Stefano Grassi

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

PhD Candidate

Via Columbia, 2

Rome, 00133

Italy

SCHOLARLY PAPERS

6

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1,893

SSRN CITATIONS
Rank 29,544

SSRN RANKINGS

Top 29,544

in Total Papers Citations

3

CROSSREF CITATIONS

27

Scholarly Papers (6)

1.
Downloads 1,653 ( 12,959)
Citation 14

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 1,340 (17,663)
Citation 16

Abstract:

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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 313 (118,850)
Citation 7

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Crypto-currency; Bitcoin, Score-Driven model; Leverage effect; Long memory; Higher Order Moments

2.

A Structural Model of Market Friction with Time-Varying Volatility

CEIS Working Paper No. 506
Number of pages: 40 Posted: 01 Feb 2021 Last Revised: 24 Mar 2021
Giuseppe Buccheri, Stefano Grassi and Giorgio Vocalelli
University of Rome Tor Vergata, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance and University of Rome Tor Vergata
Downloads 97 (328,475)

Abstract:

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Illiquidity, Market Microstructure, Volatility, Risk assessment.

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 77 (378,060)

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Space Explorations, Narrative Events, Space Economy, VAR

4.
Downloads 27 (464,908)
Citation 1

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
Federal Reserve Bank of Chicago, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance and University of Kent - Department of Economics
Downloads 27 (598,068)
Citation 1

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Reduced rank covariance matrix, DSGE models, stochastic dimension search

5.

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 29 (569,452)

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

6.

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
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 10 (701,896)
Citation 1

Abstract:

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