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

SCHOLARLY PAPERS

45

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97

CROSSREF CITATIONS

66

Scholarly Papers (45)

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 813 (31,793)
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 173 (189,116)
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
School of Economics and Finance, Queen Mary University of London, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 815 (32,152)
Citation 10

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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 779 (34,188)

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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 712 (38,627)
Citation 2

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

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
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 441 (70,646)
Citation 2

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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
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 27 (539,029)
Citation 2

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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
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 26 (545,383)
Citation 2

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

6.

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 345 (94,937)
Citation 6

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Particle Filter, Markov Switching, Stochastic Volatility, Heavy Tails

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 and Roberto Casarin
University of Pavia, Department of Economics and Management, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 317 (104,309)
Citation 10

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

8.

A Stochastic Volatility Model with Realized Measures for Option Pricing

Number of pages: 86 Posted: 19 Jul 2016 Last Revised: 26 Mar 2019
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 295 (112,763)

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

9.

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 292 (113,981)
Citation 1

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

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
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 166 (196,084)
Citation 4

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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
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 26 (545,383)
Citation 7

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

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
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Independent
Downloads 178 (184,459)

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Entropy, systemic risk measures, early warning indicators, aggregation

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
Ca 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 100 (290,648)
Citation 4

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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

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2013
Number of pages: 50 Posted: 05 Sep 2013
Ca 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 40 (470,987)
Citation 4

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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

Norges Bank Working Paper 20
Number of pages: 49 Posted: 12 Nov 2013
Ca 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 38 (480,089)
Citation 4

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

13.

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 170 (192,003)

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

14.

Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering

Tinbergen Institute Discussion Paper 12-118/III
Number of pages: 54 Posted: 08 Nov 2012
Ca 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 159 (203,243)
Citation 30

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

15.

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 144 (220,614)
Citation 3

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Mixture model, Stable distributions, Bayesian inference, Gibbs sampling

16.

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 142 (223,058)

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

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 and Roberto Casarin
University of Pavia, Department of Economics and Management, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 90 (311,340)
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: 10 Mar 2019
Daniel Felix Ahelegbey, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 51 (425,358)
Citation 6

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

18.

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
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice
Downloads 134 (233,699)
Citation 1

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Energy futures, GARCH, Hedge ratio, Markov-switching

19.

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, Roberto Casarin and Domenico Sartore
Ca 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 124 (247,856)
Citation 2

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

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
University of Pavia, University Ca' Foscari of Venice - Department of Economics and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 89 (313,590)
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
University of Pavia, University Ca' Foscari of Venice - Department of Economics and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 33 (504,899)
Citation 2

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

21.

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
Ca 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 114 (263,649)
Citation 2

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Density forecast combination, stock data

22.

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 110 (270,444)

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

23.
Downloads 104 (281,260)
Citation 6

Combination Schemes for Turning Point Predictions

Tinbergen Institute Discussion Paper No. 11-123/4
Number of pages: 23 Posted: 22 Aug 2011
Ca 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 51 (425,358)
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
Ca 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 28 (532,948)
Citation 5

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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
Ca 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 25 (551,945)

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C11, C15, C53, E37

24.

Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)

Number of pages: 38 Posted: 01 Sep 2016 Last Revised: 31 Jul 2017
Monica Billio, Roberto Casarin and Luca Rossini
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and VU University Amsterdam - Department of Econometrics
Downloads 92 (304,678)
Citation 1

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

25.

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
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Independent and Ca Foscari University of Venice
Downloads 91 (306,712)
Citation 1

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

26.

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
Independent, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and University Aix-Marseille 2 - GREQAM
Downloads 89 (311,059)

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

27.

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
Ca 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 80 (332,105)

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

28.

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
Ca 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 78 (336,988)
Citation 2

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

29.

Financial Bridges and Network Communities

SAFE Working Paper No. 208
Number of pages: 47 Posted: 14 May 2018 Last Revised: 16 Apr 2019
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 75 (344,711)

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Systemic Risk, Financial Institutions, Network Communities, Financial Crises

30.

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 73 (349,924)
Citation 2

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

31.

Efficient Gibbs Sampling for Markov Switching GARCH Models

Number of pages: 40 Posted: 11 Jan 2013
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice
Downloads 67 (366,648)
Citation 2

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

32.

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, Roberto Casarin and Matteo Iacopini
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice
Downloads 56 (401,057)

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

33.

Multilayer Network Analysis of Oil Linkages

Number of pages: 32 Posted: 01 Nov 2018
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 46 (436,856)

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

34.

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 44 (444,629)

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

35.

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
University of Pavia, University Ca' Foscari of Venice - Department of Economics and University of Kent - Canterbury Campus
Downloads 42 (452,742)
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

36.

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
Ca 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 42 (452,742)
Citation 4

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

37.

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
Ca 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 38 (469,765)
Citation 3

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

38.

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
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 35 (483,262)

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

39.

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 31 (502,553)
Citation 1

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

40.

A Scoring Rule for Factor and Autoregressive Models Under Misspecification

Number of pages: 33 Posted: 26 Jul 2018
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 25 (535,848)

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

41.

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
University Ca' Foscari of Venice - Department of Economics, University of Rome Tor Vergata, affiliation not provided to SSRN and Tinbergen Institute
Downloads 9 (640,901)

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

42.

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
University Ca' Foscari of Venice - Department of Economics, Deutsche Bundesbank, European University Institute and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 0 (726,205)
Citation 5
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Bayesian inference, dynamic panel model, Markov switching, MCMC, mixed-frequency

43.

Investment Styles in the European Equity Market

ADVANCES IN QUANTITATIVE ASSET MANAGEMENT, C. Dunis, ed., Kluwer Academic Press, 2000
Posted: 21 Jan 2005
Ca 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

44.

Bayesian Inference in Dynamic Models with Latent Factors

Monography of Official Statistics, Forthcoming
Posted: 21 Jan 2005
Monica Billio, Roberto Casarin and Domenico Sartore
Ca 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

45.

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
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