Fields: Bayesian statistics, forecasting, financial econometrics


Download the CV of Paolo Giordani


  • PhD in Economics and Econometrics, October 2001, Stockholm School of Economics.
  • Master of Science in Economics (honour), 1998, Universitat Pompeu Fabra, Barcelona.
  • Undergraduate diploma in Political Sciences (cum laude), 1998, University of Pisa, Italy.

Work in process and working papers

"Return predictability and valuation ratios at short horizons."

Publications in refereed journals

"Copula-type estimators for flexible multivariate density modeling using mixtures," with Tran M., Mun X., Kohn R, and Pitt M., forthcoming in Journal of Computational and Graphical Statistics.


"Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios," with Tor Jacobson, Erik von Schedvin and Mattias Villani, forthcoming in the Journal of Financial and Quantitative Analysis.


Discussion of "Fast sparse regression and classification," by Jerome Friedman, with Tran Minh-Ngoc and Robert Kohn, forthcoming in International Journal of Forecasting.


"On some properties of Markov Chain Monte Carlo simulation methods based on the particle filter," with Michael Pitt, Ralph Silva, and Robert Kohn, Journal of Econometrics, 2012, 171, 134-151.


"Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage," with Xiuyan Mun and Robert Kohn, Journal of Financial Econometrics, 2012.


"Flexible Multivariate Density Estimation with Marginal Adaption," withXiuyan Mun, Tran Minh-Ngoc, and Robert Kohn, Journal of Computational and Graphical Statistics, 2013, 22.


"Tests of the Term Structure Hypothesis and Structural Breaks," with George Bulkley, Journal of Financial Economics, 2011, 102, 222-232.


"Regression Density Estimation using Smooth Adaptive Gaussian Mixtures," with Robert Kohn and Mattias Villani, Journal of Econometrics, 2010, 53, 155-173.


"Forecasting Macroeconomic Time Series with Locally Adaptive Signal Extraction," with Mattias Villani, 2010, International Journal of Forecasting, 2010, 26, 312-25.


"Adaptive Independent Metropolis Hastings by Fast Estimation of Mixtures of Normals," with Robert Kohn, Journal of Computational and Graphical Statistics, 2010, 9, 243-259.


"Efficient Bayesian Inference for Multiple Change Point and Mixture Innovation Models," with Robert Kohn, Journal of Business and Economic Statistics, 2008, 26, 66-77.


"Reconsidering the Role of Money for Output, Prices and Interest Rates," with Giovanni Favara, Journal of Monetary Economics, 2009, 56, 419-430.


"A Unified Approach to Nonlinearity, Structural Change and Outliers," with Robert Kohn and Dick van Dijk, Journal of Econometrics, 2007, 127, 112-133.


"Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle", Journal of Economic Dynamics and Control, 2006, 30, 1027-1043.


"A Cautionary Note on Robust Estimation of Threshold Models," Journal of Forecasting, 2006.


"An Alternative Explanation of the Price Puzzle", 2004, Journal of Monetary Economics, 51, 1271-1296.


"Solution of Macromodels with Hansen-Sargent Robut Policies: Some Extensions," with Paul Söderlind, Journal of Economic Dynamics and Control, 2004, 28, 2367-2397.


"A VAR Evaluation of New Keynesian Models of a Small Open Economy", 2004, Oxford Bulletin of Economics and Statistics, 66, 713-734.


"Inflation Forecast Uncertainty," with Paul Söderlind, European Economic Review, 2003, 47, 1037-1059.


"On Modeling the Effects of Inflation Shocks: Comments and Some Further Evidence," Contributions to Macroeconomics, 3,1.



Book chapters

"State Space Time Series Models" with Robert Kohn and Michael Pitt, The Oxford Handbook of Bayesian Econometrics, 2011, edited by S. Chib, J. Geweke, and G. Koop.


"Bayesian Inference Using Adaptive Sampling," with Robert Kohn, Advances in Econometrics: Bayesian Econometrics, Volume 23, 2008, edited by S. Chib, W. Griffiths, G. Koop, and D. Terrel.