Daniele Bianchi

Main Publications

2026

Mispricing and Risk Compensation in Cryptocurrency Returns

J FINANC QUANT ANAL · 61(5) 2106–2132 · Babiak
2026

Time-Varying Skewness and Momentum Crashes

REV ASSET PRICING STUD · published online 2026 · De Polis, Petrella
2026

Macroeconomic Fundamentals and the Shape of Sovereign Credit Risk

J FINANC QUANT ANAL · published online 2026 · Jiao
2026

Scalable Variational Bayes Inference for Dynamic Variable Selection

J COMPUT GRAPH STAT · published online 2026 · Bernardi, Bianco
2024

Variational Inference for Large Bayesian Vector Autoregressions

J BUS ECON STAT · 42(3) 1066–1082 · Bernardi, Bianco
2022

Trading Volume and Liquidity Provision in Cryptocurrency Markets

J BANK FINANC · vol 142 · Dickerson, Babiak
2021

Bond Risk Premiums with Machine Learning

REV FINANC STUD · 34(2) 1046–1089 · Büchner, Tamoni
INVESCO Best Paper Award, FMA 2019
2021

Adaptive Expectations and Commodity Risk Premiums

J ECON DYN CONTROL · vol 124
2019

Modeling Systemic Risk with Markov Switching Graphical SUR Models

J ECONOMETRICS · 210(1) 58–74 · Billio, Casarin, Guidolin
2017

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