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 Approach for Inference on Probabilistic Surveys 1 1 1 2 4 7 14 17
A Bayesian Approach to Inference on Probabilistic Surveys 0 0 1 22 0 2 7 51
A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities 0 0 0 11 1 3 5 42
A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities 0 0 0 40 0 3 3 143
A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance 0 0 1 48 2 2 5 95
A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance 0 0 0 7 0 0 3 31
A Dynamic Stochastic Block Model for Multidimensional Networks 1 2 4 16 5 9 16 46
A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods 0 0 0 15 0 1 5 14
A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods 0 1 1 16 0 1 3 12
A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices 0 0 0 50 3 4 5 104
A scoring rule for factor and autoregressive models under misspecification 0 0 0 71 5 7 8 168
Adaptive Sticky Generalized Metropolis 0 0 0 20 0 0 1 112
An entropy-based early warning indicator for systemic risk 0 1 1 87 9 13 18 242
Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index 0 0 0 45 0 0 1 150
Bayesian Dynamic Tensor Regression 0 0 1 90 2 5 12 223
Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis 0 0 0 126 3 9 12 254
Bayesian Graphical Models for Structural Vector Autoregressive Processes 0 0 0 159 0 3 4 432
Bayesian Inference on Dynamic Models with Latent Factors 0 0 0 123 0 4 5 327
Bayesian Markov Switching Stochastic Correlation Models 0 0 0 106 0 2 3 238
Bayesian Markov Switching Tensor Regression for Time-varying Networks 0 0 1 61 1 2 5 102
Bayesian Nonparametric Calibration and Combination of Predictive Distributions 0 0 0 32 1 2 6 122
Bayesian nonparametric calibration and combination of predictive distributions 0 0 0 32 1 3 3 114
Bayesian nonparametric sparse VAR models 0 0 0 37 0 0 2 102
Bayesian nonparametric sparse seemingly unrelated regression model (SUR) 0 2 5 49 2 6 10 175
Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference 0 0 0 52 3 4 4 171
Beta-product Poisson-Dirichlet Processes 0 0 0 2 2 3 5 26
Business Cycle and Stock Market Volatility: A Particle Filter Approach 0 0 0 251 3 6 12 775
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 78 0 1 4 153
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 18 0 1 5 49
Combination Schemes for Turning Point Predictions 0 0 0 67 2 3 7 153
Combination schemes for turning point predictions 0 0 0 19 2 3 6 134
Combination schemes for turning point predictions 0 0 0 58 3 6 8 124
Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data 0 0 0 41 0 4 8 95
Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data 0 0 0 16 3 4 5 73
Combining predictive densities using Bayesian filtering with applications to US economic data 0 0 0 55 1 5 5 172
Combining predictive densities using Bayesian filtering with applications to US economics data 0 0 0 67 1 2 7 120
Comment on 'Sparse Bayesian Factor Analysis when the Number of Factors is Unknown' by S. Fr\"uhwirth-Schnatter, D. Hosszejni, and H. Freitas Lopes 0 0 6 6 1 2 4 5
Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model 0 1 2 38 1 3 10 91
Density Forecasting 0 1 8 286 3 8 21 499
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance 0 1 1 77 3 5 6 170
Dynamic predictive density combinations for large data sets in economics and finance 0 0 0 37 1 9 11 120
Efficient Gibbs Sampling for Markov Switching GARCH Models 0 0 0 108 2 4 7 336
Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective 0 0 2 26 3 7 12 61
Financial bridges and network communities 0 0 0 19 3 5 6 45
Financial press and stock markets in times of crisis 0 0 0 68 1 1 4 186
First-order integer-valued autoregressive processes with Generalized Katz innovations 0 0 2 9 2 4 6 18
Fiscal Policy Regimes in Resource-Rich Economies 0 0 0 9 1 5 11 19
Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance 0 0 0 48 2 4 7 79
Forecast density combinations with dynamic learning for large data sets in economics and finance 0 0 0 32 0 2 3 57
Generalized Poisson Difference Autoregressive Processes 0 0 0 27 0 4 6 48
Growth-cycle phases in China�s provinces: A panel Markov-switching approach 0 0 0 97 3 7 10 224
Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods 0 0 0 114 3 7 7 381
Interacting multiple -- Try algorithms with different proposal distributions 0 0 0 25 0 0 0 92
Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model 0 0 1 28 0 0 4 112
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 0 69 1 3 6 206
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 1 63 1 2 3 197
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 0 47 2 7 9 179
Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode 0 0 0 96 1 2 4 125
Italian Equity Funds: Efficiency and Performance Persistence 0 0 0 52 1 1 6 224
Italian Equity Funds: Efficiency and Performance Persistence 0 0 0 128 3 5 9 343
Learning from experts: Energy efficiency in residential buildings 0 0 0 24 1 2 12 25
Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets 0 0 1 91 1 1 4 224
Markov Switching Panel with Endogenous Synchronization Effects 0 0 1 94 9 20 24 231
Markov Switching Panel with Network Interaction Effects 0 0 1 73 3 5 7 191
Matrix-State Particle Filter for Wishart Stochastic Volatility Processes 0 0 0 11 2 5 5 86
Matrix-State Particle Filter for Wishart Stochastic Volatility Processes 0 0 0 118 0 3 8 300
Modeling Systemic Risk with Markov Switching Graphical SUR Models 0 1 2 146 2 7 11 239
Modeling Turning Points In Global Equity Market 0 0 0 39 1 3 5 46
Monte carlo within simulated annealing for integral constrained optimizations 0 0 0 0 0 1 1 1
Nowcasting industrial production using linear and non-linear models of electricity demand 0 0 3 57 5 8 14 143
