Roberto Casarin

University Ca' Foscari of Venice - Department of Economics

Full Professor of Econometrics

San Giobbe 873/b

Venice, 30121

Italy

http://sites.google.com/view/robertocasarin

  • University Ca' Foscari of Venice - Department of Economics

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    • Tel: +39 030.298.91.49
    • Fax: +39 030.298.88.37
SCHOLARLY PAPERS

56

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193

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72

Scholarly Papers (56)

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1.

Italian Equity Funds: Efficiency and Performance Persistence

Downloads 1,058 (36,767)
Citation 2

Italian Equity Funds: Efficiency and Performance Persistence

EFMA 2001 Lugano Meetings
Number of pages: 30 Posted: 30 Apr 2001
Roberto Casarin, Andrea Piva and Loriana Pelizzon
University Ca' Foscari of Venice - Department of Economics, GRETA Associati and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 853 (48,909)
Citation 3

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Performance evaluation, performance persistence

Italian Equity Funds: Efficiency and Performance Persistence

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 12_08
Number of pages: 24 Posted: 20 May 2008
Roberto Casarin, Loriana Pelizzon and Andrea Piva
University Ca' Foscari of Venice - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Venice
Downloads 205 (253,879)
Citation 2

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Mutual funds, Performance evaluation

2.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

WBS Finance Group Research Paper No. 227
Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 26 Dec 2019
Daniele Bianchi, Monica Billio, Monica Billio, Roberto Casarin and Massimo Guidolin
School of Economics and Finance, Queen Mary University of London, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University, Dept. of Finance
Downloads 967 (41,737)
Citation 19

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Markov Regime-Switching, Weighted Eigenvector Centrality, Graphical Models, MCMC, Systemic Risk, Network Connectivity

3.

Stochastic Processes in Credit Risk Modelling

Number of pages: 37 Posted: 09 Mar 2006
Roberto Casarin
University Ca' Foscari of Venice - Department of Economics
Downloads 952 (42,713)

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Markov process, Jump process, Poisson process, Cox process, Doubly stochastic Poisson process

4.

Business Cycle and Stock Market Volatility: Are They Related?

Number of pages: 27 Posted: 07 Mar 2006 Last Revised: 22 Mar 2008
Roberto Casarin and Carmine Trecroci
University Ca' Foscari of Venice - Department of Economics and University of Brescia
Downloads 763 (57,741)
Citation 4

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Markov Switching, Stochastic Volatility, Business Cycle, Equity Markets, Particle Filter

5.

Oil and Fiscal Policy Regimes

CAMA Working Paper No. 10/2021
Number of pages: 88 Posted: 20 Jan 2021
Hilde C. Bjørnland, Roberto Casarin, Marco Lorusso and Francesco Ravazzolo
Norwegian School of Management (BI), University Ca' Foscari of Venice - Department of Economics, Newcastle University Business School and Free University of Bozen-Bolzano
Downloads 685 (66,549)

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Dynamic Panel Model, Mixed-Frequency, Markov Switching, Bayesian Inference, Fiscal Policy, Resource Rich Countries, Oil Prices

6.

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Downloads 607 (77,479)
Citation 6

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Tinbergen Institute Discussion Paper 13-055/III
Number of pages: 28 Posted: 04 May 2015
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, Aarhus University - CREATES, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 501 (97,255)
Citation 3

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Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab

Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox

Norges Bank Working Paper 11 | 2014
Number of pages: 27 Posted: 04 May 2015
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 63 (601,533)
Citation 4

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Density forecast combination, sequential Monte Carlo, parallel computing, GPU, MATLAB

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 08/WP/2013
Number of pages: 30 Posted: 27 Apr 2013
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, Aarhus University - CREATES, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 43 (719,634)
Citation 2

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Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab

7.

Bayesian Graphical Models for Structural Vector Autoregressive Processes

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 36/WP/2012
Number of pages: 41 Posted: 11 Jan 2013 Last Revised: 30 Sep 2014
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 385 (133,935)
Citation 30

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Bayesian Graphical Models, Granger Causality, Markov Chain Monte Carlo, Structural VAR, Vector Autoregression

8.

Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models

CEREMADE Journal Working Paper No.0414
Number of pages: 47 Posted: 13 Mar 2006
Roberto Casarin
University Ca' Foscari of Venice - Department of Economics
Downloads 383 (134,739)
Citation 7

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Particle Filter, Markov Switching, Stochastic Volatility, Heavy Tails

9.

