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Publications

by members of

Gruppo di Ricerca Economica Teorica e Applicata (GRETA)

Theoretical and Applied Economics Research Group

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2024

  1. Roberto Casarin & Antonio Peruzzi, 2024, "Comment on 'Sparse Bayesian Factor Analysis when the Number of Factors is Unknown' by S. Fr\"uhwirth-Schnatter, D. Hosszejni, and H. Freitas Lopes," Papers, arXiv.org, number 2411.02531, Nov, revised Nov 2024.
  2. Bassetti, Federico & Casarin, Roberto & Del Negro, Marco, 2024, "A Bayesian Approach for Inference on Probabilistic Surveys," CEPR Discussion Papers, Centre for Economic Policy Research, number 19426, Sep.
  3. Roberto Casarin & Bertrand Maillet & Anthony Osuntuyi, 2024, "Monte carlo within simulated annealing for integral constrained optimizations," Post-Print, HAL, number hal-04514344, Mar, DOI: 10.1007/s10479-022-04994-9.

2023

  1. Jamie L. Cross & Aubrey Poon & Dan Zhu, 2023, "Uncertainty and the Term Structure of Interest Rates," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 12/2023, Oct.
  2. Hilde C. Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2023, "Fiscal Policy Regimes in Resource-Rich Economies," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 13/2023, Oct.
  3. Billio, Monica & Casarin, Roberto & Costola, Michele & Veggente, Veronica, 2023, "Learning from experts: Energy efficiency in residential buildings," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 403, DOI: 10.2139/ssrn.4596682.

2022

  1. Ovielt Baltodano Lopez & Federico Bassetti & Giulia Carallo & Roberto Casarin, 2022, "First-order integer-valued autoregressive processes with Generalized Katz innovations," Papers, arXiv.org, number 2202.02029, Feb, revised Dec 2024.
  2. Ovielt Baltodano L'opez & Roberto Casarin, 2022, "A Dynamic Stochastic Block Model for Multidimensional Networks," Papers, arXiv.org, number 2209.09354, Sep, revised Jul 2025.
  3. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022, "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-013/III, Feb.
  4. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2022, "A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-053/III, Aug.
  5. Giulio Galdi & Roberto Casarin & Davide Ferrari & Carlo Fezzi & Francesco Ravazzolo, 2022, "Nowcasting industrial production using linear and non-linear models of electricity demand," DEM Working Papers, Department of Economics and Management, number 2022/2.

2021

  1. Billio Monica & Casarin Roberto & Costola Michele & Iacopini Matteo, 2021, "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Papers, arXiv.org, number 2101.00422, Jan.
  2. Komla M. Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2021, "Markov Switching Panel with Endogenous Synchronization Effects," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS82, Mar.
  3. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2021, "A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-016/III, Feb.
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2020

  1. Giulia Carallo & Roberto Casarin & Christian P. Robert, 2020, "Generalized Poisson Difference Autoregressive Processes," Papers, arXiv.org, number 2002.04470, Feb.
  2. Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi, 2020, "The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach," Papers, arXiv.org, number 2012.14693, Dec.
  3. Hilde Christiane Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2020, "Oil and Fiscal Policy Regimes," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 11/2020, Dec.
    • Hilde C. Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2021, "Oil and fiscal policy regimes," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2021-10, Jan.
  4. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020, "Modeling Turning Points In Global Equity Market," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 195, Nov.
  5. Tullio Buccellato & Riccardo Busin & Roberto Casarin & Giancarlo Corò, 2020, "Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:25.

2019

  1. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2019, "Forecast density combinations with dynamic learning for large data sets in economics and finance," Working Paper, Norges Bank, number 2019/7, Mar.
  2. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019, "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS59, Feb.

2018

  1. Komla Mawulom Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2018, "Markov Switching Panel with Network Interaction Effects," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 1/2018, Jan.
  2. Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018, "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 626.
  3. Monica Billio & Roberto Casarin & Sylvia Kaufmann & Matteo Iacopini, 2018, "Bayesian Dynamic Tensor Regression," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2018:13.
  4. Monica Billio & Roberto Casarin & Matteo Iacopini, 2018, "Bayesian Markov Switching Tensor Regression for Time-varying Networks," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2018:14.
  5. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Domenico Sartore, 2018, "A scoring rule for factor and autoregressive models under misspecification," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2018:18.
  6. Casarin, Roberto & Costola, Michele & Yenerdag, Erdem, 2018, "Financial bridges and network communities," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 208, revised 2018, DOI: 10.2139/ssrn.3178053.

2017

  1. Marcellino, Massimiliano & Foroni, Claudia & Casarin, Roberto & Ravazzolo, Francesco, 2017, "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 12339, Sep.

