Details about Roberto Casarin

Access statistics for papers by Roberto Casarin.

Last updated 2009-06-04. Update your information in the RePEc Author Service.

Short-id: pca216

Working Papers

2008

1. Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods
   Working Papers, University of Brescia, Department of Economics
2. Italian Equity Funds: Efficiency and Performance Persistence
   Working Papers, University of Brescia, Department of Economics
   Also in Working Papers, University of Venice "Ca' Foscari", Department of Economics (2008)
   See also Journal Article in Icfai University Journal of Financial Economics (2008)
3. Matrix-State Particle Filter for Wishart Stochastic Volatility Processes
   Working Papers, University of Brescia, Department of Economics
4. Particle Filters for Markov-Switching Stochastic-Correlation Models
   Working Papers, University of Brescia, Department of Economics View citations

2007

5. Bayesian Inference on Dynamic Models with Latent Factors
   Working Papers, University of Venice "Ca' Foscari", Department of Economics View citations
6. Online data processing: comparison of Bayesian regularized particle filters
   Working Papers, University of Brescia, Department of Economics View citations

2006

7. Business Cycle and Stock Market Volatility: A Particle Filter Approach
   Working Papers, University of Brescia, Department of Economics View citations
8. Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints
   Working Papers, University of Brescia, Department of Economics View citations

2005

9. Stochastic Processes in Credit Risk Modelling
   Working Papers, University of Brescia, Department of Economics

Journal Articles

2008

1. Italian Equity Funds: Efficiency and Performance Persistence
   Icfai University Journal of Financial Economics, 2008, VI, (1), 7-28
   See also Working Paper (2008)