Details about Roberto Casarin

Access statistics for papers by Roberto Casarin.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: pca216

Working Papers

2024

1. A Bayesian Approach for Inference on Probabilistic Surveys
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Staff Reports, Federal Reserve Bank of New York (2022)
2. Comment on 'Sparse Bayesian Factor Analysis when the Number of Factors is Unknown' by S. Fr\"uhwirth-Schnatter, D. Hosszejni, and H. Freitas Lopes
   Papers, arXiv.org
3. First-order integer-valued autoregressive processes with Generalized Katz innovations
   Papers, arXiv.org
4. Monte carlo within simulated annealing for integral constrained optimizations
   Post-Print, HAL
   See also Journal Article Monte carlo within simulated annealing for integral constrained optimizations, Annals of Operations Research, Springer (2024) (2024)

2023

5. Fiscal Policy Regimes in Resource-Rich Economies
   Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
6. Learning from experts: Energy efficiency in residential buildings
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
   See also Journal Article Learning from experts: Energy efficiency in residential buildings, Energy Economics, Elsevier (2024) View citations (1) (2024)
7. Uncertainty and the Term Structure of Interest Rates
   Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School

2022

8. A Dynamic Stochastic Block Model for Multi-Layer Networks
   Papers, arXiv.org
9. A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods
   Tinbergen Institute Discussion Papers, Tinbergen Institute
10. A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article A flexible predictive density combination for large financial data sets in regular and crisis periods, Journal of Econometrics, Elsevier (2023) View citations (7) (2023)
11. Nowcasting industrial production using linear and non-linear models of electricity demand
    DEM Working Papers, Department of Economics and Management
    See also Journal Article Nowcasting industrial production using linear and non-linear models of electricity demand, Energy Economics, Elsevier (2023) View citations (2) (2023)

2021

12. A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Working Paper series, Rimini Centre for Economic Analysis (2020) View citations (5)
13. COVID-19 spreading in financial networks: A semiparametric matrix regression model
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (5)
    Also in Papers, arXiv.org (2021) View citations (5)
    See also Journal Article COVID-19 spreading in financial networks: A semiparametric matrix regression model, Econometrics and Statistics, Elsevier (2024) (2024)
14. Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model
    Working Paper series, Rimini Centre for Economic Analysis
15. Markov Switching Panel with Endogenous Synchronization Effects
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen View citations (4)
    See also Journal Article Markov switching panel with endogenous synchronization effects, Journal of Econometrics, Elsevier (2022) (2022)
16. Oil and fiscal policy regimes
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2020)
17. The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
    Also in Papers, arXiv.org (2020) View citations (4)

2020

18. Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
19. Generalized Poisson Difference Autoregressive Processes
    Papers, arXiv.org View citations (1)
    See also Journal Article Generalized Poisson difference autoregressive processes, International Journal of Forecasting, Elsevier (2024) (2024)
20. Modeling Turning Points In Global Equity Market
    DEM Working Papers Series, University of Pavia, Department of Economics and Management
    See also Journal Article Modeling Turning Points in the Global Equity Market, Econometrics and Statistics, Elsevier (2024) (2024)

2019

21. Density Forecasting
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen
22. Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
    Also in Working Paper, Norges Bank (2019) View citations (1)

2018

23. A scoring rule for factor and autoregressive models under misspecification
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
    See also Journal Article A Scoring Rule for Factor and Autoregressive Models Under Misspecification, Advances in Decision Sciences, Asia University, Taiwan (2020) (2020)
24. Bayesian Dynamic Tensor Regression
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (3)
    See also Journal Article Bayesian Dynamic Tensor Regression, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (3) (2023)
25. Bayesian Markov Switching Tensor Regression for Time-varying Networks
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (4)
    See also Journal Article Bayesian Markov-Switching Tensor Regression for Time-Varying Networks, Journal of the American Statistical Association, Taylor & Francis Journals (2024) (2024)
26. Bayesian nonparametric sparse VAR models
    Papers, arXiv.org View citations (1)
    See also Journal Article Bayesian nonparametric sparse VAR models, Journal of Econometrics, Elsevier (2019) View citations (27) (2019)
27. Financial bridges and network communities
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
28. Markov Switching Panel with Network Interaction Effects
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (2)
29. Modeling Systemic Risk with Markov Switching Graphical SUR Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
    See also Journal Article Modeling systemic risk with Markov Switching Graphical SUR models, Journal of Econometrics, Elsevier (2019) View citations (31) (2019)

2017

30. Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in Working Paper, Norges Bank (2015) View citations (14)
31. Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

2016

32. Bayesian nonparametric sparse seemingly unrelated regression model (SUR)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)