A Stochastic Volatility Model with Realized Measures for Option Pricing

Number of pages: 86 Posted: 19 Jul 2016 Last Revised: 26 Mar 2019
Giacomo Bormetti, Roberto Casarin, Fulvio Corsi and Giulia Livieri
University of Bologna - Department of Mathematics, University Ca' Foscari of Venice - Department of Economics, University of Pisa - Department of Economics and Scuola Normale Superiore
Downloads 369 (140,355)
Citation 1

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Bayesian Inference, Monte Carlo Markov Chain, High-frequency, Realized volatility, HARG, Stochastic volatility, Option pricing

10.

Bayesian Monte Carlo Filtering for Stochastic Volatility Models

Cahier du CEREMADE No. 0415
Number of pages: 42 Posted: 09 Mar 2006
Roberto Casarin
University Ca' Foscari of Venice - Department of Economics
Downloads 360 (144,240)
Citation 1

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Monte Carlo Filtering, Particle Filter, Gibbs Sampling, Stochastic Volatility

11.

An Entropy-Based Early Warning Indicator for Systemic Risk

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 09/WP/2015
Number of pages: 35 Posted: 11 May 2015
Monica Billio, Monica Billio, Roberto Casarin, Michele Costola and Andrea Pasqualini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Independent
Downloads 270 (195,237)

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Entropy, systemic risk measures, early warning indicators, aggregation

12.

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Downloads 267 (197,460)
Citation 10

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Tinbergen Institute Discussion Paper 15-084/III
Number of pages: 73 Posted: 21 Jul 2015 Last Revised: 06 Mar 2017
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 221 (236,722)
Citation 6

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Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference, GPU Computing

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Norges Bank Working Paper No. 12/2015
Number of pages: 58 Posted: 08 Aug 2015
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 46 (699,461)
Citation 7

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Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference, GPU Computing

13.

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Downloads 252 (209,059)
Citation 7

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Tinbergen Institute Discussion Paper 13-142/III
Number of pages: 61 Posted: 16 Sep 2013 Last Revised: 07 Nov 2014
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 137 (359,496)
Citation 5

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Bayesian Modelling, Panel VAR, Markov-switching, International Business Cycles, Interaction Mechanism

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Norges Bank Working Paper 20
Number of pages: 49 Posted: 12 Nov 2013
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 58 (627,942)
Citation 5

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Bayesian Model, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2013
Number of pages: 50 Posted: 05 Sep 2013
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 57 (633,360)
Citation 3

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Bayesian Model, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

14.

Sparse Graphical Vector Autoregression: A Bayesian Approach

Downloads 230 (228,651)
Citation 14

Sparse Graphical Vector Autoregression: A Bayesian Approach

Number of pages: 27 Posted: 23 Dec 2014 Last Revised: 10 Sep 2016
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 154 (326,907)
Citation 1

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Large VAR, Model Selection, Prior Distribution, Sparse Graphical Models

Sparse Graphical Vector Autoregression: A Bayesian Approach

Annals of Economics and Statistics, No. 123/124, December 2016, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24/WP/2014
Number of pages: 30 Posted: 27 Mar 2015 Last Revised: 04 Mar 2022
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 76 (542,012)
Citation 11

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High-dimensional Models, Large Vector Autoregression, Model Selection, Prior Distribution, Sparse Graphical Models

15.

Matrix-State Particle Filter for Wishart Stochastic Volatility Processes

University Ca' Foscari of Venice, Department of Economics Research Paper No. 30/WP/2007
Number of pages: 16 Posted: 25 Jan 2008
Roberto Casarin and Domenico Sartore
University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 197 (263,866)

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Multivariate Stochastic Volatility, Matrix-State Particle Filters, Sequential Monte Carlo, Wishart Processes, Markov Switching

16.

Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering

Tinbergen Institute Discussion Paper 12-118/III
Number of pages: 54 Posted: 08 Nov 2012
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 189 (273,873)
Citation 39

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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

17.

Bayesian Dynamic Tensor Regression

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13/WP/2018
Number of pages: 64 Posted: 08 Jun 2018
Monica Billio, Monica Billio, Roberto Casarin, Sylvia Kaufmann and Matteo Iacopini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Independent and Queen Mary University of London
Downloads 186 (277,705)
Citation 4

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Tensor calculus, tensor decomposition, Bayesian statistics, hierarchical prior, networks, autoregessive model, time series, international trade

18.

