153, No. 2, 2009, UNSW Business School Research Paper Forthcoming
Number of pages: 25 Posted: 05 Jun 2019
Mattias Villani, Robert Kohn and Paolo Giordani
Sveriges Riksbank - Research Division, University of New South Wales - School of Economics and School of Banking and Finance and Norwegian Business School
Downloads 8 (667,787)
Citation 1

Abstract:

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Bayesian inference, Markov Chain Monte Carlo, Mixture of Experts, Nonparametric estimation, Splines, Value-at-Risk, Variable selection