2015

33. An entropy-based early warning indicator for systemic risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
    See also Journal Article An entropy-based early warning indicator for systemic risk, Journal of International Financial Markets, Institutions and Money, Elsevier (2016) View citations (25) (2016)
34. Bayesian Nonparametric Calibration and Combination of Predictive Distributions
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
    Also in Working Paper, Norges Bank (2015) View citations (1)
    See also Journal Article Bayesian Nonparametric Calibration and Combination of Predictive Distributions, Journal of the American Statistical Association, Taylor & Francis Journals (2018) View citations (30) (2018)
35. Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (37) (2016)
36. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (23)
    Also in Working Paper, Norges Bank (2014) View citations (1)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) View citations (6)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) View citations (3)
    See also Journal Article Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox, Journal of Statistical Software, Foundation for Open Access Statistics (2015) View citations (23) (2015)

2014

37. A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
    Papers, arXiv.org
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014)
38. A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
39. Growth-cycle phases in China�s provinces: A panel Markov-switching approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
40. Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in Working Paper, Norges Bank (2013) View citations (9)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014) View citations (4)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2014) View citations (5)
41. Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (3)
    See also Journal Article Markov switching GARCH models for Bayesian hedging on energy futures markets, Energy Economics, Elsevier (2018) View citations (28) (2018)
42. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (17)
    See also Journal Article Sparse Graphical Vector Autoregression: A Bayesian Approach, Annals of Economics and Statistics, GENES (2016) View citations (5) (2016)

2013

43. Adaptive Sticky Generalized Metropolis
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
44. Bayesian Markov Switching Stochastic Correlation Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
45. Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
    See also Journal Article Beta-product dependent Pitman–Yor processes for Bayesian inference, Journal of Econometrics, Elsevier (2014) View citations (29) (2014)

2012

46. Bayesian Graphical Models for Structural Vector Autoregressive Processes
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (24)
    See also Journal Article Bayesian Graphical Models for STructural Vector Autoregressive Processes, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (99) (2016)
47. Combination schemes for turning point predictions
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (34)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)
    Working Paper, Norges Bank (2012) View citations (34)
    See also Journal Article Combination schemes for turning point predictions, The Quarterly Review of Economics and Finance, Elsevier (2012) View citations (34) (2012)
48. Combining predictive densities using Bayesian filtering with applications to US economic data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
    Also in Working Paper, Norges Bank (2010) View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (6)
49. Efficient Gibbs Sampling for Markov Switching GARCH Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (11)
    See also Journal Article Efficient Gibbs sampling for Markov switching GARCH models, Computational Statistics & Data Analysis, Elsevier (2016) View citations (6) (2016)
50. Financial press and stock markets in times of crisis
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
51. Time-varying Combinations of Predictive Densities using Nonlinear Filtering
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
    See also Journal Article Time-varying combinations of predictive densities using nonlinear filtering, Journal of Econometrics, Elsevier (2013) View citations (109) (2013)

2011

52. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
53. Beta-product Poisson-Dirichlet Processes
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
54. Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
55. Interacting multiple -- Try algorithms with different proposal distributions
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)
56. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (14)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (24)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (26)
    See also Journal Article 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), Elsevier (2013) View citations (5) (2013)

2010

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

2008

58. Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods
    Working Papers, University of Brescia, Department of Economics View citations (9)
59. Italian Equity Funds: Efficiency and Performance Persistence
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (5)
    Also in Working Papers, University of Brescia, Department of Economics (2008) View citations (13)
    See also Journal Article Italian Equity Funds: Efficiency and Performance Persistence, The IUP Journal of Financial Economics, IUP Publications (2008) View citations (4) (2008)
60. Matrix-State Particle Filter for Wishart Stochastic Volatility Processes
    Working Papers, University of Brescia, Department of Economics View citations (14)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2007) View citations (4)
61. Particle Filters for Markov-Switching Stochastic-Correlation Models
    Working Papers, University of Brescia, Department of Economics View citations (11)

2007

62. Bayesian Inference on Dynamic Models with Latent Factors
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (5)
63. Online data processing: comparison of Bayesian regularized particle filters
    Working Papers, University of Brescia, Department of Economics View citations (22)

2006

64. Business Cycle and Stock Market Volatility: A Particle Filter Approach
    Working Papers, University of Brescia, Department of Economics View citations (17)
65. Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints
    Working Papers, University of Brescia, Department of Economics View citations (13)
    See also Journal Article Stochastic optimization for allocation problems with shortfall risk constraints, Applied Stochastic Models in Business and Industry, John Wiley & Sons (2007) View citations (3) (2007)