Combination Schemes for Turning Point Predictions

Downloads 182 (283,067)
Citation 8

Combination Schemes for Turning Point Predictions

Tinbergen Institute Discussion Paper No. 11-123/4
Number of pages: 23 Posted: 22 Aug 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 94 (474,481)
Citation 1

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turning points, Markov-switching, forecast combination, Bayesian model averaging

Combination Schemes for Turning Point Predictions

Norges Bank Working Paper 2012/04
Number of pages: 32 Posted: 07 May 2013
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 45 (706,229)
Citation 6

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Turning Points, Markov-switching, Forecast Combination, Bayesian Model Averaging

Combination Schemes for Turning Point Predictions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 15/WP/2012
Number of pages: 31 Posted: 28 Jul 2012
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 43 (719,634)

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C11, C15, C53, E37

19.

Bayesian Nonparametric Calibration and Combination of Predictive Distributions

Downloads 178 (288,676)
Citation 6

Bayesian Nonparametric Calibration and Combination of Predictive Distributions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 04/WP/2015
Number of pages: 47 Posted: 18 Feb 2015 Last Revised: 10 Mar 2015
Federico Bassetti, Roberto Casarin and Francesco Ravazzolo
Politecnico di Milano, University Ca' Foscari of Venice - Department of Economics and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 107 (433,390)
Citation 3

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Forecast calibration, Forecast combination, Density forecast, Beta mixtures, Bayesian nonparametrics, Slice sampling

Bayesian Nonparametric Calibration and Combination of Predictive Distributions

Norges Bank Working Paper 3 | 2015
Number of pages: 47 Posted: 04 May 2015
Federico Bassetti, Roberto Casarin and Francesco Ravazzolo
Politecnico di Milano, University Ca' Foscari of Venice - Department of Economics and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 71 (563,720)
Citation 2

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Forecast calibration, Forecast combination, Density forecast, Beta mixtures, Bayesian nonparametrics, Slice sampling

20.

Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 07/WP/2014
Number of pages: 31 Posted: 10 Jun 2014
Monica Billio, Monica Billio, Roberto Casarin and Ayokunle Anthony Osuntuyi
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice
Downloads 172 (297,475)
Citation 1

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Energy futures, GARCH, Hedge ratio, Markov-switching

21.

Bayesian Inference for Mixtures of Stable Distributions

Cahier du CEREMADE No. 0428
Number of pages: 50 Posted: 09 Mar 2006
Roberto Casarin
University Ca' Foscari of Venice - Department of Economics
Downloads 166 (306,499)
Citation 7

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Mixture model, Stable distributions, Bayesian inference, Gibbs sampling

22.

Bayesian Markov Switching Stochastic Correlation Models

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 11/WP/2013
Number of pages: 53 Posted: 08 Jun 2013
Roberto Casarin, Marco Tronzano and Domenico Sartore
University Ca' Foscari of Venice - Department of Economics, Università degli Studi di Genova and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 163 (311,289)

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Stochastic Correlation, Multivariate Stochastic Volatility, Markov-switching, Bayesian Inference, Monte Carlo Markov Chain

23.

Financial Bridges and Network Communities

SAFE Working Paper No. 208
Number of pages: 59 Posted: 14 May 2018 Last Revised: 27 Oct 2023
Roberto Casarin, Michele Costola and Erdem Yenerdag
University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Washington University in St. Louis - Department of Economics
Downloads 148 (337,440)
Citation 1

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Systemic Risk, Financial Institutions, Network Communities, Financial Crises

24.

Bayesian Inference on Dynamic Models with Latent Factors

University Ca' Foscari of Venice, Department of Economics Research Paper No. 34/07
Number of pages: 22 Posted: 28 Jan 2008
Monica Billio, Monica Billio, Roberto Casarin and Domenico Sartore
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 148 (337,440)
Citation 3

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Bayesian Dynamic Models, Simulation Based Inference, Particle Filters, Latent Factors, Business Cycle

25.

A Bayesian Time-Varying Approach to Risk Neutral Density Estimation

Number of pages: 42 Posted: 21 Jun 2015
Roberto Casarin, German Molina and Enrique ter Horst
University Ca' Foscari of Venice - Department of Economics, Idalion Capital US LP and Universidad de los Andes, Colombia - School of Business Administration
Downloads 147 (339,315)

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Bayesian Inference, Cubic Smoothing Splines, Dynamic Linear Models, Nonparametric Risk-Neutral Densities, Smoothing Parameter Estimation

26.

