Domenico Sartore

Ca Foscari University of Venice - Dipartimento di Economia

Cannaregio 873

Venice, 30121

Italy

SCHOLARLY PAPERS

16

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CROSSREF CITATIONS

12

Scholarly Papers (16)

1.

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 171 (197,185)

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

2.

CDS Industrial Sector Indices, Credit and Liquidity Risk

Ca’ Foscari University of Venice Working Paper No. 09/WP/2012
Number of pages: 26 Posted: 10 Jul 2012
Ca Foscari University of Venice - Dipartimento di Economia, University of Padova - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 167 (201,301)
Citation 2

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credit risk, common factors, liquidity risk

3.

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 143 (228,832)

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

4.

Methodological Aspects of Time Series Back-Calculation

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 56/06
Number of pages: 17 Posted: 12 Dec 2006
Massimiliano Caporin and Domenico Sartore
University of Padova - Department of Statistical Sciences and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 134 (241,205)
Citation 7

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benchmarking, retropolation, historical reconstruction, back-forecasting, missing past values, aggregation, disaggregation

5.

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 (255,837)
Citation 2

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

6.

Fund Ratings: The Method Reconsidered

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2014
Number of pages: 40 Posted: 30 Oct 2014 Last Revised: 05 Jan 2015
Fausto Corradin and Domenico Sartore
GRETA Associati and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 79 (344,867)
Citation 1

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Quadratic Utility Function, Positive and Negative Returns, Absolute Risk Aversion, Morningstar Rating, Truncated Normal Distribution, Incomplete Gamma Function, Italian Pension Fund

7.

Deciphering the Libor and Euribor Spreads During the Subprime Crisis

North American Journal of Economics and Finance 26 (2013) 565– 585
Number of pages: 21 Posted: 09 Jul 2013 Last Revised: 11 Mar 2015
Loriana Pelizzon and Domenico Sartore
Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 78 (347,401)

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Subprime Crisis, Collateral Liquidity, Unconventional Monetary Policy

8.

Non Central Moments of the Truncated Normal Variable

Number of pages: 26 Posted: 01 Sep 2016 Last Revised: 21 Dec 2016
Fausto Corradin and Domenico Sartore
GRETA Associati and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 36 (493,226)

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truncated normal variable, non central moments, lower incomplete gamma function

9.

Weak Dependence of CRRA on Standard Deviation in the Case of Truncated Normal Distribution of Returns

Number of pages: 47 Posted: 01 Sep 2016 Last Revised: 04 Oct 2016
Fausto Corradin and Domenico Sartore
GRETA Associati and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 29 (528,615)
Citation 1

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Constant Relative Risk Aversion, Certainty Equivalent Return, Standard Deviation, Quadratic Utility Function, Morningstar, Italian Pension Funds

10.

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 27 (539,942)

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

11.

Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions

Number of pages: 54 Posted: 14 Nov 2016
Fausto Corradin and Domenico Sartore
GRETA Associati and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 27 (539,942)
Citation 1

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utility function, expected utility function, risk aversion, transformation, parametric functions, differential condition, Jacobian, truncated normal distribution

12.

European Social Fund’s Lifelong Learning and Regional Development: A Case Study

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 04/WP/2019
Number of pages: 19 Posted: 14 Feb 2019
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice, Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 21 (577,401)

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Education, Lifelong Learning, Regional Economic Development, Regional Policy, Regional Labour Market

13.

Risk Aversion: Differential Conditions for the Iso-Utility Curves with Positive Slope in Transformed Two Parameter Distributions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24/WP/2018
Number of pages: 44 Posted: 28 Nov 2018
Fausto Corradin and Domenico Sartore
GRETA Associati and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 16 (610,395)

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Concavity, CRRA, Differential Condition, Expected Shortfall, Expected Utility Function, Quadratic Utility Function, Risk Aversion, Standard Deviation, Transformation of Parametric Functions, Truncated Normal distribution, Value at Risk

14.

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, Roberto Casarin, Claire Mehu and Domenico Sartore
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

15.

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:

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

16.

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