2005

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

Journal Articles

2024

1. A Dynamic Latent-Space Model for Asset Clustering
   Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (2), 379-402
2. Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
   Journal of the American Statistical Association, 2024, 119, (545), 109-121
   See also Working Paper Bayesian Markov Switching Tensor Regression for Time-varying Networks, Working Papers (2018) View citations (4) (2018)
3. Bayesian Nonparametric Panel Markov-Switching GARCH Models
   Journal of Business & Economic Statistics, 2024, 42, (1), 135-146
4. COVID-19 spreading in financial networks: A semiparametric matrix regression model
   Econometrics and Statistics, 2024, 29, (C), 113-131
   See also Working Paper COVID-19 spreading in financial networks: A semiparametric matrix regression model, Working Papers (2021) View citations (5) (2021)
5. Generalized Poisson difference autoregressive processes
   International Journal of Forecasting, 2024, 40, (4), 1359-1390
   See also Working Paper Generalized Poisson Difference Autoregressive Processes, Papers (2020) View citations (1) (2020)
6. Learning from experts: Energy efficiency in residential buildings
   Energy Economics, 2024, 136, (C) View citations (1)
   See also Working Paper Learning from experts: Energy efficiency in residential buildings, SAFE Working Paper Series (2023) (2023)
7. Modeling Corporate CDS Spreads Using Markov Switching Regressions
   Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (2), 271-292
8. Modeling Turning Points in the Global Equity Market
   Econometrics and Statistics, 2024, 30, (C), 60-75
   See also Working Paper Modeling Turning Points In Global Equity Market, DEM Working Papers Series (2020) (2020)
9. Monte carlo within simulated annealing for integral constrained optimizations
   Annals of Operations Research, 2024, 334, (1), 205-240
   See also Working Paper Monte carlo within simulated annealing for integral constrained optimizations, Post-Print (2024) (2024)

2023

10. A flexible predictive density combination for large financial data sets in regular and crisis periods
    Journal of Econometrics, 2023, 237, (2) View citations (7)
    See also Working Paper A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods, Tinbergen Institute Discussion Papers (2022) (2022)
11. Bayesian Dynamic Tensor Regression
    Journal of Business & Economic Statistics, 2023, 41, (2), 429-439 View citations (3)
    See also Working Paper Bayesian Dynamic Tensor Regression, Working Papers (2018) View citations (3) (2018)
12. Nowcasting industrial production using linear and non-linear models of electricity demand
    Energy Economics, 2023, 126, (C) View citations (2)
    See also Working Paper Nowcasting industrial production using linear and non-linear models of electricity demand, DEM Working Papers (2022) (2022)

2022

13. A framework for information synthesis into sentiment indicators using text mining methods
    Communications in Statistics - Theory and Methods, 2022, 51, (15), 5265-5283
14. Markov switching panel with endogenous synchronization effects
    Journal of Econometrics, 2022, 230, (2), 281-298
    See also Working Paper Markov Switching Panel with Endogenous Synchronization Effects, BEMPS - Bozen Economics & Management Paper Series (2021) View citations (4) (2021)

2021

15. On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting
    Economic Modelling, 2021, 105, (C) View citations (1)

2020

16. A Scoring Rule for Factor and Autoregressive Models Under Misspecification
    Advances in Decision Sciences, 2020, 24, (2), 66-103
    See also Working Paper A scoring rule for factor and autoregressive models under misspecification, Working Papers (2018) (2018)
17. A Stochastic Volatility Model With Realized Measures for Option Pricing
    Journal of Business & Economic Statistics, 2020, 38, (4), 856-871 View citations (6)
18. Multilayer network analysis of oil linkages
    The Econometrics Journal, 2020, 23, (2), 269-296 View citations (10)

2019

19. A Bayesian time varying approach to risk neutral density estimation
    Journal of the Royal Statistical Society Series A, 2019, 182, (1), 165-195 View citations (2)
20. Bayesian nonparametric sparse VAR models
    Journal of Econometrics, 2019, 212, (1), 97-115 View citations (27)
    See also Working Paper Bayesian nonparametric sparse VAR models, Papers (2018) View citations (1) (2018)
21. Modeling systemic risk with Markov Switching Graphical SUR models
    Journal of Econometrics, 2019, 210, (1), 58-74 View citations (31)
    See also Working Paper Modeling Systemic Risk with Markov Switching Graphical SUR Models, Working Papers (2018) View citations (4) (2018)
22. Opinion Dynamics and Disagreements on Financial Networks
    Advances in Decision Sciences, 2019, 23, (4), 24-51 View citations (1)
23. Structural changes in large economic datasets: A nonparametric homogeneity test
    Economics Letters, 2019, 176, (C), 55-59 View citations (2)

