Roberto Casarin

University Ca' Foscari of Venice - Department of Economics

Associate Professor of Econometrics

San Giobbe 873/b

Venice, 30121

Italy

http://venus.unive.it/r.casarin/

SCHOLARLY PAPERS

39

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17

Scholarly Papers (39)

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 793 (24,086)
Citation 7

Abstract:

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 143 (171,652)
Citation 7

Abstract:

Mutual funds, Performance evaluation

2.

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 644 (28,540)

Abstract:

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

3.

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 638 (30,758)

Abstract:

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, University of Aarhus - CREATES, Free University of Bolzano and Tinbergen Institute
Downloads 401 (59,603)

Abstract:

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, Free University of Bolzano and Tinbergen Institute
Downloads 23 (447,110)

Abstract:

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, University of Aarhus - CREATES, Free University of Bolzano and Tinbergen Institute
Downloads 22 (452,864)

Abstract:

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

5.

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 307 (74,937)
Citation 3

Abstract:

Particle Filter, Markov Switching, Stochastic Volatility, Heavy Tails

6.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 18 May 2017
University of Warwick, Warwick Business School, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 289 (35,546)

Abstract:

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

7.

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 260 (92,938)
Citation 1

Abstract:

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

8.

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
Boston University - Department of Mathematics and Statistics, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 199 (94,769)

Abstract:

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

9.

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 146 (152,506)

Abstract:

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

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 Bolzano and Tinbergen Institute
Downloads 78 (265,334)

Abstract:

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 Bolzano and Tinbergen Institute
Downloads 34 (393,116)

Abstract:

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 Bolzano and Tinbergen Institute
Downloads 30 (410,456)

Abstract:

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

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, Free University of Bolzano and Tinbergen Institute
Downloads 115 (203,974)

Abstract:

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, Free University of Bolzano and Tinbergen Institute
Downloads 17 (481,961)

Abstract:

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

12.

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 123 (179,397)

Abstract:

Mixture model, Stable distributions, Bayesian inference, Gibbs sampling

13.

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 115 (185,993)
Citation 1

Abstract:

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

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 Bolzano and Tinbergen Institute
Downloads 108 (176,276)
Citation 2

Abstract:

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

15.

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 105 (203,098)
Citation 2

Abstract:

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 Bolzano
Downloads 79 (263,367)

Abstract:

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 Bolzano
Downloads 24 (441,388)

Abstract:

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

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 Bolzano and Tinbergen Institute
Downloads 47 (345,718)

Abstract:

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 Bolzano and Tinbergen Institute
Downloads 23 (447,110)

Abstract:

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 Bolzano and Tinbergen Institute
Downloads 21 (458,563)

Abstract:

C11, C15, C53, E37

18.

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 Bolzano and Tinbergen Institute
Downloads 87 (219,890)

Abstract:

Density forecast combination, stock data

19.

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
Boston University - Department of Mathematics and Statistics, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 74 (271,164)

Abstract:

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

20.

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 Bolzano and Tinbergen Institute
Downloads 67 (277,543)
Citation 1

Abstract:

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

21.

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 Bolzano and Tinbergen Institute
Downloads 62 (286,565)

Abstract:

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

22.

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 57 (293,568)

Abstract:

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

23.

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 51 (221,424)

Abstract:

Energy futures, GARCH, Hedge ratio, Markov-switching

24.

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 47 (305,877)

Abstract:

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

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 Colegio de Estudios Superiores de Administracion
Downloads 45 (247,680)

Abstract:

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

26.

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, Goethe University Frankfurt - Research Center SAFE and Independent
Downloads 43 (176,276)

Abstract:

Entropy, systemic risk measures, early warning indicators, aggregation

27.

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 Bolzano and Tinbergen Institute
Downloads 35 (376,655)

Abstract:

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

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
Independent, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and University Aix-Marseille 2 - GREQAM
Downloads 31 (303,314)

Abstract:

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

29.

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
Downloads 20 (418,400)

Abstract:

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

30.

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, Idalion Capital US LP and Colegio de Estudios Superiores de Administracion
Downloads 19 (409,027)

Abstract:

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

31.

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 and Complutense University of Madrid - Industrial and Financial Analysis Institute (IAIF)
Downloads 14 (409,027)

Abstract:

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

32.

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 13 (400,204)

Abstract:

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

33.

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 Bolzano and Tinbergen Institute
Downloads 1 (400,204)

Abstract:

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

34.

Financial Bridges and Network Communities

Number of pages: 50 Posted: 12 Apr 2017 Last Revised: 21 Jun 2017
Roberto Casarin, Michele Costola and Erdem Yenerdag
University Ca' Foscari of Venice - Department of Economics, Goethe University Frankfurt - Research Center SAFE and Washington University in St. Louis - Department of Economics
Downloads 0 (336,904)

Abstract:

Systemic Risk; Financial Institutions; Network Communities; Financial Crises

35.

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 Free University of Bozen-Bolzano
Downloads 0 (400,204)

Abstract:

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

36.

Smile at Errors: A Discrete-Time Stochastic Volatility Framework for Pricing Options with Realized Measures

Number of pages: 88 Posted: 19 Jul 2016 Last Revised: 18 Feb 2017
University of Bologna - Department of Mathematics, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Scuola Normale Superiore
Downloads 0 (134,774)

Abstract:

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

37.

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

Abstract:

Investment style, style analysis, European equity market

38.

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

Abstract:

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

39.

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

Abstract:

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