2016

  1. Monica Billio & Roberto Casarin & Luca Rossini, 2016, "Bayesian nonparametric sparse VAR models," Papers, arXiv.org, number 1608.02740, Aug, revised Oct 2018.
  2. Monica Billio & Roberto Casarin & Luca Rossini, 2016, "Bayesian nonparametric sparse seemingly unrelated regression model (SUR)," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:20.

2015

  1. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2015, "Bayesian nonparametric calibration and combination of predictive distributions," Working Paper, Norges Bank, number 2015/03, Feb.
  2. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2015, "Dynamic predictive density combinations for large data sets in economics and finance," Working Paper, Norges Bank, number 2015/12, Jul.
  3. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2015, "Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-111/III, Sep.
  4. Monica Billio & Roberto Casarin & Michele Costola & Andrea Pasqualini, 2015, "An entropy-based early warning indicator for systemic risk," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2015:09.

2014

  1. Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014, "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers, arXiv.org, number 1409.1956, Sep.
  2. Roberto Casarin & Monica Billio & Anthony Osuntuyi, 2014, "Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:07.
  3. Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin, 2014, "Growth-cycle phases in China�s provinces: A panel Markov-switching approach," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:19.
  4. Roberto Casarin, 2014, "A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:23.
  5. Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014, "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:29.

2013

  1. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013, "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-09, Aug.
  2. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013, "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Paper, Norges Bank, number 2013/20, Aug.
  3. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013, "Bayesian Markov Switching Stochastic Correlation Models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:11.
  4. Federico Bassetti & Roberto Casarin & Fabrizio Leisen, 2013, "Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:13.
  5. Fabrizio Leisen & Roberto Casarin & David Luengo & Luca Martino, 2013, "Adaptive Sticky Generalized Metropolis," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:19.

2012

  1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012, "Combination schemes for turning point predictions," Working Paper, Norges Bank, number 2012/04, Apr.
  2. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012, "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-118/III, Nov.
  3. Roberto Casarin & Flaminio Squazzoni, 2012, "Financial press and stock markets in times of crisis," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_04.
  4. Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012, "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012:35.
  5. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2012, "Bayesian Graphical Models for Structural Vector Autoregressive Processes," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012:36.

2011

  1. 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," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/26, Jul.
  2. Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2011, "Beta-product Poisson-Dirichlet Processes," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 12160, Sep.
  3. Casarin, Roberto & Craiu, Radu & Leisen, Fabrizio, 2011, "Interacting multiple -- Try algorithms with different proposal distributions," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws110402, Mar.
  4. 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, Tinbergen Institute, number 11-082/4, May.
  5. 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, Tinbergen Institute, number 11-172/4, Dec.

2010

  1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2010, "Combining predictive densities using Bayesian filtering with applications to US economics data," Working Paper, Norges Bank, number 2010/29, Dec.
  2. 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, number 1002.

2008

  1. Gianni Amisano & Roberto Casarin, 2008, "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers, University of Brescia, Department of Economics, number 0814.
  2. Monica Billio & Roberto Casarin, 2008, "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers, University of Brescia, Department of Economics, number 0815.
  3. Roberto Casarin & Domenico sartore, 2008, "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers, University of Brescia, Department of Economics, number 0816.
  4. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008, "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers, University of Brescia, Department of Economics, number 0817.

2007

  1. Roberto Casarin & Jean-Michel Marin, 2007, "Online data processing: comparison of Bayesian regularized particle filters," Working Papers, University of Brescia, Department of Economics, number 0703.
  2. Monica Billio & Roberto Casarin & Domenico Sartore, 2007, "Bayesian Inference on Dynamic Models with Latent Factors," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2007_34.

2006

  1. Roberto Casarin & Carmine Trecroci, 2006, "Business Cycle and Stock Market Volatility: A Particle Filter Approach," Working Papers, University of Brescia, Department of Economics, number ubs0603.
  2. Roberto Casarin & Monica Billio, 2006, "Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints," Working Papers, University of Brescia, Department of Economics, number ubs0618.

2005

  1. Roberto Casarin, 2005, "Stochastic Processes in Credit Risk Modelling," Working Papers, University of Brescia, Department of Economics, number ubs0505.

