Access Statistics for Roberto Casarin

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities 0 0 0 11 0 1 4 23
A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities 0 0 0 38 3 3 11 85
A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices 0 0 0 43 0 0 9 84
Adaptive Sticky Generalized Metropolis 0 0 1 18 0 2 11 100
An entropy-based early warning indicator for systemic risk 1 3 4 73 5 11 20 155
Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index 0 0 0 40 2 3 6 130
Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis 1 1 1 117 6 7 8 220
Bayesian Graphical Models for Structural Vector Autoregressive Processes 0 1 5 134 2 7 29 343
Bayesian Inference on Dynamic Models with Latent Factors 1 1 2 121 1 2 8 315
Bayesian Markov Switching Stochastic Correlation Models 0 0 0 102 0 3 6 222
Bayesian Nonparametric Calibration and Combination of Predictive Distributions 0 0 0 30 0 0 8 109
Bayesian nonparametric calibration and combination of predictive distributions 0 0 2 31 0 2 14 81
Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference 0 0 1 49 1 4 15 143
Beta-product Poisson-Dirichlet Processes 0 0 0 0 0 1 3 12
Business Cycle and Stock Market Volatility: A Particle Filter Approach 0 0 0 248 1 2 9 744
Combination Schemes for Turning Point Predictions 0 0 0 67 2 5 13 134
Combination schemes for turning point predictions 0 0 0 57 1 3 6 103
Combination schemes for turning point predictions 0 0 0 19 0 2 7 117
Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data 0 0 0 40 1 4 6 79
Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data 0 0 0 15 0 2 6 62
Combining predictive densities using Bayesian filtering with applications to US economic data 0 0 0 55 0 2 6 151
Combining predictive densities using Bayesian filtering with applications to US economics data 0 0 1 66 1 2 5 100
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance 2 2 6 57 5 7 19 106
Dynamic predictive density combinations for large data sets in economics and finance 2 3 5 30 2 5 13 81
Efficient Gibbs Sampling for Markov Switching GARCH Models 0 0 0 98 0 2 8 306
Financial press and stock markets in times of crisis 0 0 0 65 0 3 5 163
Growth-cycle phases in China�s provinces: A panel Markov-switching approach 0 0 4 80 0 5 25 160
Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods 0 0 1 114 0 0 6 261
Interacting multiple -- Try algorithms with different proposal distributions 0 0 0 25 0 1 4 81
Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model 0 0 0 22 1 1 10 91
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 1 3 44 0 3 8 152
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 1 65 0 2 12 175
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 3 53 1 2 17 155
Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode 0 1 3 87 0 1 8 92
Italian Equity Funds: Efficiency and Performance Persistence 0 0 1 51 2 4 12 201
Italian Equity Funds: Efficiency and Performance Persistence 0 0 1 125 1 3 8 313
Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets 1 1 2 86 2 2 11 189
Markov Switching Panel with Network Interaction Effects 7 9 21 46 14 27 57 92
Matrix-State Particle Filter for Wishart Stochastic Volatility Processes 0 0 0 11 0 0 1 76
Matrix-State Particle Filter for Wishart Stochastic Volatility Processes 0 0 0 115 0 0 9 278
Online data processing: comparison of Bayesian regularized particle filters 0 0 0 53 0 0 9 198
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox 0 1 1 117 0 3 21 448
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox 0 0 3 33 2 3 13 99
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox 0 0 0 78 1 2 11 165
Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox 0 0 1 36 1 2 17 116
Particle Filters for Markov-Switching Stochastic-Correlation Models 0 0 0 159 0 1 6 327
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 38 1 5 11 108
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 1 71 2 5 12 236
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 16 3 6 13 139
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 11 3 6 10 130
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 2 72 1 7 26 158
Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints 0 0 0 38 0 3 5 150
Stochastic Processes in Credit Risk Modelling 1 1 6 221 4 8 33 510
Time-varying Combinations of Predictive Densities using Nonlinear Filtering 0 0 0 73 0 1 6 112
Total Working Papers 16 25 82 3,564 72 188 636 9,380


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities 0 0 1 6 1 3 8 32
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis 1 1 3 75 1 2 6 180
Beta-product dependent Pitman–Yor processes for Bayesian inference 0 0 0 9 1 2 8 54
Combination schemes for turning point predictions 0 0 0 21 0 3 5 86
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area 0 0 0 39 0 0 5 138
Italian Equity Funds: Efficiency and Performance Persistence 0 0 0 0 1 3 8 226
Relative benchmark rating and persistence analysis: Evidence from Italian equity funds 0 0 0 10 2 2 6 60
Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures 0 0 0 4 2 5 8 55
Time-varying combinations of predictive densities using nonlinear filtering 1 1 4 37 3 4 13 160
Total Journal Articles 2 2 8 201 11 24 67 991


Statistics updated 2020-02-04