Multilayer Network Analysis of Oil Linkages

Number of pages: 32 Posted: 01 Nov 2018
Roberto Casarin, Enrique ter Horst, German Molina, Ramon Espinasa, Carlos Sucre and Roberto Rigobon
University Ca' Foscari of Venice - Department of Economics, Universidad de los Andes, Colombia - School of Business Administration, Idalion Capital US LP, Inter-American Development Bank (IDB), Independent and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 144 (344,912)
Citation 3

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Bayesian Graphical Models, Dynamic Multilayer Network analysis, Rigs, Pro- duction, Granger Causality, Oil Linkages

27.

Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index

Tinbergen Institute Discussion Paper No. 2011-082/4
Number of pages: 18 Posted: 24 May 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 143 (346,831)
Citation 2

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Density forecast combination, stock data

28.

Growth-Cycle Phases in China's Provinces: A Panel Markov-Switching Approach

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 19/WP/2014
Number of pages: 47 Posted: 09 Dec 2014
Komla Mawulom Agudze, Monica Billio, Monica Billio, Roberto Casarin and Eric Girardin
Independent, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and University Aix-Marseille 2 - GREQAM
Downloads 136 (360,722)

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Bayesian inference, China’s provinces, growth-cycles, multivariate-synchronization, panel Markov-switching

29.

Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)

Number of pages: 38 Posted: 01 Sep 2016 Last Revised: 31 Jul 2017
Monica Billio, Monica Billio, Roberto Casarin and Luca Rossini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and University of Milan
Downloads 133 (366,956)
Citation 1

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Bayesian nonparametrics; Bayesian model selection; Shrinkage; Large vector autoregression; Network representation; Connectedness

30.

Bayesian Markov Switching Tensor Regression For Time-Varying Networks

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 14/WP/2018
Number of pages: 63 Posted: 08 Jun 2018
Monica Billio, Monica Billio, Roberto Casarin and Matteo Iacopini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Queen Mary University of London
Downloads 128 (377,724)
Citation 3

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Tensor calculus, tensor decomposition, latent variables, Bayesian statistics, hierarchical prior, networks, zero-inflated model, time series, financial networks

31.

Modeling Turning Points In The Global Equity Market

Econometrics and Statistics, Forthcoming
Number of pages: 16 Posted: 11 Nov 2020 Last Revised: 24 Nov 2021
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 109 (425,231)

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Bayesian inference, Dynamic Programming, Financial Crisis, Turning points, Networks, VAR

32.

Financial Press and Stock Markets in Times of Crisis

Ca' Foscari University of Venice Working Paper No. 04
Number of pages: 27 Posted: 06 Jun 2012
Roberto Casarin and Flaminio Squazzoni
University Ca' Foscari of Venice - Department of Economics and affiliation not provided to SSRN
Downloads 106 (433,763)
Citation 2

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2008/2009 financial crisis, financial press, bad news, market volatility, dynamic correlation, Wall Street Journal, pessimism

33.

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economic Data

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 16/WP/2012
Number of pages: 40 Posted: 28 Jul 2012 Last Revised: 03 Oct 2012
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 101 (448,955)

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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

34.

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economics Data

Norges Bank Working Paper No. 2010/29
Number of pages: 41 Posted: 09 Jan 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 98 (458,039)
Citation 2

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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

35.

Efficient Gibbs Sampling for Markov Switching GARCH Models

Number of pages: 40 Posted: 11 Jan 2013
Monica Billio, Monica Billio, Roberto Casarin and Ayokunle Anthony Osuntuyi
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice
Downloads 92 (477,280)
Citation 5

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Bayesian inference, GARCH, Markov switching, Multiple-Try Metropolis

36.

A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices

Ca' Foscari University of Venice Department of Economics Working Paper No. 23/WP/2014
Number of pages: 14 Posted: 09 Dec 2014
Roberto Casarin
University Ca' Foscari of Venice - Department of Economics
Downloads 85 (501,288)

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Exponential Smoothing, Positive-Valued Processes, State-Space Models, Stochastic Volatility

37.

COVID-19 Spreading in Financial Networks: A Semiparametric Matrix Regression Model

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 05/WP/2021
Number of pages: 33 Posted: 12 Jan 2021
Monica Billio, Monica Billio, Roberto Casarin, Michele Costola and Matteo Iacopini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Queen Mary University of London
Downloads 84 (504,888)
Citation 2

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Multilayer networks, financial markets, COVID-19

38.

