Gianni Amisano's research page
Ph.D. economics, Warwick, dicembre 1995),
professor of econometrics
Address: Dipartimento di Scienze Economiche,
Università di Brescia, via San Faustino 74/B,
25122 Brescia, Italy.
Tel: +39-030-2988839, fax: +39-030-2988837, E-mail: amisano@eco.unibs.it.
SSRN
page: http://ssrn.com/author=337895
Currently on leave senior economist,
DG-Research, European Central Bank
Address:
European Central Bank, 29 Kaiserstrasse, D-60311,
Tel: +49-(0)69-13447934, fax: +49-(0)69-13448553, E-mail: gianni.amisano@ecb.europa.eu
Personal data
CURRICULUM VITAE (May 2009), My family web page
(a few pics)
Research interests
Bayesian
econometrics; Latent variables models; Structural VAR models; Time-Varying
Parameter VARs; Macroeconometric forecasting models;
Estimation of DSGE models
My current research (for replication codes and data sets, please contact me via email)
Research output 2007-2010 (with active links to dowloadable papers)
Accepted papers
"Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns" (with J. Geweke), July 2007, ECB working paper 831, November 2007, forthcoming on Journal of Applied Econometrics, 2009.
"Assessing
ECB credibility during the first years of the Eurosystem:
a Bayesian Empirical Investigation" (with
"Comparing and evaluating
Bayesian predictive distributions of asset returns” (with John Geweke), ECB Working Paper no. 969 ,forthcoming on International
Journal of Forecasting, 2009.
"Euro area inflation persistence in an estimated nonlinear DSGE model" (with O. Tristani), resubmitted, July 2009 , forthcoming on Journal of Economic Dynamics and Control, also ECB working paper no. 754 and CEPR working paper no. 6373.
Submitted papers
"Entry in Pharmaceutical submarkets: a Bayesian panel probit analysis", with L. Giorgetti, submitted, May 2009.
"Entry in pharmaceutical submarkets: the role of concentration", with L. Giorgetti, submitted, May 2009.
"Imperfect predictability and mutual fund dynamics: how managers use predictors in changing systematic risk” (with R. Savona), submitted, also ECB working paper n. 831.
"Optimal Prediction Pools”, with J. Geweke, ECB Working Paper no. 1017, May 2009.
"Money growth leads inflation regime changes", joint with Gabriel Fagan, May 2009, submitted to the ECB Working Papers Series.
Current research papers
"Solving DSGE Models with Non-normal Shocks
Using a Second-order Approximation to the Policy Function", with O. Tristani, presented at CEF conference,
"Simulation based filtering for nonlinear
DSGE models: problems and solutions", with O. Tristani, presented at CEF
conference,
"Particle Filters for Markov-Switching Stochastic-Correlation Models", with Roberto Casarin, June 2007, slides, SIS proceedings paper.
"A DSGE
model for the term structure with regime shifts”, with O. Tristani, submitted to the ECB Working Papers Series, May
2009.
“Bayesian
factor time varying VARs”, with G. Primiceri and A. Justiniano.
“Large Bayesian
time varying VARs”, with D. Giannone and M. Lenza.
“Multivariate Early
warning Markov Switching models”, with D. Bragoli and
G. Fagan.
Conferences and Workshops:
SECOND
CARLO GIANNINI INTERNATIONAL CONFERENCE, Bank of Italy, 19/20 January 2010
First CARLO GIANNINI Ph.D. Workshop in Econometrics, Brescia, 11th December 2009 (NEW: PROGRAM, PAPERS AND DISCUSSIONS)
Teaching
Teaching (in
English):PhD Course: Structural
Vector Autoregressions (Boston College)
Teaching (in English):PhD Course: An introduction to
Bayesian econometrics for macroeconomists (
GEMAFI: General Equilibrium in MAcro and FInance seminars (a joint initiative by Amisano-Menoncin-Minelli): schedule and slides
Teaching (in English):PhD Course: Bayesian
Estimation of Structural models (Institute for Advanced Studies,
Teaching (in English):ECB training: Bayesian treatment of the univariate linear regression model, ECB
Teaching (in English): Term structure
in DSGE models (Goethe Universitaet, December 2009), class
1, class
2
Teaching (in English): ECB Advanced
Bayesian training: Bayesian estimation of state space and DSGE models (2010/03/04);
slides,
codes
SSM, codes
DSGE
Teaching (in English): ECB Advanced
Bayesian training: Bayesian estimation of state space and DSGE models (2010/03/26);
slides, codes