Time-Varying Skewness and Momentum Crashes
REV ASSET PRICING STUD · forthcoming · Depolis, Petrella
Daniele Bianchi
I am an Associate Professor at the School of Economics and Finance, Queen Mary University of London. My research interests span empirical asset pricing, Bayesian econometrics, and machine learning. I also have a keen interest in cryptocurrency markets.
My work has been published in the Review of Financial Studies, the Journal of Financial and Quantitative Analysis, the Review of Asset Pricing Studies, the Journal of Econometrics, and the Journal of Business and Economic Statistics.
Main Publications
Macroeconomic Fundamentals and the Shape of Sovereign Credit Risk
J FINANC QUANT ANAL · forthcoming · Jiao
Scalable Variational Bayes Inference for Dynamic Variable Selection
J COMPUT GRAPH STAT · forthcoming · Bernardi, Bianco
Mispricing and Risk Compensation in Cryptocurrency Returns
J FINANC QUANT ANAL · forthcoming · Babiak
Variational Inference for Large Bayesian Vector Autoregressions
J BUS ECON STAT · 42(3) 1066–1082 · Bernardi, Bianco
Trading Volume and Liquidity Provision in Cryptocurrency Markets
J BANK FINANC · vol 142 · Dickerson, Babiak
Bond Risk Premiums with Machine Learning
REV FINANC STUD · 34(2) 1046–1089 · Büchner, Tamoni
INVESCO Best Paper Award, FMA 2019
Adaptive Expectations and Commodity Risk Premiums
J ECON DYN CONTROL · vol 124
Modeling Systemic Risk with Markov Switching Graphical SUR Models
J ECONOMETRICS · 210(1) 58–74 · Billio, Casarin, Guidolin
Macroeconomic Factors Strike Back: A Bayesian Change Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross Section
J BUS ECON STAT · 35(1) · Guidolin, Ravazzolo
Working Papers
Machine Learning Portfolio Choice under Parameter Uncertainty
Zheng
Transaction Costs and the Stochastic Discount Factor
Jiao, Ma
Extrapolation Bias and the Lottery Effect: Evidence from Cryptocurrency Markets
Babiak
The Sector Anatomy of Commodity Risk Premia
Jung
Correlated False Discoveries and Asset Pricing Anomalies
Komiyama, McAllin, Yang
Weak Signals, Small Bets: A Portfolio Perspective on Firm Characteristics
Venturi
REAG Best Articles Award, XXV Brazilian Finance Meeting
It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction
Rubesam, Tamoni
Divide and Conquer: Financial Ratios and Industry Returns Predictability
McAlinn