2018

24. A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
    Journal of Business & Economic Statistics, 2018, 36, (1), 101-114 View citations (20)
25. Bayesian Nonparametric Calibration and Combination of Predictive Distributions
    Journal of the American Statistical Association, 2018, 113, (522), 675-685 View citations (30)
    See also Working Paper Bayesian Nonparametric Calibration and Combination of Predictive Distributions, Working Papers (2015) View citations (1) (2015)
26. Markov switching GARCH models for Bayesian hedging on energy futures markets
    Energy Economics, 2018, 70, (C), 545-562 View citations (28)
    See also Working Paper Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets, Working Papers (2014) View citations (3) (2014)
27. Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns
    Physica A: Statistical Mechanics and its Applications, 2018, 493, (C), 458-466

2016

28. An entropy-based early warning indicator for systemic risk
    Journal of International Financial Markets, Institutions and Money, 2016, 45, (C), 42-59 View citations (25)
    See also Working Paper An entropy-based early warning indicator for systemic risk, Working Papers (2015) (2015)
29. Bayesian Calibration of Generalized Pools of Predictive Distributions
    Econometrics, 2016, 4, (1), 1-24 View citations (7)
30. Bayesian Graphical Models for STructural Vector Autoregressive Processes
    Journal of Applied Econometrics, 2016, 31, (2), 357-386 View citations (99)
    See also Working Paper Bayesian Graphical Models for Structural Vector Autoregressive Processes, Working Papers (2012) View citations (24) (2012)
31. Computational Complexity and Parallelization in Bayesian Econometric Analysis
    Econometrics, 2016, 4, (1), 1-3
32. Efficient Gibbs sampling for Markov switching GARCH models
    Computational Statistics & Data Analysis, 2016, 100, (C), 37-57 View citations (6)
    See also Working Paper Efficient Gibbs Sampling for Markov Switching GARCH Models, Working Papers (2012) View citations (11) (2012)
33. Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model
    Journal of Applied Econometrics, 2016, 31, (7), 1352-1370 View citations (37)
    See also Working Paper Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode, Tinbergen Institute Discussion Papers (2015) (2015)
34. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Annals of Economics and Statistics, 2016, (123-124), 333-361 View citations (5)
    See also Working Paper Sparse Graphical Vector Autoregression: A Bayesian Approach, Working Papers (2014) View citations (17) (2014)

2015

35. 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 View citations (1)
36. Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty
    PLOS ONE, 2015, 10, (8), 1-15 View citations (2)
37. Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
    Journal of Statistical Software, 2015, 068, (i03) View citations (23)
    See also Working Paper Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Tinbergen Institute Discussion Papers (2015) View citations (23) (2015)

2014

38. Beta-product dependent Pitman–Yor processes for Bayesian inference
    Journal of Econometrics, 2014, 180, (1), 49-72 View citations (29)
    See also Working Paper Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference, Working Papers (2013) (2013)

2013

39. Being on the Field When the Game Is Still Under Way. The Financial Press and Stock Markets in Times of Crisis
    PLOS ONE, 2013, 8, (7), 1-14 View citations (9)
40. 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 View citations (5)
    See also Working Paper Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures, Econometric Institute Research Papers (2011) View citations (14) (2011)
41. Time-varying combinations of predictive densities using nonlinear filtering
    Journal of Econometrics, 2013, 177, (2), 213-232 View citations (109)
    See also Working Paper Time-varying Combinations of Predictive Densities using Nonlinear Filtering, Tinbergen Institute Discussion Papers (2012) View citations (10) (2012)

2012

42. Combination schemes for turning point predictions
    The Quarterly Review of Economics and Finance, 2012, 52, (4), 402-412 View citations (34)
    See also Working Paper Combination schemes for turning point predictions, Working Papers (2012) View citations (34) (2012)

2011

43. Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (4), 32 View citations (18)

2010

44. 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 View citations (20)

2008

45. Italian Equity Funds: Efficiency and Performance Persistence
    The IUP Journal of Financial Economics, 2008, VI, (1), 7-28 View citations (4)
    See also Working Paper Italian Equity Funds: Efficiency and Performance Persistence, Working Papers (2008) View citations (5) (2008)

2007

46. Stochastic optimization for allocation problems with shortfall risk constraints
    Applied Stochastic Models in Business and Industry, 2007, 23, (3), 247-271 View citations (3)
    See also Working Paper Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints, Working Papers (2006) View citations (13) (2006)

2005

47. Relative benchmark rating and persistence analysis: Evidence from Italian equity funds
    The European Journal of Finance, 2005, 11, (4), 297-308 View citations (10)

Chapters

2022

1. Understanding Economic Instability during the Pandemic: A Factor Model Approach
   A chapter in The Economics of COVID-19, 2022, vol. 296, pp 1-55

2021

2. A Bayesian Generalized Poisson Model for Cyber Risk Analysis
   Springer