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 1 2 9 31
A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities 0 0 0 38 1 3 10 92
A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices 0 0 1 44 0 0 2 86
A scoring rule for factor and autoregressive models under misspecification 0 1 9 65 1 7 34 128
Adaptive Sticky Generalized Metropolis 0 0 0 18 1 2 6 104
An entropy-based early warning indicator for systemic risk 0 0 6 76 2 5 27 171
Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index 0 0 1 41 0 2 10 137
Bayesian Dynamic Tensor Regression 1 4 15 64 4 17 54 135
Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis 0 2 3 119 0 2 11 224
Bayesian Graphical Models for Structural Vector Autoregressive Processes 1 4 8 141 2 9 23 359
Bayesian Inference on Dynamic Models with Latent Factors 0 0 1 121 0 2 4 317
Bayesian Markov Switching Stochastic Correlation Models 0 0 1 103 0 1 7 226
Bayesian Markov Switching Tensor Regression for Time-varying Networks 0 0 3 46 0 1 10 57
Bayesian Nonparametric Calibration and Combination of Predictive Distributions 0 0 0 30 0 0 0 109
Bayesian nonparametric calibration and combination of predictive distributions 0 0 0 31 0 0 3 82
Bayesian nonparametric sparse VAR models 1 3 6 33 6 12 26 69
Bayesian nonparametric sparse seemingly unrelated regression model (SUR) 0 0 2 35 1 2 11 127
Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference 1 2 2 51 2 4 9 148
Beta-product Poisson-Dirichlet Processes 0 0 0 0 0 2 3 14
Business Cycle and Stock Market Volatility: A Particle Filter Approach 0 0 1 249 2 3 9 751
Combination Schemes for Turning Point Predictions 0 0 0 67 1 3 9 138
Combination schemes for turning point predictions 0 0 0 19 0 1 4 119
Combination schemes for turning point predictions 0 0 0 57 0 0 3 103
Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data 0 0 0 40 0 1 8 83
Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data 0 0 0 15 0 1 5 65
Combining predictive densities using Bayesian filtering with applications to US economic data 0 0 0 55 1 3 9 158
Combining predictive densities using Bayesian filtering with applications to US economics data 0 0 0 66 0 3 8 106
Density Forecasting 4 17 60 208 9 35 139 309
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance 0 0 5 60 1 7 24 123
Dynamic predictive density combinations for large data sets in economics and finance 0 2 5 32 2 7 15 91
Efficient Gibbs Sampling for Markov Switching GARCH Models 1 1 1 99 2 3 5 309
Financial bridges and network communities 0 1 2 13 0 2 7 24
Financial press and stock markets in times of crisis 0 1 2 67 0 5 10 170
Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance 0 3 4 44 4 12 25 48
Forecast density combinations with dynamic learning for large data sets in economics and finance 1 15 18 19 1 8 16 21
Generalized Poisson Difference Autoregressive Processes 0 0 21 21 0 4 20 20
Growth-cycle phases in China�s provinces: A panel Markov-switching approach 0 1 7 87 1 4 25 180
Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods 0 0 0 114 0 2 4 265
Interacting multiple -- Try algorithms with different proposal distributions 0 0 0 25 0 1 5 85
Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model 0 1 1 23 0 2 4 94
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 2 55 2 4 12 165
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 1 1 2 45 1 4 8 157
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 1 1 1 66 2 3 7 180
Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode 0 0 2 88 1 2 6 97
Italian Equity Funds: Efficiency and Performance Persistence 0 0 1 126 1 3 14 324
Italian Equity Funds: Efficiency and Performance Persistence 0 0 0 51 0 1 6 203
Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets 1 2 3 88 1 6 12 199
Markov Switching Panel with Network Interaction Effects 0 1 17 54 1 4 58 123
Matrix-State Particle Filter for Wishart Stochastic Volatility Processes 0 0 0 11 0 0 1 77
Matrix-State Particle Filter for Wishart Stochastic Volatility Processes 0 0 0 115 0 2 4 282
Modeling Systemic Risk with Markov Switching Graphical SUR Models 1 4 27 105 1 7 48 150
Online data processing: comparison of Bayesian regularized particle filters 0 0 0 53 0 1 2 200
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox 0 1 2 118 1 6 15 460
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox 0 0 0 78 0 4 10 173
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox 0 0 0 33 1 4 7 103
Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox 1 1 1 37 1 5 12 126
Particle Filters for Markov-Switching Stochastic-Correlation Models 0 0 0 159 0 1 3 329
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 71 0 4 21 252
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 1 17 0 4 15 148
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 38 2 5 14 117
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 11 0 4 15 139
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 1 4 76 1 4 25 176
Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints 0 0 0 38 0 1 5 152
Stochastic Processes in Credit Risk Modelling 0 0 1 221 0 4 17 519
Time-varying Combinations of Predictive Densities using Nonlinear Filtering 0 1 1 74 0 2 5 116
Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model 1 2 7 81 1 4 21 140
Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model 0 0 4 48 0 2 18 71
Total Working Papers 16 73 261 4,404 62 271 994 11,056


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 7 13 0 2 13 41
A Bayesian time varying approach to risk neutral density estimation 0 0 0 0 0 3 6 9
An entropy-based early warning indicator for systemic risk 0 0 0 15 0 4 16 69
Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities 0 0 2 8 0 0 6 35
Bayesian Calibration of Generalized Pools of Predictive Distributions 0 0 0 4 1 2 9 44
Bayesian Graphical Models for STructural Vector Autoregressive Processes 0 0 5 19 0 1 16 77
Bayesian Nonparametric Calibration and Combination of Predictive Distributions 0 0 0 0 0 1 4 6
Bayesian nonparametric sparse VAR models 0 0 6 7 2 5 22 27
Being on the Field When the Game Is Still Under Way. The Financial Press and Stock Markets in Times of Crisis 0 0 0 0 0 0 1 1
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis 0 0 1 75 0 1 4 182
Beta-product dependent Pitman–Yor processes for Bayesian inference 0 0 0 9 0 0 3 55
Combination schemes for turning point predictions 0 0 0 21 1 1 7 90
Computational Complexity and Parallelization in Bayesian Econometric Analysis 0 0 0 6 1 4 7 45
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 1 1
Efficient Gibbs sampling for Markov switching GARCH models 1 1 1 7 1 1 3 30
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area 0 0 1 40 1 1 4 142
Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model 1 1 2 9 1 1 11 36
Italian Equity Funds: Efficiency and Performance Persistence 0 0 0 0 4 6 11 234
Markov switching GARCH models for Bayesian hedging on energy futures markets 1 2 7 13 5 8 22 55
Modeling systemic risk with Markov Switching Graphical SUR models 1 2 19 30 2 9 56 105
Opinion Dynamics and Disagreements on Financial Networks 0 2 10 10 1 9 37 37
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox 0 0 2 6 0 2 6 49
Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns 0 0 0 1 1 1 3 7
Relative benchmark rating and persistence analysis: Evidence from Italian equity funds 0 0 1 11 1 4 7 65
Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures 0 0 1 5 0 4 22 72
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 2 9 2 4 13 51
Stochastic optimization for allocation problems with shortfall risk constraints 0 0 0 0 0 0 0 1
Structural changes in large economic datasets: A nonparametric homogeneity test 0 0 0 4 0 1 5 22
Time-varying combinations of predictive densities using nonlinear filtering 0 1 2 38 0 2 10 166
Total Journal Articles 4 11 69 360 24 77 325 1,754


Statistics updated 2020-11-03