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Research

Publications: Dr Daniele Bianchi

Bianchi D ( 2021 ) . Adaptive expectations and commodity risk premiums . Journal of Economic Dynamics and Control vol. 124 ,
Bianchi D ( 2020 ) . Bond Risk Premia with Machine Learning . The Review of Financial Studies
Bianchi D, Billio M, Casarin R, Guidolin M ( 2019 ) . Modeling systemic risk with Markov Switching Graphical SUR models . Journal of Econometrics vol. 210 , ( 1 ) 58 - 74 .
Bianchi D, Chiarella C ( 2018 ) . An Anatomy of Industry Merger Waves* . Journal of Financial Econometrics vol. 17 , ( 2 ) 153 - 179 .
Bianchi D, Guidolin M, Ravazzolo F ( 2017 ) . Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?* . Journal of Financial Econometrics vol. 16 , ( 1 ) 34 - 62 .
Bianchi D, Guidolin M, Ravazzolo F ( 2017 ) . Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section . Journal of Business & Economic Statistics vol. 35 , ( 1 ) 110 - 129 .