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Details about Roberto Casarin

E-mail:
Homepage:https://sites.google.com/view/robertocasarin
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 2022-03-18. Update your information in the RePEc Author Service.

Short-id: pca216


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Working Papers

2022

  1. A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. First-order integer-valued autoregressive processes with Generalized Katz innovations
    Papers, arXiv.org Downloads

2021

  1. A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Working Paper series, Rimini Centre for Economic Analysis (2020) Downloads View citations (3)
  2. COVID-19 spreading in financial networks: A semiparametric matrix regression model
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    Also in Papers, arXiv.org (2021) Downloads
  3. Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model
    Working Paper series, Rimini Centre for Economic Analysis Downloads
  4. Markov Switching Panel with Endogenous Synchronization Effects
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen Downloads
  5. Oil and fiscal policy regimes
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2020) Downloads
  6. The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    Also in Papers, arXiv.org (2020) Downloads

2020

  1. Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  2. Generalized Poisson Difference Autoregressive Processes
    Papers, arXiv.org Downloads
  3. Modeling Turning Points In Global Equity Market
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads

2019

  1. Density Forecasting
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen Downloads
  2. Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Working Paper, Norges Bank (2019) Downloads View citations (1)

2018

  1. A scoring rule for factor and autoregressive models under misspecification
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    See also Journal Article in Advances in Decision Sciences (2020)
  2. Bayesian Dynamic Tensor Regression
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
  3. Bayesian Markov Switching Tensor Regression for Time-varying Networks
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
  4. Bayesian nonparametric sparse VAR models
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2019)
  5. Financial bridges and network communities
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads
  6. Markov Switching Panel with Network Interaction Effects
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (2)
  7. Modeling Systemic Risk with Markov Switching Graphical SUR Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2019)

2017

  1. Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in Working Paper, Norges Bank (2015) Downloads View citations (16)
  2. Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2016

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

2015

  1. An entropy-based early warning indicator for systemic risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)
  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)

    See also Journal Article in Journal of the American Statistical Association (2018)
  3. Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Applied Econometrics (2016)
  4. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (19)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads View citations (2)
    Working Paper, Norges Bank (2014) Downloads View citations (1)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) Downloads View citations (5)

    See also Journal Article in Journal of Statistical Software (2015)

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 (2)
    Also in Working Paper, Norges Bank (2013) Downloads View citations (8)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014) Downloads View citations (4)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2014) Downloads View citations (5)
  5. Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    See also Journal Article in Energy Economics (2018)
  6. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (17)
    See also Journal Article in Annals of Economics and Statistics (2016)

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 View citations (1)
  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 (25)
    See also Journal Article in Journal of Applied Econometrics (2016)
  2. Combination schemes for turning point predictions
    Working Paper, Norges Bank Downloads View citations (32)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2012) Downloads View citations (33)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads

    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 (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads View citations (5)
    Working Paper, Norges Bank (2010) 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 (11)
    See also Journal Article in Computational Statistics & Data Analysis (2016)
  5. Financial press and stock markets in times of crisis
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
  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 (6)
  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
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (11)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (18)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (21)

    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, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (5)
    Also in Working Papers, University of Brescia, Department of Economics (2008) Downloads View citations (13)

    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 (14)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2007) Downloads View citations (3)
  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 (5)
  2. Online data processing: comparison of Bayesian regularized particle filters
    Working Papers, University of Brescia, Department of Economics Downloads View citations (20)

2006

  1. Business Cycle and Stock Market Volatility: A Particle Filter Approach
    Working Papers, University of Brescia, Department of Economics Downloads View citations (17)
  2. Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints
    Working Papers, University of Brescia, Department of Economics Downloads View citations (13)
    See also Journal Article in Applied Stochastic Models in Business and Industry (2007)

