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 to Inference on Probabilistic Surveys 0 0 4 20 0 0 12 42
A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities 0 0 0 11 0 0 0 37
A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities 0 0 0 40 0 0 0 140
A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance 0 1 3 46 1 4 10 87
A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance 0 0 0 7 0 0 0 28
A Dynamic Stochastic Block Model for Multi-Layer Networks 0 2 4 12 0 3 9 27
A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods 0 0 0 15 0 0 1 9
A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods 0 0 0 15 0 0 1 9
A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices 0 0 1 50 0 0 2 99
A scoring rule for factor and autoregressive models under misspecification 0 1 2 71 0 1 3 160
Adaptive Sticky Generalized Metropolis 0 0 0 20 0 0 0 111
An entropy-based early warning indicator for systemic risk 1 1 2 86 1 2 7 223
Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index 0 0 0 45 0 0 1 149
Bayesian Dynamic Tensor Regression 0 0 0 89 0 0 0 210
Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis 0 0 1 126 0 1 4 242
Bayesian Graphical Models for Structural Vector Autoregressive Processes 0 0 2 159 1 1 8 428
Bayesian Inference on Dynamic Models with Latent Factors 0 0 1 123 0 0 2 322
Bayesian Markov Switching Stochastic Correlation Models 0 0 0 106 1 1 1 234
Bayesian Markov Switching Tensor Regression for Time-varying Networks 0 1 3 59 0 1 5 94
Bayesian Nonparametric Calibration and Combination of Predictive Distributions 0 0 0 32 0 0 0 115
Bayesian nonparametric calibration and combination of predictive distributions 0 0 0 32 0 0 0 111
Bayesian nonparametric sparse VAR models 0 0 0 37 1 1 4 100
Bayesian nonparametric sparse seemingly unrelated regression model (SUR) 0 0 1 44 1 3 6 164
Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference 0 0 0 52 0 0 2 166
Beta-product Poisson-Dirichlet Processes 0 0 0 1 0 0 0 20
Business Cycle and Stock Market Volatility: A Particle Filter Approach 0 0 0 251 0 0 1 762
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 78 0 0 3 149
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 18 0 0 0 44
Combination Schemes for Turning Point Predictions 0 0 0 67 0 0 0 146
Combination schemes for turning point predictions 0 1 1 58 0 1 3 116
Combination schemes for turning point predictions 0 0 0 19 0 0 2 128
Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data 0 0 0 41 0 0 0 87
Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data 0 0 0 16 0 0 0 68
Combining predictive densities using Bayesian filtering with applications to US economic data 0 0 0 55 0 0 0 167
Combining predictive densities using Bayesian filtering with applications to US economics data 0 0 0 67 0 0 1 113
Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model 0 1 2 33 0 2 10 77
Density Forecasting 0 3 9 276 1 7 20 471
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance 0 0 0 76 0 0 3 164
Dynamic predictive density combinations for large data sets in economics and finance 0 0 3 37 0 0 5 109
Efficient Gibbs Sampling for Markov Switching GARCH Models 1 1 1 108 2 2 2 329
Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective 0 0 0 24 0 0 2 48
Financial bridges and network communities 0 0 0 19 0 0 0 39
Financial press and stock markets in times of crisis 0 0 0 68 0 0 1 182
First-order integer-valued autoregressive processes with Generalized Katz innovations 0 0 1 7 0 0 1 12
Fiscal Policy Regimes in Resource-Rich Economies 0 0 3 3 0 1 6 6
Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance 0 0 0 48 0 0 0 72
Forecast density combinations with dynamic learning for large data sets in economics and finance 0 0 0 32 0 0 0 54
Generalized Poisson Difference Autoregressive Processes 0 0 0 27 0 0 0 42
Growth-cycle phases in China�s provinces: A panel Markov-switching approach 0 0 2 96 1 1 4 211
Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods 0 0 0 114 0 0 0 374
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 27 0 0 2 107
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 2 62 0 0 4 194
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 0 69 0 0 0 197
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 1 47 0 0 2 170
Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode 1 1 2 96 1 2 4 121
Italian Equity Funds: Efficiency and Performance Persistence 0 0 0 128 1 1 1 334
Italian Equity Funds: Efficiency and Performance Persistence 0 1 1 52 2 3 9 218
Learning from experts: Energy efficiency in residential buildings 0 0 23 23 0 1 12 12
Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets 0 0 0 90 1 1 3 219
Markov Switching Panel with Endogenous Synchronization Effects 0 1 5 92 0 2 13 197
Markov Switching Panel with Network Interaction Effects 0 0 0 72 0 0 2 183
Matrix-State Particle Filter for Wishart Stochastic Volatility Processes 0 0 0 11 0 0 0 81
Matrix-State Particle Filter for Wishart Stochastic Volatility Processes 0 0 1 118 0 0 2 291
Modeling Systemic Risk with Markov Switching Graphical SUR Models 0 2 7 144 0 4 18 228
