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Roberto Casarin

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Personal Details

First Name: Roberto
Middle Name:
Last Name: Casarin
Suffix:

RePEc Short-ID: pca216

Email:
Homepage: http://venus.unive.it/r.casarin/
Postal Address: Dept. of Economics University Ca' Foscari of Venice San Giobbe 873/b 30121 Venice, Italy
Phone: +39 041.234.91.49

Affiliation

(47%) Dipartimento di Economia
Università Ca' Foscari Venezia
Location: Venezia, Italy
Homepage: http://www.unive.it/dip.economia
Email:
Phone: +39-0412349621
Fax: +39-0412349176
Postal: Cannaregio, S. Giobbe no 873 , 30121 Venezia
Handle: RePEc:edi:dsvenit (more details at EDIRC)
(47%) Scuola Superiore di Economia (SSE-Ca' Foscari)
Location: Venezia, Italy
Homepage: http://venus.unive.it/sse/
Email:
Phone: +39-041-234-9256
Fax: +39-041-234-9176
Postal: Università Ca' Foscari, San Giobbe 873, 30121 Venezia
Handle: RePEc:edi:ssvenit (more details at EDIRC)
(6%) Gruppo di Ricerca Economica Teorica e Applicata (GRETA)
Location: San Polo, Italy
Homepage: http://www.greta.it/
Email:
Phone:
Fax:
Postal:
Handle: RePEc:edi:gretait (more details at EDIRC)

Works

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Working papers

  1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
  2. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper, Norges Bank 2012/04, Norges Bank.
  3. Roberto Casarin & Flaminio Squazzoni, 2012. "Financial press and stock markets in times of crisis," Working Papers 2012_04, Department of Economics, University of Venice "Ca' Foscari".
  4. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combining predictive densities using Bayesian filtering with applications to US economic data," Working Papers 2012_16, Department of Economics, University of Venice "Ca' Foscari".
  5. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index," Tinbergen Institute Discussion Papers 11-082/4, Tinbergen Institute.
  6. Roberto Casarin & Radu Craiu & Fabrizio Leisen, 2011. "Interacting multiple -- Try algorithms with different proposal distributions," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws110402, Universidad Carlos III, Departamento de Estadística y Econometría.
  7. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
  8. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  9. Monica Billio & Roberto Casarin, 2010. "Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis," Working Papers, University of Brescia, Department of Economics 1002, University of Brescia, Department of Economics.
  10. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers, University of Brescia, Department of Economics 0814, University of Brescia, Department of Economics.
  11. Loriana Pelizzon & Roberto Casarin & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 2008_12, Department of Economics, University of Venice "Ca' Foscari".
  12. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers, University of Brescia, Department of Economics 0815, University of Brescia, Department of Economics.
  13. Roberto Casarin & Domenico Sartore, 2007. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers 2007_30, Department of Economics, University of Venice "Ca' Foscari".
  14. Monica Billio & Roberto Casarin & Domenico Sartore, 2007. "Bayesian Inference on Dynamic Models with Latent Factors," Working Papers 2007_34, Department of Economics, University of Venice "Ca' Foscari".
  15. Roberto Casarin & Jean-Michel Marin, 2007. "Online data processing: comparison of Bayesian regularized particle filters," Working Papers, University of Brescia, Department of Economics 0703, University of Brescia, Department of Economics.
  16. Roberto Casarin & Monica Billio, 2006. "Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints," Working Papers, University of Brescia, Department of Economics ubs0618, University of Brescia, Department of Economics.
  17. Roberto Casarin & Carmine Trecroci, 2006. "Business Cycle and Stock Market Volatility: A Particle Filter Approach," Working Papers, University of Brescia, Department of Economics ubs0603, University of Brescia, Department of Economics.
  18. Roberto Casarin, 2005. "Stochastic Processes in Credit Risk Modelling," Working Papers, University of Brescia, Department of Economics ubs0505, University of Brescia, Department of Economics.

Articles

  1. Billio Monica & Casarin Roberto, 2011. "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-32, September.
  2. Monica Billio & Roberto Casarin, 2010. "Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 145-167.
  3. Roberto Casarin & Andrea Piva & Loriana Pelizzon, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," The IUP Journal of Financial Economics, IUP Publications, IUP Publications, vol. 0(1), pages 7-28, March.
  4. Roberto Casarin & Marco Lazzarin & Loriana Pelizzon & Domenico Sartore, 2005. "Relative benchmark rating and persistence analysis: Evidence from Italian equity funds," The European Journal of Finance, Taylor & Francis Journals, vol. 11(4), pages 297-308.

NEP Fields

19 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (2) 2011-07-27 2011-08-02
  2. NEP-BEC: Business Economics (2) 2006-04-22 2012-04-17
  3. NEP-CBA: Central Banking (5) 2010-02-13 2011-02-26 2011-07-27 2011-08-02 2011-09-05. Author is listed
  4. NEP-CFN: Corporate Finance (1) 2008-05-24
  5. NEP-CMP: Computational Economics (1) 2011-04-16
  6. NEP-ECM: Econometrics (10) 2008-02-09 2008-10-13 2008-10-13 2008-10-13 2010-02-13 2011-01-16 2011-02-26 2011-04-16 2011-09-05 2012-12-06. Author is listed
  7. NEP-EEC: European Economics (1) 2011-09-05
  8. NEP-EFF: Efficiency & Productivity (2) 2008-05-24 2008-10-13
  9. NEP-ETS: Econometric Time Series (10) 2008-10-13 2008-10-13 2008-10-13 2010-02-13 2011-01-16 2011-02-26 2011-09-05 2012-04-17 2012-10-13 2012-12-06. Author is listed
  10. NEP-FMK: Financial Markets (7) 2006-02-12 2006-04-22 2008-05-24 2008-10-13 2011-07-27 2011-08-02 2012-06-25. Author is listed
  11. NEP-FOR: Forecasting (9) 2008-10-13 2011-01-16 2011-02-26 2011-07-27 2011-08-02 2011-09-05 2012-04-17 2012-10-13 2012-12-06. Author is listed
  12. NEP-MAC: Macroeconomics (3) 2006-04-22 2008-10-13 2010-02-13
  13. NEP-ORE: Operations Research (6) 2008-10-13 2008-10-13 2010-02-13 2011-01-16 2012-10-13 2012-12-06. Author is listed
  14. NEP-RMG: Risk Management (4) 2006-02-12 2006-04-22 2011-07-27 2011-08-02

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