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Details about Roberto Casarin

E-mail:
Homepage:http://venus.unive.it/r.casarin/
Phone:+39 041.234.91.49
Postal address:Dept. of Economics University Ca' Foscari of Venice San Giobbe 873/b 30121 Venice, Italy
Workplace:Dipartimento di Economia (Department of Economics), Università Ca' Foscari Venezia (University Ca' Foscari Venice), (more information at EDIRC)
Scuola Superiore di Economia (SSE-Ca' Foscari) (Advanced School of Economics in Venice), (more information at EDIRC)
Gruppo di Ricerca Economica Teorica e Applicata (GRETA) (Theoretical and Applied Economics Research Group), (more information at EDIRC)

Access statistics for papers by Roberto Casarin.

Last updated 2016-03-29. Update your information in the RePEc Author Service.

Short-id: pca216


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Working Papers

2017

  1. Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Working Paper, Norges Bank (2015) Downloads View citations (7)

2015

  1. An entropy-based early warning indicator for systemic risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  2. Bayesian Nonparametric Calibration and Combination of Predictive Distributions
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
    Also in Working Paper, Norges Bank (2015) Downloads View citations (2)
  3. Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  4. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) Downloads View citations (2)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads
    Working Paper, Norges Bank (2014) Downloads

2014

  1. A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
    Papers, arXiv.org Downloads
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014) Downloads
  2. A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  3. Growth-cycle phases in China�s provinces: A panel Markov-switching approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  4. Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2014) Downloads View citations (3)
    Working Paper, Norges Bank (2013) Downloads View citations (4)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014) Downloads View citations (3)
  5. Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  6. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)

2013

  1. Adaptive Sticky Generalized Metropolis
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  2. Bayesian Markov Switching Stochastic Correlation Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  3. Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    See also Journal Article in Journal of Econometrics (2014)

2012

  1. Bayesian Graphical Models for Structural Vector Autoregressive Processes
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (11)
  2. Combination schemes for turning point predictions
    Working Paper, Norges Bank Downloads View citations (12)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2012) Downloads View citations (14)

    See also Journal Article in The Quarterly Review of Economics and Finance (2012)
  3. Combining predictive densities using Bayesian filtering with applications to US economic data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    Also in Working Paper, Norges Bank (2010) Downloads View citations (5)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads View citations (4)
  4. Efficient Gibbs Sampling for Markov Switching GARCH Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (5)
  5. Financial press and stock markets in times of crisis
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
  6. Time-varying Combinations of Predictive Densities using Nonlinear Filtering
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2013)

2011

  1. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  2. Beta-product Poisson-Dirichlet Processes
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  3. Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
  4. Interacting multiple -- Try algorithms with different proposal distributions
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (3)
  5. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (19)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (15)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (7)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (7)

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2013)

2010

  1. Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis
    Working Papers, University of Brescia, Department of Economics Downloads View citations (3)

2008

  1. Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods
    Working Papers, University of Brescia, Department of Economics Downloads View citations (9)
  2. Italian Equity Funds: Efficiency and Performance Persistence
    Working Papers, University of Brescia, Department of Economics Downloads View citations (12)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2008) Downloads View citations (4)

    See also Journal Article in The IUP Journal of Financial Economics (2008)
  3. Matrix-State Particle Filter for Wishart Stochastic Volatility Processes
    Working Papers, University of Brescia, Department of Economics Downloads View citations (13)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2007) Downloads
  4. Particle Filters for Markov-Switching Stochastic-Correlation Models
    Working Papers, University of Brescia, Department of Economics Downloads View citations (11)

2007

  1. Bayesian Inference on Dynamic Models with Latent Factors
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (3)
  2. Online data processing: comparison of Bayesian regularized particle filters
    Working Papers, University of Brescia, Department of Economics Downloads View citations (14)

2006

  1. Business Cycle and Stock Market Volatility: A Particle Filter Approach
    Working Papers, University of Brescia, Department of Economics Downloads View citations (16)
  2. Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints
    Working Papers, University of Brescia, Department of Economics Downloads View citations (13)

2005

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

Journal Articles

2015

  1. Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities
    Journal of Financial Management, Markets and Institutions, 2015, (1), 51-69 Downloads

2014

  1. Beta-product dependent Pitman–Yor processes for Bayesian inference
    Journal of Econometrics, 2014, 180, (1), 49-72 Downloads View citations (7)
    See also Working Paper (2013)

2013

  1. Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 183-204 Downloads View citations (3)
    See also Working Paper (2011)
  2. Time-varying combinations of predictive densities using nonlinear filtering
    Journal of Econometrics, 2013, 177, (2), 213-232 Downloads View citations (34)
    See also Working Paper (2012)

2012

  1. Combination schemes for turning point predictions
    The Quarterly Review of Economics and Finance, 2012, 52, (4), 402-412 Downloads View citations (14)
    See also Working Paper (2012)

2011

  1. Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (4), 1-32 Downloads View citations (13)

2010

  1. Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area
    Journal of Forecasting, 2010, 29, (1-2), 145-167 Downloads View citations (15)

2008

  1. Italian Equity Funds: Efficiency and Performance Persistence
    The IUP Journal of Financial Economics, 2008, VI, (1), 7-28 View citations (3)
    See also Working Paper (2008)

2005

  1. Relative benchmark rating and persistence analysis: Evidence from Italian equity funds
    The European Journal of Finance, 2005, 11, (4), 297-308 Downloads View citations (2)
 
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