Journal articles

2024

  1. Baltodano López Ovielt & Bulfone Giacomo & Casarin Roberto & Ravazzolo Francesco, 2024, "Modeling Corporate CDS Spreads Using Markov Switching Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 28, issue 2, pages 271-292, April, DOI: 10.1515/snde-2022-0106.
  2. Casarin Roberto & Peruzzi Antonio, 2024, "A Dynamic Latent-Space Model for Asset Clustering," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 28, issue 2, pages 379-402, April, DOI: 10.1515/snde-2022-0111.
  3. Billio, Monica & Casarin, Roberto & Costola, Michele & Iacopini, Matteo, 2024, "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Econometrics and Statistics, Elsevier, volume 29, issue C, pages 113-131, DOI: 10.1016/j.ecosta.2021.10.003.
  4. Ahelegbey, Daniel Felix & Billio, Monica & Casarin, Roberto, 2024, "Modeling Turning Points in the Global Equity Market," Econometrics and Statistics, Elsevier, volume 30, issue C, pages 60-75, DOI: 10.1016/j.ecosta.2021.10.004.
  5. Billio, Monica & Casarin, Roberto & Costola, Michele & Veggente, Veronica, 2024, "Learning from experts: Energy efficiency in residential buildings," Energy Economics, Elsevier, volume 136, issue C, DOI: 10.1016/j.eneco.2024.107650.
  6. Carallo, Giulia & Casarin, Roberto & Robert, Christian P., 2024, "Generalized Poisson difference autoregressive processes," International Journal of Forecasting, Elsevier, volume 40, issue 4, pages 1359-1390, DOI: 10.1016/j.ijforecast.2023.11.009.
  7. Roberto Casarin & Bertrand B. Maillet & Anthony Osuntuyi, 2024, "Monte carlo within simulated annealing for integral constrained optimizations," Annals of Operations Research, Springer, volume 334, issue 1, pages 205-240, March, DOI: 10.1007/s10479-022-04994-9.
  8. Monica Billio & Roberto Casarin & Matteo Iacopini, 2024, "Bayesian Markov-Switching Tensor Regression for Time-Varying Networks," Journal of the American Statistical Association, Taylor & Francis Journals, volume 119, issue 545, pages 109-121, January, DOI: 10.1080/01621459.2022.2102502.
  9. Roberto Casarin & Mauro Costantini & Anthony Osuntuyi, 2024, "Bayesian Nonparametric Panel Markov-Switching GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 42, issue 1, pages 135-146, January, DOI: 10.1080/07350015.2023.2166049.

2023

  1. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2023, "A flexible predictive density combination for large financial data sets in regular and crisis periods," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2022.11.004.
  2. Galdi, Giulio & Casarin, Roberto & Ferrari, Davide & Fezzi, Carlo & Ravazzolo, Francesco, 2023, "Nowcasting industrial production using linear and non-linear models of electricity demand," Energy Economics, Elsevier, volume 126, issue C, DOI: 10.1016/j.eneco.2023.107006.
  3. Monica Billio & Roberto Casarin & Matteo Iacopini & Sylvia Kaufmann, 2023, "Bayesian Dynamic Tensor Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 2, pages 429-439, April, DOI: 10.1080/07350015.2022.2032721.

2022

  1. Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco, 2022, "Markov switching panel with endogenous synchronization effects," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 281-298, DOI: 10.1016/j.jeconom.2021.04.004.
  2. Roberto Casarin & Jorge E. Camargo & German Molina & Enrique ter Horst, 2022, "A framework for information synthesis into sentiment indicators using text mining methods," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, volume 51, issue 15, pages 5265-5283, June, DOI: 10.1080/03610926.2020.1837878.

2021

  1. Casarin, Roberto & Costantini, Mauro & Paradiso, Antonio, 2021, "On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting," Economic Modelling, Elsevier, volume 105, issue C, DOI: 10.1016/j.econmod.2021.105644.

2020

  1. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020, "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, volume 24, issue 2, pages 66-103, June.
  2. Roberto Casarin & Matteo Iacopini & German Molina & Enrique ter Horst & Ramon Espinasa & Carlos Sucre & Roberto Rigobon, 2020, "Multilayer network analysis of oil linkages," The Econometrics Journal, Royal Economic Society, volume 23, issue 2, pages 269-296.
  3. Giacomo Bormetti & Roberto Casarin & Fulvio Corsi & Giulia Livieri, 2020, "A Stochastic Volatility Model With Realized Measures for Option Pricing," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 4, pages 856-871, October, DOI: 10.1080/07350015.2019.1604371.

2019

  1. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019, "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, volume 23, issue 4, pages 24-51, December.
  2. Roberto Casarin & German Molina & Enrique ter Horst, 2019, "A Bayesian time varying approach to risk neutral density estimation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 182, issue 1, pages 165-195, January, DOI: 10.1111/rssa.12386.
  3. Casarin, Roberto & Costola, Michele, 2019, "Structural changes in large economic datasets: A nonparametric homogeneity test," Economics Letters, Elsevier, volume 176, issue C, pages 55-59, DOI: 10.1016/j.econlet.2018.12.020.
  4. Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019, "Modeling systemic risk with Markov Switching Graphical SUR models," Journal of Econometrics, Elsevier, volume 210, issue 1, pages 58-74, DOI: 10.1016/j.jeconom.2018.11.005.
  5. Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019, "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 97-115, DOI: 10.1016/j.jeconom.2019.04.022.