Structural Changes in Contagion Channels: the Impact of COVID-19 on the Italian Electricity Market

Number of pages: 21 Posted: 21 Dec 2021 Last Revised: 20 Jan 2022
Daniel Felix Ahelegbey, Roberto Casarin, Emmanuel Senyo Fianu and Luigi Grossi
University of Pavia, Department of Economics and Management, University Ca' Foscari of Venice - Department of Economics, University of Applied Sciences, Mainz and University of Verona - Department of Economics
Downloads 78 (527,526)

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OR in energy; complex networks; electricity price return and volatility; systemic risk; zonal electricity market; return and volatility transmission

39.

A Bayesian Approach to Inference on Probabilistic Surveys

FRB of New York Staff Report No. 1025, 2022
Number of pages: 95 Posted: 18 Jul 2022
Marco Del Negro, Roberto Casarin and Federico Bassetti
Federal Reserve Bank of New York, University Ca' Foscari of Venice - Department of Economics and Politecnico di Milano
Downloads 73 (547,786)

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Bayesian interface, Bayesian nonparametric, Survey of Professional Forecasters, noisy rational expectations

40.

Interconnections between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Mode

Tinbergen Institute Discussion Paper 15-111/III
Number of pages: 63 Posted: 15 Sep 2015 Last Revised: 23 Sep 2015
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
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Citation 11

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Bayesian Modelling, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

41.

Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13/WP/2013
Number of pages: 33 Posted: 09 Jul 2013
Federico Bassetti, Roberto Casarin and Fabrizio Leisen
Politecnico di Milano, University Ca' Foscari of Venice - Department of Economics and University of Kent - Canterbury Campus
Downloads 63 (591,994)
Citation 6

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Bayesian non–parametrics, Dirichlet process, Panel Time-series non–parametrics, Pitman-Yor process, Stick-breaking process, Vector autoregressive process, Repeated measurements non-parametrics

42.

A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities

Ca' Foscari University of Venice Department of Economics Working Paper No. 22/WP/2014
Number of pages: 28 Posted: 09 Dec 2014
Roberto Casarin, Fabrizio Leisen, German Molina and Enrique ter Horst
University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus, Idalion Capital US LP and Universidad de los Andes, Colombia - School of Business Administration
Downloads 58 (616,919)

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Bayesian inference, Beta random fields, Exchange Metropolis Hastings, Markov chain Monte Carlo, Risk neutral measure

43.

Combining Predictive Densities Using Nonlinear Filtering with Applications to US Economics Data

Tinbergen Institute Discussion Paper No. 11-172/4
Number of pages: 55 Posted: 05 Dec 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 57 (621,973)
Citation 4

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density forecast combination, survey forecast, nonlinear filtering, sequential Monte Carlo

44.

Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance

Tinbergen Institute Discussion Paper 2019-025/III
Number of pages: 79 Posted: 02 May 2019
Roberto Casarin, Stefano Grassi, Francesco Ravazzollo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Rome Tor Vergata, BI Norwegian Business School and Tinbergen Institute
Downloads 56 (627,207)
Citation 2

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Forecast Combinations, Particle Filters, Bayesian Inference, State Space Models, Sequential Monte Carlo

45.

The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 03/WP/2021
Number of pages: 64 Posted: 12 Jan 2021
Monica Billio, Monica Billio, Roberto Casarin, Enrica De Cian, Malcolm Mistry and Ayokunle Anthony Osuntuyi
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Fondazione Eni Enrico Mattei (FEEM), Fondazione Eni Enrico Mattei (FEEM) and Ca Foscari University of Venice
Downloads 54 (637,893)

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Bayesian inference, climate shocks, financial cycle, business cycle, Markov-switching, Multi-country Panel

46.

Learning from Experts: Energy Efficiency in Residential Buildings

SAFE Working Paper No. 403
Number of pages: 49 Posted: 10 Oct 2023
Monica Billio, Monica Billio, Roberto Casarin, Michele Costola and Veronica Veggente
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Imperial College Business School
Downloads 53 (643,393)

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Energy efficiency, Energy Performance Certificate, Machine learning, Tree-based models, big data

47.

