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 0 5 37
A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities 0 0 1 40 0 2 31 140
A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance 1 3 4 37 2 6 24 62
A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance 0 0 3 7 0 0 13 27
A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods 0 14 14 14 0 4 5 5
A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices 0 0 2 46 0 1 5 91
A scoring rule for factor and autoregressive models under misspecification 0 0 2 68 2 3 15 155
Adaptive Sticky Generalized Metropolis 0 0 0 19 0 0 2 109
An entropy-based early warning indicator for systemic risk 2 2 6 83 3 5 24 209
Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index 0 0 0 43 0 1 5 145
Bayesian Dynamic Tensor Regression 1 1 10 82 1 3 29 192
Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis 1 1 3 123 2 2 7 233
Bayesian Graphical Models for Structural Vector Autoregressive Processes 0 1 7 150 0 2 25 404
Bayesian Inference on Dynamic Models with Latent Factors 0 0 1 122 0 0 2 320
Bayesian Markov Switching Stochastic Correlation Models 0 0 1 104 0 0 2 229
Bayesian Markov Switching Tensor Regression for Time-varying Networks 2 3 5 51 2 4 12 77
Bayesian Nonparametric Calibration and Combination of Predictive Distributions 0 0 2 32 0 1 4 115
Bayesian nonparametric calibration and combination of predictive distributions 0 0 0 32 0 0 12 109
Bayesian nonparametric sparse VAR models 1 1 2 35 1 1 7 93
Bayesian nonparametric sparse seemingly unrelated regression model (SUR) 1 1 2 39 3 6 14 151
Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference 0 0 0 52 0 0 9 163
Beta-product Poisson-Dirichlet Processes 0 0 0 0 0 0 1 19
Business Cycle and Stock Market Volatility: A Particle Filter Approach 0 0 1 251 1 1 3 759
COVID-19 spreading in financial networks: A semiparametric matrix regression model 3 3 7 17 3 4 17 39
COVID-19 spreading in financial networks: A semiparametric matrix regression model 2 2 16 71 3 4 36 132
Combination Schemes for Turning Point Predictions 0 0 0 67 0 0 5 146
Combination schemes for turning point predictions 0 0 0 57 0 0 2 112
Combination schemes for turning point predictions 0 0 0 19 0 0 2 125
Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data 0 0 0 40 0 0 2 85
Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data 0 0 0 16 0 0 1 68
Combining predictive densities using Bayesian filtering with applications to US economic data 0 0 0 55 0 0 6 166
Combining predictive densities using Bayesian filtering with applications to US economics data 0 0 1 67 0 0 3 112
Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model 1 3 12 28 1 5 34 49
Density Forecasting 3 6 20 244 3 7 30 401
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance 0 0 1 74 1 3 10 159
Dynamic predictive density combinations for large data sets in economics and finance 0 0 0 33 0 0 2 100
Efficient Gibbs Sampling for Markov Switching GARCH Models 0 0 1 104 0 0 4 321
Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective 0 0 3 24 1 1 9 42
Financial bridges and network communities 0 0 5 19 0 0 14 39
Financial press and stock markets in times of crisis 0 0 0 68 0 0 5 180
First-order integer-valued autoregressive processes with Generalized Katz innovations 0 6 6 6 0 4 5 5
Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance 0 0 1 48 0 0 8 71
Forecast density combinations with dynamic learning for large data sets in economics and finance 0 0 4 32 0 0 15 53
Generalized Poisson Difference Autoregressive Processes 1 2 3 27 1 4 12 41
Growth-cycle phases in China�s provinces: A panel Markov-switching approach 0 0 4 91 0 2 14 200
Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods 0 0 0 114 1 12 41 317
Interacting multiple -- Try algorithms with different proposal distributions 0 0 0 25 0 0 5 91
Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model 0 0 0 24 0 2 4 102
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 0 46 0 0 5 166
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 0 68 0 0 7 195
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 2 57 0 2 11 183
Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode 1 2 4 94 1 3 13 114
Italian Equity Funds: Efficiency and Performance Persistence 0 0 0 51 0 0 2 208
Italian Equity Funds: Efficiency and Performance Persistence 0 0 2 128 0 0 3 331
Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets 0 0 1 89 0 1 8 212
Markov Switching Panel with Endogenous Synchronization Effects 3 7 22 79 5 14 62 162
Markov Switching Panel with Network Interaction Effects 1 2 9 71 1 2 22 173
Matrix-State Particle Filter for Wishart Stochastic Volatility Processes 0 0 0 11 0 0 3 81
Matrix-State Particle Filter for Wishart Stochastic Volatility Processes 0 0 2 117 0 0 4 288
Modeling Systemic Risk with Markov Switching Graphical SUR Models 2 2 9 125 2 2 22 195
Modeling Turning Points In Global Equity Market 1 2 3 38 1 3 10 35
Oil and Fiscal Policy Regimes 0 1 3 13 1 2 10 34
Oil and fiscal policy regimes 0 4 12 20 0 4 18 28
Online data processing: comparison of Bayesian regularized particle filters 0 0 1 54 0 0 2 207
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox 0 0 1 119 0 0 8 476
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox 0 0 0 78 0 0 2 176
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox 0 0 0 33 0 0 4 114
Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox 0 0 0 37 1 1 3 129
Particle Filters for Markov-Switching Stochastic-Correlation Models 0 0 0 159 0 0 0 331
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 71 2 2 13 273
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 12 2 7 34 183
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 0 0 0 38 1 1 14 147
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 7 161
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 2 78 1 3 10 189
Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints 0 0 0 38 0 0 1 158
Stochastic Processes in Credit Risk Modelling 1 1 1 222 2 5 14 546
The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach 5 6 16 44 5 9 43 78
The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach 0 2 7 21 1 3 18 32
Time-varying Combinations of Predictive Densities using Nonlinear Filtering 0 0 0 77 0 0 10 136
Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model 0 0 2 51 0 0 10 89
Total Working Papers 33 78 249 4,969 57 154 935 12,830


