Stefano Grassi

Associate Professor in Economics and Finance in Tor Vergata University of Rome


Stefano Grassi is an Associate Professor at the University of Rome 'Tor Vergata'.  His research interestsspan from financial econometrics, cryptocurrency, state space models, Bayesian analysis, sequential Monte Carlo methods, DSGE models.

His research outcomes are published in international peer-reviewed journals.

He teaches courses in Econometrics, Financial Econometrics, Time Series Analysis, Ph.D., and Executive programs.

Before joining the University of Rome 'Tor Vergata', Stefano was Lecturer at the University of Kent (UK).


  • Forecasting with the Standardized Self-Perturbed Kalman Filter, with Nonejad N. and Santucci de Magistris P. Journal of Applied Econometrics, forthcoming.
  • A DataCleaning Augmented Kalman Filter for Robust Estimation of State Space Models with Proietti T. and Marczak M. Econometrics and Statistics, forthcoming.
  • The R package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference (2015) with Basturk N., Hoogerheide, L., Opschoor A. and van Dijk H. K. Journal of Statistical Software, forthcoming.
  • Parallel Sequential Monte Carlo for Efficient Density Combination:  The Deco Matlab Toolbox(2015), with Casarin R., Ravazzolo F. and van Dijk H. K., Journal of Statistical Software, Vol. 68. 1-30.
  • EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries(2015), with Proietti T., Frale C., Marcellino M. and Mazzi G., International Journal of Forecasting, Vol 31, 712-738.
  • Parallelization Experience with Four Canonical Econometric Models using ParMitISEM, with B˜ast¨urk N., Hoogerheide, L. and van Dijk H. K., Econometrics, Vol. 4, 1-20.
  • Stochastic Trends and Seasonality in Economic Time Series: New Evidence from Bayesian Stochastic Model Specification Search(2015), with Proietti T., Empirical Economics, Vol. 48, 983-1011.
  • Its all about volatility (of volatility): Evidence from a two-factor stochastic volatility model(2014), with Santucci de Magistris P., Journal of Empirical Finance, Vol. 30, 62-78.
  • Item Response Models to Measure Corporate Social Responsibility(2014), with Nicolosi M. and Stanghellini E., Applied Financial Economics, Vol. 24, 1449-1464.
  • When Long Memory Meets the Kalman Filter: A Comparative Study(2014), with Santucci de Magistris P., Computational Statistics and Data Analysis, Vol. 76, 301-319.
  • Characterizing Economic Trends by Bayesian Stochastic Model Specification Search(2014), with Proietti T., Computational Statistics and Data Analysis, Vol. 71, 359-374.
  • The Statistical Relation of Sea-level and Temperature Revisited(2013), with Hillebrand E. and Ventosa-Santaulria D., Dynamics of Atmospheres and Oceans, Vol. 64, 1-9.
  • Heterogeneous Computing in Economics: A Simplified Approach(2012), with Dziubinski, M. P., Computational Economics, Vol. 43, 485-495.
  • Bayesian Stochastic Model Specification Search for Seasonal and Calendar Effects, with Proietti T., Economic Time Series: Modeling and Seasonality, edited by William R. Bell, Scott H. Holan and Tucker S. McElroy, Chapman and Hall/CRC Press, March 2012.
  • Has the Volatility of US Inflation Changed and How?(2010) with Proietti T., Journal of Time Series Econometrics, Vol. 2, Issue 1.

More details and other publications here.