A Scoring Rule for Factor and Autoregressive Models Under Misspecification

Number of pages: 33 Posted: 26 Jul 2018
Roberto Casarin, Fausto Corradin, Francesco Ravazzolo and Domenico Sartore
University Ca' Foscari of Venice - Department of Economics, GRETA Associati, Free University of Bozen-Bolzano and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 52 (648,944)

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Factor models, Large datasets, Multivariate autoregressive models, Forecasting, Scoring rules, VAR models

48.

Adaptive Sticky Generalized Metropolis

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 19/WP/2013
Number of pages: 65 Posted: 05 Sep 2013
Luca Martino, Roberto Casarin, Fabrizio Leisen and David Luengo
Complutense University of Madrid - Industrial and Financial Analysis Institute (IAIF), University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus and Complutense University of Madrid - Industrial and Financial Analysis Institute (IAIF)
Downloads 49 (665,853)
Citation 1

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Adaptive Markov chain Monte Carlo, Adaptive rejection Metropolis, Muliple-try Metropolis, Metropolis within Gibbs

49.

A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance

Tinbergen Institute Discussion Paper 2021-016/III
Number of pages: 51 Posted: 18 Feb 2021
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance, Free University of Bozen-Bolzano and Tinbergen Institute
Downloads 38 (736,778)
Citation 2

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Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference

50.

A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods

Tinbergen Institute Discussion Paper 2022-013/III
Number of pages: 32 Posted: 05 Apr 2022
Roberto Casarin, Stefano Grassi, Francesco Ravazzollo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance, BI Norwegian Business School and Tinbergen Institute
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Density combination, large set of predictive densities, dynamic factor models, nonlinear state-space, Bayesian inference

51.

Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 25/WP/2020
Number of pages: 41 Posted: 12 Jan 2021
Tullio Buccellato, Riccardo Busin, Roberto Casarin and Giancarlo Corò
Economic Research Department, Confindustria, Ca Foscari University of Venice, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 31 (788,769)

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Firm performance, interlocking directorates, network formation, network econometrics

52.

Fiscal Policy Regimes in Resource-Rich Economies

Number of pages: 36 Posted: 06 Dec 2023
Hilde C. Bjørnland, Roberto Casarin, Marco Lorusso and Francesco Ravazzolo
Norwegian School of Management (BI), University Ca' Foscari of Venice - Department of Economics, University of Newcastle - Newcastle University Business School and Free University of Bozen-Bolzano - Faculty of Economics and Management
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Dynamic Panel Model, Markov Switching, Bayesian Inference, Fiscal policy, Oil-Rich Countries, Oil prices

53.

Uncertainty Through the Lenses of a Mixed-Frequency Bayesian Panel Markov Switching Model

CEPR Discussion Paper No. DP12339
Number of pages: 79 Posted: 04 Oct 2017 Last Revised: 09 Oct 2017
Roberto Casarin, Claudia Foroni, Massimiliano Giuseppe Marcellino and Francesco Ravazzolo
University Ca' Foscari of Venice - Department of Economics, Deutsche Bundesbank, Bocconi University - Department of Economics and Free University of Bozen-Bolzano - Faculty of Economics and Management
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Citation 7
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Bayesian inference, dynamic panel model, Markov switching, MCMC, mixed-frequency

54.

Investment Styles in the European Equity Market

ADVANCES IN QUANTITATIVE ASSET MANAGEMENT, C. Dunis, ed., Kluwer Academic Press, 2000
Posted: 21 Jan 2005
Monica Billio, Monica Billio, Roberto Casarin, Claire Mehu and Domenico Sartore
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, CDC and Ca Foscari University of Venice - Dipartimento di Economia

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Investment style, style analysis, European equity market

55.

Bayesian Inference in Dynamic Models with Latent Factors

Monography of Official Statistics, Forthcoming
Posted: 21 Jan 2005
Monica Billio, Monica Billio, Roberto Casarin and Domenico Sartore
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice - Dipartimento di Economia

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Bayesian dynamic models, simulation based inference, particle filters, latent factors, business cycle

56.

Relative Benchmark Rating and Persistence Analysis: Evidence from Italian Equity Funds

European Journal of Finance, Vol. 11, No. 4, pp. 297-308
Posted: 21 Jan 2005
Marco Lazzarin, Loriana Pelizzon, Domenico Sartore and Roberto Casarin
Fondazione Eni Enrico Mattei (FEEM), Venice, Goethe University Frankfurt - Faculty of Economics and Business Administration, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics

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Mutual funds, performance evaluation, persistence analysis, style analysis, morningstar rating, risk adjusted measures