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 0 1 17 0 0 4 50
A Bayesian time varying approach to risk neutral density estimation 0 0 0 1 0 0 0 11
A Scoring Rule for Factor and Autoregressive Models Under Misspecification 0 1 4 16 1 5 17 65
A Stochastic Volatility Model With Realized Measures for Option Pricing 0 1 2 3 0 1 5 11
An entropy-based early warning indicator for systemic risk 1 1 4 20 1 2 15 103
Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities 0 0 1 9 0 0 8 49
Bayesian Calibration of Generalized Pools of Predictive Distributions 0 0 2 6 0 0 3 51
Bayesian Graphical Models for STructural Vector Autoregressive Processes 0 1 2 22 1 4 12 99
Bayesian Nonparametric Calibration and Combination of Predictive Distributions 0 0 0 0 0 0 7 17
Bayesian nonparametric sparse VAR models 0 0 5 13 0 1 19 65
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 0 2
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis 1 1 4 79 1 1 7 191
Beta-product dependent Pitman–Yor processes for Bayesian inference 0 0 0 11 0 2 8 67
Combination schemes for turning point predictions 1 1 2 25 1 1 6 100
Computational Complexity and Parallelization in Bayesian Econometric Analysis 0 0 0 6 0 0 0 46
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 3
Efficient Gibbs sampling for Markov switching GARCH models 1 1 1 9 1 1 4 37
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area 0 0 5 47 1 2 12 160
Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model 0 0 3 13 0 0 9 49
Italian Equity Funds: Efficiency and Performance Persistence 0 0 0 0 0 1 4 244
Markov switching GARCH models for Bayesian hedging on energy futures markets 0 0 2 18 0 1 10 73
Modeling systemic risk with Markov Switching Graphical SUR models 0 0 3 37 0 0 12 141
Multilayer network analysis of oil linkages 0 0 0 3 1 2 4 14
On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting 0 1 7 7 0 3 19 19
Opinion Dynamics and Disagreements on Financial Networks 1 2 5 22 3 8 25 86
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox 0 0 0 6 0 0 7 60
Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns 0 0 0 1 0 0 2 14
Relative benchmark rating and persistence analysis: Evidence from Italian equity funds 0 0 0 11 0 0 5 73
Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures 0 0 0 5 2 2 12 90
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 2 11 0 2 16 72
Stochastic optimization for allocation problems with shortfall risk constraints 0 0 0 0 0 0 2 3
Structural changes in large economic datasets: A nonparametric homogeneity test 0 0 1 6 0 0 6 33
Time-varying combinations of predictive densities using nonlinear filtering 0 1 5 46 0 2 14 186
Total Journal Articles 5 11 61 470 13 41 275 2,284


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 0 1 4 8 8
Total Chapters 0 0 0 0 1 4 8 8


Statistics updated 2022-06-07