Staff Directory

Dr Daniele Bianchi

Assistant Professor of Finance

Research Interests

Empirical Asset Pricing, Bayesian Econometrics, Commodity Markets, Cryptocurrencies.

Teaching in 2017-2018

  • IB9Y60: Empirical Finance
Postgraduate Research Finance and Econometrics
  • IB9CK0: Asset Pricing II

Finance Group

Email:  /  Tel: 024 765 22701  /  Room: 2.114


Daniele Bianchi is an Assistant Professor in the Finance Group at the Warwick Business School, University of Warwick (that he joined in the Fall of 2014). He was awarded a Ph.D. by the Department of Finance at Bocconi University in Spring 2014. His research interests span empirical asset pricing, Bayesian econometrics, commodity markets, and cryptocurrencies. His papers have been presented at conferences organized by the American Economic Association (AEA), the National Bureau of Economic Research (NBER), the Econometric Society, the European Finance Association (EFA), the European Economic Association (EEA), the Society of Financial Studies (SFS), and the Society of Economic Dynamics (SED).

Personal Website

Working Papers

  1. Cryptocurrencies as an Asset Class: An Empirical Assessment (New)

  2. Carry Trades and Tail Risk: Evidence from Commodity Markets (New)

    • Royal Economic Society annual conference 2018 (scheduled), Commodity Markets Winter Workshop at Audencia Business School 2018 (scheduled).

  3. Expected Spot Prices and the Dynamics of Commodity Risk Premia, (with Jacopo Piana)

    • NBER Economics of Commodity Markets Meeting 2016, European Winter Meeting of the Econometric Society 2016, Society for Economic Dynamics annual meeting 2017, Financialization of Commodity Markets workshop Bozen 2017, Barcelona GSE Summer Forum 2017, Energy and Commodity Finance conference at Oxford 2017, 70th European Summer Meeting of the Econometric Society, 49th Money, Macro and Finance Research Group Annual Conference at King's College, 4th SAFE Asset Pricing Workshop at Goethe University, OU Energy and Commodities Finance Research Conference 2017.

  4. The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling, (with Andrea Tamoni)

    • Presentations: SFS Cavalcade 2016 at Rotman, 9th Annual Conference SoFiE, NBER-NSF Seminar in Bayesian Inference in Econometrics and Statistics at UPenn 2016, Univ. Of Mannheim / EABCN Conference: "Asset Prices and the Macro Economy" 2016, 9th ECB Workshop on Forecasting Techniques, 69th Econometric Society European meetings, Barcelona GSE Summer Forum 2016, Society for Economic Dynamics annual meeting 2017 (scheduled), North American Summer Meeting of the Econometric Society 2017 (scheduled).

  5. An Anatomy of Industry Merger Waves, (with Carlo Chiarella), R&R at the Journal of Financial Econometrics

    • Presentations: Royal Economic Society 2016, CEPR First Annual Spring Symposium in Financial Economics, 69th Econometric Society European meetings, 3rd Conference of the International Association for Applied Econometrics, 24th Finance Forum in Madrid.

  6. Modeling Systemic Risk with Markov Switching Graphical SUR Models, (with Monica Billio, Roberto Casarin and Massimo Guidolin), R&R at the Journal of Econometrics

    • Presentations: NBER SI EFWW 2015, NBER-NSF Time Series Conference 2015, 11th World Congress of the Econometric Society, 8th SoFiE, FMA Annual Meeting 2015, 2nd IHS Workshop on High-Dimensional Time Series in Macroeconomics and Finance, ESOBE 2015, SYRTO 2015

  7. A Dynamic Test of Conditional Asset Pricing Models, R&R at the Journal of Applied Econometrics

    • Presentations: 8th RCEA Bayesian econometrics workshop, 6th Italian Congress of Econometrics and Empirical Economics, and the 23rd Symposium of the Society for Nonlinear Dynamics and Econometrics.

    • Finalist Carlo Giannini Prize for the best conference paper in Financial Econometrics, 6th ICEEE


Journal Articles

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