Modeling Turning Points In Global Equity Market 0 0 0 39 1 1 3 41
Nowcasting industrial production using linear and non-linear models of electricity demand 0 1 7 50 1 3 14 124
Oil and Fiscal Policy Regimes 0 0 1 15 0 0 1 41
Oil and fiscal policy regimes 0 0 0 26 0 0 1 38
Online data processing: comparison of Bayesian regularized particle filters 0 0 0 55 1 1 1 211
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox 0 0 0 119 0 0 0 479
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox 0 0 0 79 0 0 0 177
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox 0 0 0 34 0 0 0 120
Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox 0 0 0 37 0 1 3 133
Particle Filters for Markov-Switching Stochastic-Correlation Models 0 0 1 162 0 1 3 341
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 19 0 0 1 164
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 38 0 0 5 160
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 72 0 0 5 294
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 12 0 0 3 227
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 0 78 0 0 1 192
Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints 0 0 0 38 0 0 1 159
Stochastic Processes in Credit Risk Modelling 1 1 7 234 1 2 31 608
The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach 0 2 5 59 1 3 9 109
The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach 1 1 5 41 1 1 7 59
Time-varying Combinations of Predictive Densities using Nonlinear Filtering 0 0 0 79 0 0 3 144
Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model 0 0 1 53 1 1 3 104
Total Working Papers 5 22 116 5,331 22 60 309 13,866

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 1 1 21 0 1 3 63
A Bayesian time varying approach to risk neutral density estimation 0 0 1 3 0 0 1 13
A Scoring Rule for Factor and Autoregressive Models Under Misspecification 0 0 0 16 0 2 3 73
A Stochastic Volatility Model With Realized Measures for Option Pricing 0 0 1 5 0 2 5 19
A flexible predictive density combination for large financial data sets in regular and crisis periods 0 0 0 0 1 2 4 4
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 0 3 28 0 0 10 128
Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities 0 0 0 9 0 0 1 51
Bayesian Calibration of Generalized Pools of Predictive Distributions 0 0 0 6 0 0 0 56
Bayesian Dynamic Tensor Regression 0 0 3 3 0 0 9 12
Bayesian Graphical Models for STructural Vector Autoregressive Processes 0 0 1 23 0 0 1 108
Bayesian Nonparametric Calibration and Combination of Predictive Distributions 0 0 1 2 0 0 1 23
Bayesian Nonparametric Panel Markov-Switching GARCH Models 1 1 1 1 1 3 6 6
Bayesian nonparametric sparse VAR models 1 2 6 21 1 4 13 85
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 0 0 0 3
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis 0 0 3 84 0 0 4 199
Beta-product dependent Pitman–Yor processes for Bayesian inference 0 0 0 11 0 0 2 72
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 0 0 0 3 3
Combination schemes for turning point predictions 0 0 1 26 0 1 4 104
Computational Complexity and Parallelization in Bayesian Econometric Analysis 0 0 0 6 0 0 0 47
Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty 0 0 0 0 0 0 0 3
Efficient Gibbs sampling for Markov switching GARCH models 0 0 1 10 0 0 1 41
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area 0 0 1 48 0 0 3 169
Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model 0 0 2 16 1 1 5 57
Italian Equity Funds: Efficiency and Performance Persistence 0 0 0 0 1 1 5 250
Markov switching GARCH models for Bayesian hedging on energy futures markets 0 0 2 21 0 1 6 82
Markov switching panel with endogenous synchronization effects 0 0 4 8 0 2 11 22
Modeling systemic risk with Markov Switching Graphical SUR models 0 0 3 44 0 0 8 158
Nowcasting industrial production using linear and non-linear models of electricity demand 0 0 1 1 0 1 5 5
On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting 0 0 1 12 0 0 4 33
Opinion Dynamics and Disagreements on Financial Networks 0 0 2 30 0 1 8 110
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox 0 0 0 6 0 0 0 61
Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns 0 0 0 1 0 0 0 14
Relative benchmark rating and persistence analysis: Evidence from Italian equity funds 0 0 0 11 0 0 1 74
Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures 0 0 0 5 0 0 2 99
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 0 13 0 0 0 78
Stochastic optimization for allocation problems with shortfall risk constraints 0 0 0 1 0 0 0 5
Structural changes in large economic datasets: A nonparametric homogeneity test 0 0 0 6 0 0 0 33
Time-varying combinations of predictive densities using nonlinear filtering 1 1 3 52 2 3 13 205
Total Journal Articles 3 5 42 552 7 25 142 2,570
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 1 1 1 1 5 26
Understanding Economic Instability during the Pandemic: A Factor Model Approach 0 0 1 2 0 0 3 4
Total Chapters 0 0 2 3 1 1 8 30

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Statistics updated 2024-09-04