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Casarin, Roberto's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,467 |
Total
Citations
14 |
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1.
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Italian Equity Funds: Efficiency and Performance Persistence
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Casarin, Roberto
University of Brescia - Department of Economics Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics Piva, Andrea
University of Venice
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Posted:
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30 Apr 01
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Last Revised:
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02 May 12
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840
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5
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Casarin, Roberto
University of Brescia - Department of Economics Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics Piva, Andrea
University of Venice
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97
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5
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Mutual funds, Performance evaluation
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Casarin, Roberto
University of Brescia - Department of Economics Piva, Andrea
GRETA Associati Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics
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743
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5
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Performance evaluation, performance persistence
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2.
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Casarin, Roberto
University of Brescia - Department of Economics
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601
(20,129)
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Markov process, Jump process, Poisson process, Cox process, Doubly stochastic Poisson process
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3.
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Casarin, Roberto
University of Brescia - Department of Economics Trecroci, Carmine
University of Brescia
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07 Mar 06
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Last Revised:
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22 Mar 08
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575
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Markov Switching, Stochastic Volatility, Business Cycle, Equity Markets, Particle Filter
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4.
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Casarin, Roberto
University of Brescia - Department of Economics
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294
(49,895)
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3
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Particle Filter, Markov Switching, Stochastic Volatility, Heavy Tails
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5.
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Casarin, Roberto
University of Brescia - Department of Economics
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249
(60,158)
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1
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Monte Carlo Filtering, Particle Filter, Gibbs Sampling, Stochastic Volatility
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6.
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Casarin, Roberto
University of Brescia - Department of Economics Sartore, Domenico
Ca Foscari University of Venice - Department of Economics
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137
(106,985)
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Multivariate Stochastic Volatility, Matrix-State Particle Filters, Sequential Monte Carlo, Wishart Processes, Markov Switching
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7.
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Casarin, Roberto
University of Brescia - Department of Economics
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119
(120,033)
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Mixture model, Stable distributions, Bayesian inference, Gibbs sampling
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8.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Sartore, Domenico
Ca Foscari University of Venice - Department of Economics
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97
(139,409)
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2
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Bayesian Dynamic Models, Simulation Based Inference, Particle Filters, Latent Factors, Business Cycle
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9.
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Ahelegbey, Daniel Felix
Ca Foscari University of Venice - Department of Economics Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics
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69
(172,449)
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Bayesian Graphical Models, Markov Chain Monte Carlo, Structural Vector Autoregression, Directed Acyclic Graph, Bayesian Inference, Dynamic Bayesian Network
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10.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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68
(173,824)
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Density forecast combination, stock data
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11.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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62
(182,593)
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2
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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
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12.
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Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
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Casarin, Roberto
University of Brescia - Department of Economics Grassi, Stefano
University of Aarhus - CREATES Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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Posted:
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09 Apr 13
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Last Revised:
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27 Apr 13
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59
(187,234)
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Casarin, Roberto
University of Brescia - Department of Economics Grassi, Stefano
University of Aarhus - CREATES Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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6
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Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab
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Casarin, Roberto
University of Brescia - Department of Economics Grassi, Stefano
University of Aarhus - CREATES Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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53
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Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab
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13.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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57
(190,554)
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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
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14.
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Combination Schemes for Turning Point Predictions
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Versions (3)
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hide multiple versions |
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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Posted:
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22 Aug 11
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Last Revised:
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07 May 13
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51
(200,707)
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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5
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Turning Points, Markov-switching, Forecast Combination, Bayesian Model Averaging
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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15
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C11, C15, C53, E37
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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31
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turning points, Markov-switching, forecast combination, Bayesian model averaging
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15.
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Casarin, Roberto
University of Brescia - Department of Economics Squazzoni, Flaminio
affiliation not provided to SSRN
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46
(209,928)
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2008/2009 financial crisis, financial press, bad news, market volatility, dynamic correlation, Wall Street Journal, pessimism
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16.
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Casarin, Roberto
University of Brescia - Department of Economics Tronzano, Marco
University of Genoa Sartore, Domenico
Ca Foscari University of Venice - Department of Economics
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45
(211,821)
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Stochastic Correlation, Multivariate Stochastic Volatility, Markov-switching, Bayesian Inference, Monte Carlo Markov Chain
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17.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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| Posted: |
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28 Jul 12
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Last Revised:
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03 Oct 12
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44
(217,965)
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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
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18.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Osuntuyi, Ayokunle Anthony
Ca Foscari University of Venice
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29
(248,439)
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Bayesian inference, GARCH, Markov switching, Multiple-Try Metropolis
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19.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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25
(260,729)
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1
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density forecast combination, survey forecast, nonlinear filtering, sequential Monte Carlo
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20.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Mehu, Claire
CDC Sartore, Domenico
Ca Foscari University of Venice - Department of Economics
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Investment style, style analysis, European equity market
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21.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Sartore, Domenico
Ca Foscari University of Venice - Department of Economics
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Bayesian dynamic models, simulation based inference, particle filters, latent factors, business cycle
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22.
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Lazzarin, Marco
Fondazione Eni Enrico Mattei (FEEM), Venice Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics Sartore, Domenico
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics
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Mutual funds, performance evaluation, persistence analysis, style analysis, morningstar rating, risk adjusted measures
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