Details about Roberto Casarin
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
- A Bayesian Approach to Inference on Probabilistic Surveys
Staff Reports, Federal Reserve Bank of New York 
- A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods
Tinbergen Institute Discussion Papers, Tinbergen Institute
- First-order integer-valued autoregressive processes with Generalized Katz innovations
Papers, arXiv.org
2021
- 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 (4)
- COVID-19 spreading in financial networks: A semiparametric matrix regression model
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
Also in Papers, arXiv.org (2021) View citations (2)
- Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model
Working Paper series, Rimini Centre for Economic Analysis
- 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 (2)
- 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)
- 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 (1)
Also in Papers, arXiv.org (2020)
2020
- Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
- Generalized Poisson Difference Autoregressive Processes
Papers, arXiv.org View citations (1)
- Modeling Turning Points In Global Equity Market
DEM Working Papers Series, University of Pavia, Department of Economics and Management
2019
- Density Forecasting
BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen
- 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
- A scoring rule for factor and autoregressive models under misspecification
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
See also Journal Article in Advances in Decision Sciences (2020)
- Bayesian Dynamic Tensor Regression
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
- Bayesian Markov Switching Tensor Regression for Time-varying Networks
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
- Bayesian nonparametric sparse VAR models
Papers, arXiv.org View citations (1)
See also Journal Article in Journal of Econometrics (2019)
- Financial bridges and network communities
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
- Markov Switching Panel with Network Interaction Effects
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (2)
- 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 in Journal of Econometrics (2019)
2017
- 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)
- Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
CEPR Discussion Papers, C.E.P.R. Discussion Papers
2016
- Bayesian nonparametric sparse seemingly unrelated regression model (SUR)
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
2015
- An entropy-based early warning indicator for systemic risk
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)
- 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 in Journal of the American Statistical Association (2018)
- 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 in Journal of Applied Econometrics (2016)
- Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (20)
Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) View citations (5)
Working Paper, Norges Bank (2014) View citations (1)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) View citations (2)
See also Journal Article in Journal of Statistical Software (2015)
2014
- 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)
- A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
- Growth-cycle phases in China�s provinces: A panel Markov-switching approach
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
- 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)
- 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 in Energy Economics (2018)
- Sparse Graphical Vector Autoregression: A Bayesian Approach
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (17)
See also Journal Article in Annals of Economics and Statistics (2016)
2013
- Adaptive Sticky Generalized Metropolis
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
- Bayesian Markov Switching Stochastic Correlation Models
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
- Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
See also Journal Article in Journal of Econometrics (2014)
2012
- 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 in Journal of Applied Econometrics (2016)
- Combination schemes for turning point predictions
Working Paper, Norges Bank View citations (33)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)
Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2012) View citations (33)
See also Journal Article in The Quarterly Review of Economics and Finance (2012)
- 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 Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (6)
Working Paper, Norges Bank (2010) View citations (4)
- 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 in Computational Statistics & Data Analysis (2016)
- Financial press and stock markets in times of crisis
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
- Time-varying Combinations of Predictive Densities using Nonlinear Filtering
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
See also Journal Article in Journal of Econometrics (2013)
2011
- Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- Beta-product Poisson-Dirichlet Processes
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
- Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
- 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)
- 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 (11)
Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (23)
KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (21)
Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2013)
2010
- Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis
Working Papers, University of Brescia, Department of Economics View citations (3)
2008
- Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods
Working Papers, University of Brescia, Department of Economics View citations (9)
- Italian Equity Funds: Efficiency and Performance Persistence
Working Papers, University of Brescia, Department of Economics View citations (13)
Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2008) View citations (5)
See also Journal Article in The IUP Journal of Financial Economics (2008)
- 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)
- Particle Filters for Markov-Switching Stochastic-Correlation Models
Working Papers, University of Brescia, Department of Economics View citations (11)
2007
- Bayesian Inference on Dynamic Models with Latent Factors
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (5)
- Online data processing: comparison of Bayesian regularized particle filters
Working Papers, University of Brescia, Department of Economics View citations (21)
2006
- Business Cycle and Stock Market Volatility: A Particle Filter Approach
Working Papers, University of Brescia, Department of Economics View citations (17)
- Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints
Working Papers, University of Brescia, Department of Economics View citations (13)
See also Journal Article in Applied Stochastic Models in Business and Industry (2007)
2005
- Stochastic Processes in Credit Risk Modelling
Working Papers, University of Brescia, Department of Economics
Journal Articles
2021
- On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting
Economic Modelling, 2021, 105, (C)
2020
- A Scoring Rule for Factor and Autoregressive Models Under Misspecification
Advances in Decision Sciences, 2020, 24, (2), 66-103
See also Working Paper (2018)
- A Stochastic Volatility Model With Realized Measures for Option Pricing
Journal of Business & Economic Statistics, 2020, 38, (4), 856-871 View citations (3)
- Multilayer network analysis of oil linkages
The Econometrics Journal, 2020, 23, (2), 269-296 View citations (2)
2019
- 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)
- Bayesian nonparametric sparse VAR models
Journal of Econometrics, 2019, 212, (1), 97-115 View citations (20)
See also Working Paper (2018)
- Modeling systemic risk with Markov Switching Graphical SUR models
Journal of Econometrics, 2019, 210, (1), 58-74 View citations (24)
See also Working Paper (2018)
- Opinion Dynamics and Disagreements on Financial Networks
Advances in Decision Sciences, 2019, 23, (4), 24-51
- Structural changes in large economic datasets: A nonparametric homogeneity test
Economics Letters, 2019, 176, (C), 55-59 View citations (1)
2018
- 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 (15)
- Bayesian Nonparametric Calibration and Combination of Predictive Distributions
Journal of the American Statistical Association, 2018, 113, (522), 675-685 View citations (24)
See also Working Paper (2015)
- Markov switching GARCH models for Bayesian hedging on energy futures markets
Energy Economics, 2018, 70, (C), 545-562 View citations (21)
See also Working Paper (2014)
- 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
- An entropy-based early warning indicator for systemic risk
Journal of International Financial Markets, Institutions and Money, 2016, 45, (C), 42-59 View citations (19)
See also Working Paper (2015)
- Bayesian Calibration of Generalized Pools of Predictive Distributions
Econometrics, 2016, 4, (1), 1-24 View citations (5)
- Bayesian Graphical Models for STructural Vector Autoregressive Processes
Journal of Applied Econometrics, 2016, 31, (2), 357-386 View citations (81)
See also Working Paper (2012)
- Computational Complexity and Parallelization in Bayesian Econometric Analysis
Econometrics, 2016, 4, (1), 1-3
- Efficient Gibbs sampling for Markov switching GARCH models
Computational Statistics & Data Analysis, 2016, 100, (C), 37-57 View citations (5)
See also Working Paper (2012)
- 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 (32)
See also Working Paper (2015)
- Sparse Graphical Vector Autoregression: A Bayesian Approach
Annals of Economics and Statistics, 2016, (123-124), 333-361 View citations (5)
See also Working Paper (2014)
2015
- 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)
- 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 (1)
- Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
Journal of Statistical Software, 2015, 068, (i03) View citations (20)
See also Working Paper (2015)
2014
- Beta-product dependent Pitman–Yor processes for Bayesian inference
Journal of Econometrics, 2014, 180, (1), 49-72 View citations (25)
See also Working Paper (2013)
2013
- 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 (7)
- 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 (2011)
- Time-varying combinations of predictive densities using nonlinear filtering
Journal of Econometrics, 2013, 177, (2), 213-232 View citations (98)
See also Working Paper (2012)
2012
- 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 (2012)
2011
- Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (4), 1-32 View citations (18)
2010
- 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
- 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
- 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 (2006)
2005
- Relative benchmark rating and persistence analysis: Evidence from Italian equity funds
The European Journal of Finance, 2005, 11, (4), 297-308 View citations (11)
Chapters
2021
- A Bayesian Generalized Poisson Model for Cyber Risk Analysis
Springer
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