Oil and Fiscal Policy Regimes 0 0 0 15 0 3 6 47
Oil and fiscal policy regimes 0 0 0 26 3 5 7 47
Online data processing: comparison of Bayesian regularized particle filters 0 0 1 56 2 2 4 215
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox 0 0 0 119 1 2 3 483
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox 0 0 0 34 1 2 3 123
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox 0 0 0 79 0 1 3 180
Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox 1 1 2 39 1 3 6 139
Particle Filters for Markov-Switching Stochastic-Correlation Models 0 0 0 162 2 9 10 351
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 12 1 2 4 231
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 39 2 6 8 169
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 72 2 9 12 306
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 1 20 1 3 6 170
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 0 78 3 8 8 200
Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints 0 0 0 38 1 3 4 163
Stochastic Processes in Credit Risk Modelling 0 0 4 238 2 3 15 627
The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach 1 3 9 69 3 10 29 144
The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach 0 1 1 42 0 3 9 68
Time-varying Combinations of Predictive Densities using Nonlinear Filtering 0 0 0 79 1 4 7 152
Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model 1 1 2 55 3 7 12 118
Uncertainty and the Term Structure of Interest Rates 0 0 0 3 3 3 5 11
Total Working Papers 5 17 67 5,426 153 370 656 14,608

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets 0 2 2 25 0 3 5 72
A Bayesian time varying approach to risk neutral density estimation 0 0 0 3 0 0 0 13
A Dynamic Latent-Space Model for Asset Clustering 2 2 4 9 2 3 7 15
A Scoring Rule for Factor and Autoregressive Models Under Misspecification 0 0 0 16 3 5 6 79
A Stochastic Volatility Model With Realized Measures for Option Pricing 0 0 0 5 0 1 1 21
A flexible predictive density combination for large financial data sets in regular and crisis periods 0 0 0 0 2 3 3 9
A framework for information synthesis into sentiment indicators using text mining methods 0 0 0 1 0 0 0 2
An entropy-based early warning indicator for systemic risk 0 1 3 31 2 6 13 144
Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities 0 0 0 9 2 3 5 56
Bayesian Calibration of Generalized Pools of Predictive Distributions 0 0 0 6 1 2 4 60
Bayesian Dynamic Tensor Regression 0 0 0 3 1 4 7 21
Bayesian Graphical Models for STructural Vector Autoregressive Processes 0 1 1 24 2 7 14 122
Bayesian Markov-Switching Tensor Regression for Time-Varying Networks 1 1 2 3 2 4 7 13
Bayesian Nonparametric Calibration and Combination of Predictive Distributions 0 0 0 2 0 2 4 27
Bayesian Nonparametric Panel Markov-Switching GARCH Models 0 0 2 4 0 0 5 12
Bayesian nonparametric sparse VAR models 0 0 0 22 1 3 5 95
Being on the Field When the Game Is Still Under Way. The Financial Press and Stock Markets in Times of Crisis 0 0 0 1 1 4 5 8
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis 0 0 1 86 3 5 10 210
Beta-product dependent Pitman–Yor processes for Bayesian inference 0 0 0 11 1 1 3 75
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 0 0 3 5 9
Combination schemes for turning point predictions 0 0 0 26 3 4 6 110
Computational Complexity and Parallelization in Bayesian Econometric Analysis 0 0 0 6 1 2 2 49
Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty 0 0 0 0 1 2 3 6
Efficient Gibbs sampling for Markov switching GARCH models 0 0 0 10 2 4 5 47
Generalized Poisson difference autoregressive processes 0 0 1 1 1 4 13 13
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area 0 0 0 48 4 7 9 179
Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model 0 0 0 16 2 3 7 64
Learning from experts: Energy efficiency in residential buildings 1 1 1 2 3 9 13 17
Markov switching GARCH models for Bayesian hedging on energy futures markets 0 1 1 22 2 5 9 91
Markov switching panel with endogenous synchronization effects 0 0 2 11 4 7 13 39
Modeling Corporate CDS Spreads Using Markov Switching Regressions 0 0 2 3 2 4 9 15
Modeling Turning Points in the Global Equity Market 0 0 1 2 2 3 8 14
Modeling systemic risk with Markov Switching Graphical SUR models 0 0 2 47 1 3 11 171
Monte carlo within simulated annealing for integral constrained optimizations 0 0 0 0 1 2 4 6
Multilayer network analysis of oil linkages 0 0 0 5 2 6 9 29
Nowcasting industrial production using linear and non-linear models of electricity demand 1 2 5 6 3 8 13 18
On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting 0 0 0 12 0 2 2 37
Opinion Dynamics and Disagreements on Financial Networks 0 0 1 31 5 9 11 121
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox 1 1 1 7 6 12 15 76
Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns 0 0 0 1 1 3 3 17
Relative benchmark rating and persistence analysis: Evidence from Italian equity funds 0 0 1 12 2 5 8 82
Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures 1 1 1 6 2 6 10 109
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 1 15 2 4 10 89
Stochastic optimization for allocation problems with shortfall risk constraints 0 0 0 1 3 4 7 12
Structural changes in large economic datasets: A nonparametric homogeneity test 0 0 0 6 0 1 3 36
Time-varying combinations of predictive densities using nonlinear filtering 0 2 2 54 2 6 18 224
Total Journal Articles 7 15 37 611 80 184 330 2,734
1 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Generalized Poisson Model for Cyber Risk Analysis 0 0 0 1 0 2 7 33
Understanding Economic Instability during the Pandemic: A Factor Model Approach 0 0 0 2 0 2 7 12
Total Chapters 0 0 0 3 0 4 14 45

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Statistics updated 2026-01-09