2018

  1. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018, "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, volume 70, issue C, pages 545-562, DOI: 10.1016/j.eneco.2017.06.001.
  2. Racca, P. & Casarin, R. & Dondio, P. & Squazzoni, F., 2018, "Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 493, issue C, pages 458-466, DOI: 10.1016/j.physa.2017.11.143.
  3. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2018, "Bayesian Nonparametric Calibration and Combination of Predictive Distributions," Journal of the American Statistical Association, Taylor & Francis Journals, volume 113, issue 522, pages 675-685, April, DOI: 10.1080/01621459.2016.1273117.
  4. Roberto Casarin & Domenico Sartore & Marco Tronzano, 2018, "A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 1, pages 101-114, January, DOI: 10.1080/07350015.2015.1137757.

2016

  1. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016, "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361, DOI: 10.15609/annaeconstat2009.123-124.0.
  2. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016, "Efficient Gibbs sampling for Markov switching GARCH models," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 37-57, DOI: 10.1016/j.csda.2014.04.011.
  3. Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016, "An entropy-based early warning indicator for systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 45, issue C, pages 42-59, DOI: 10.1016/j.intfin.2016.05.008.
  4. Roberto Casarin & Giulia Mantoan & Francesco Ravazzolo, 2016, "Bayesian Calibration of Generalized Pools of Predictive Distributions," Econometrics, MDPI, volume 4, issue 1, pages 1-24, March.
  5. Nalan Baştürk & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016, "Computational Complexity and Parallelization in Bayesian Econometric Analysis," Econometrics, MDPI, volume 4, issue 1, pages 1-3, February.
  6. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016, "Bayesian Graphical Models for STructural Vector Autoregressive Processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 2, pages 357-386, March.
  7. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016, "Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 7, pages 1352-1370, November.

2015

  1. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2015, "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox," Journal of Statistical Software, Foundation for Open Access Statistics, volume 68, issue i03, DOI: http://hdl.handle.net/10.18637/jss..
  2. Roberto Casarin & Niccolò Casnici & Pierpaolo Dondio & Flaminio Squazzoni, 2015, "Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 51-69, June.
  3. Niccolò Casnici & Pierpaolo Dondio & Roberto Casarin & Flaminio Squazzoni, 2015, "Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty," PLOS ONE, Public Library of Science, volume 10, issue 8, pages 1-15, August, DOI: 10.1371/journal.pone.0133712.

2014

  1. Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2014, "Beta-product dependent Pitman–Yor processes for Bayesian inference," Journal of Econometrics, Elsevier, volume 180, issue 1, pages 49-72, DOI: 10.1016/j.jeconom.2014.01.007.

2013

  1. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013, "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 213-232, DOI: 10.1016/j.jeconom.2013.04.009.
  2. Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013, "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 94, issue C, pages 183-204, DOI: 10.1016/j.matcom.2012.06.013.
  3. Roberto Casarin & Flaminio Squazzoni, 2013, "Being on the Field When the Game Is Still Under Way. The Financial Press and Stock Markets in Times of Crisis," PLOS ONE, Public Library of Science, volume 8, issue 7, pages 1-14, July, DOI: 10.1371/journal.pone.0067721.

2012

  1. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012, "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 4, pages 402-412, DOI: 10.1016/j.qref.2012.08.002.

2011

  1. Billio Monica & Casarin Roberto, 2011, "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 4, pages 1-32, September, DOI: 10.2202/1558-3708.1856.

2010

  1. 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., volume 29, issue 1-2, pages 145-167, DOI: 10.1002/for.1148.

2007

  1. Roberto Casarin & Monica Billio, 2007, "Stochastic optimization for allocation problems with shortfall risk constraints," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 23, issue 3, pages 247-271, May, DOI: 10.1002/asmb.671.

2005

  1. 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, volume 11, issue 4, pages 297-308, DOI: 10.1080/1351847042000286658.

Chapters

2022

  1. Monica Billio & Roberto Casarin & Fausto Corradin, 2022, "Understanding Economic Instability during the Pandemic: A Factor Model Approach," Contributions to Economic Analysis, Emerald Group Publishing Limited, "The Economics of COVID-19", DOI: 10.1108/S0573-855520220000296003.

2021

  1. Giulia Carallo & Roberto Casarin & Christian P. Robert, 2021, "A Bayesian Generalized Poisson Model for Cyber Risk Analysis," Springer Books, Springer, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo, "Mathematical and Statistical Methods for Actuarial Sciences and Finance", DOI: 10.1007/978-3-030-78965-7_19.

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