2005

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

Journal Articles

2021

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

2020

  1. A Scoring Rule for Factor and Autoregressive Models Under Misspecification
    Advances in Decision Sciences, 2020, 24, (2), 66-103 Downloads
    See also Working Paper (2018)
  2. A Stochastic Volatility Model With Realized Measures for Option Pricing
    Journal of Business & Economic Statistics, 2020, 38, (4), 856-871 Downloads View citations (1)
  3. Multilayer network analysis of oil linkages
    Econometrics Journal, 2020, 23, (2), 269-296 Downloads View citations (2)

2019

  1. A Bayesian time varying approach to risk neutral density estimation
    Journal of the Royal Statistical Society Series A, 2019, 182, (1), 165-195 Downloads View citations (2)
  2. Bayesian nonparametric sparse VAR models
    Journal of Econometrics, 2019, 212, (1), 97-115 Downloads View citations (15)
    See also Working Paper (2018)
  3. Modeling systemic risk with Markov Switching Graphical SUR models
    Journal of Econometrics, 2019, 210, (1), 58-74 Downloads View citations (20)
    See also Working Paper (2018)
  4. Opinion Dynamics and Disagreements on Financial Networks
    Advances in Decision Sciences, 2019, 23, (4), 24-51 Downloads
  5. Structural changes in large economic datasets: A nonparametric homogeneity test
    Economics Letters, 2019, 176, (C), 55-59 Downloads View citations (1)

2018

  1. A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
    Journal of Business & Economic Statistics, 2018, 36, (1), 101-114 Downloads View citations (13)
  2. Bayesian Nonparametric Calibration and Combination of Predictive Distributions
    Journal of the American Statistical Association, 2018, 113, (522), 675-685 Downloads View citations (19)
    See also Working Paper (2015)
  3. Markov switching GARCH models for Bayesian hedging on energy futures markets
    Energy Economics, 2018, 70, (C), 545-562 Downloads View citations (15)
    See also Working Paper (2014)
  4. 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 Downloads

2016

  1. An entropy-based early warning indicator for systemic risk
    Journal of International Financial Markets, Institutions and Money, 2016, 45, (C), 42-59 Downloads View citations (17)
    See also Working Paper (2015)
  2. Bayesian Calibration of Generalized Pools of Predictive Distributions
    Econometrics, 2016, 4, (1), 1-24 Downloads View citations (3)
  3. Bayesian Graphical Models for STructural Vector Autoregressive Processes
    Journal of Applied Econometrics, 2016, 31, (2), 357-386 Downloads View citations (65)
    See also Working Paper (2012)
  4. Computational Complexity and Parallelization in Bayesian Econometric Analysis
    Econometrics, 2016, 4, (1), 1-3 Downloads
  5. Efficient Gibbs sampling for Markov switching GARCH models
    Computational Statistics & Data Analysis, 2016, 100, (C), 37-57 Downloads View citations (4)
    See also Working Paper (2012)
  6. 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 Downloads View citations (26)
    See also Working Paper (2015)
  7. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Annals of Economics and Statistics, 2016, (123-124), 333-361 Downloads View citations (5)
    See also Working Paper (2014)

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
  2. 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 Downloads View citations (1)
  3. Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
    Journal of Statistical Software, 2015, 068, (i03) Downloads View citations (19)
    See also Working Paper (2015)

2014

  1. Beta-product dependent Pitman–Yor processes for Bayesian inference
    Journal of Econometrics, 2014, 180, (1), 49-72 Downloads View citations (24)
    See also Working Paper (2013)

2013

  1. 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 Downloads View citations (5)
  2. 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 (5)
    See also Working Paper (2011)
  3. Time-varying combinations of predictive densities using nonlinear filtering
    Journal of Econometrics, 2013, 177, (2), 213-232 Downloads View citations (91)
    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 (33)
    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 (17)

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 (20)

2008

  1. 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 (2008)

2007

  1. Stochastic optimization for allocation problems with shortfall risk constraints
    Applied Stochastic Models in Business and Industry, 2007, 23, (3), 247-271 Downloads View citations (1)
    See also Working Paper (2006)

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 (9)

Chapters

2021

  1. A Bayesian Generalized Poisson Model for Cyber Risk Analysis
    Springer
 
Page updated 2022-07-02