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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
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)
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)
Location: San Polo, Italy
Homepage: http://www.greta.it/
Email:
Phone:
Fax:
Postal:
Handle: RePEc:edi:gretait (more details at EDIRC)
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  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 1409.1956, arXiv.org.
  2. Roberto Casarin & Monica Billio & Anthony Osuntuyi, 2014. "Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets," Working Papers 2014:07, Department of Economics, University of Venice "Ca' Foscari".
  3. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers 0026, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  4. Fabrizio Leisen & Roberto Casarin & David Luengo & Luca Martino, 2013. "Adaptive Sticky Generalized Metropolis," Working Papers 2013:19, Department of Economics, University of Venice "Ca' Foscari".
  5. Federico Bassetti & Roberto Casarin & Fabrizio Leisen, 2013. "Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference," Working Papers 2013:13, Department of Economics, University of Venice "Ca' Foscari".
  6. 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 2013-09, School of Economics and Management, University of Aarhus.
  7. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
  8. 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".
  9. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2012. "Bayesian Graphical Models for Structural Vector Autoregressive Processes," Working Papers 2012:36, Department of Economics, University of Venice "Ca' Foscari".
  10. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
  11. 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".
  12. Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
  13. Roberto Casarin & Radu Craiu & Fabrizio Leisen, 2011. "Interacting multiple -- Try algorithms with different proposal distributions," Statistics and Econometrics Working Papers ws110402, Universidad Carlos III, Departamento de Estadística y Econometría.
  14. 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.
  15. Monica Billio & Roberto Casarin, 2010. "Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis," Working Papers 1002, University of Brescia, Department of Economics.
  16. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
  17. 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".
  18. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.
  19. 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".
  20. Roberto Casarin & Jean-Michel Marin, 2007. "Online data processing: comparison of Bayesian regularized particle filters," Working Papers 0703, University of Brescia, Department of Economics.
  21. 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".
  22. Roberto Casarin & Monica Billio, 2006. "Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints," Working Papers ubs0618, University of Brescia, Department of Economics.
  23. Roberto Casarin & Carmine Trecroci, 2006. "Business Cycle and Stock Market Volatility: A Particle Filter Approach," Working Papers ubs0603, University of Brescia, Department of Economics.
  24. Roberto Casarin, 2005. "Stochastic Processes in Credit Risk Modelling," Working Papers ubs0505, University of Brescia, Department of Economics.
  25. Casarin, Roberto, 2004. "Bayesian Monte Carlo Filtering for Stochastic Volatility Models," Economics Papers from University Paris Dauphine 123456789/6066, Paris Dauphine University.
  26. Casarin, Roberto, 2003. "Bayesian Inference for Mixtures of Stable Distributions," Economics Papers from University Paris Dauphine 123456789/6326, Paris Dauphine University.
  1. Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2014. "Beta-product dependent Pitman–Yor processes for Bayesian inference," Journal of Econometrics, Elsevier, vol. 180(1), pages 49-72.
  2. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
  3. 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, vol. 94(C), pages 183-204.
  4. 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, vol. 52(4), pages 402-412.
  5. 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.
  6. 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.
  7. Roberto Casarin & Andrea Piva & Loriana Pelizzon, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," The IUP Journal of Financial Economics, IUP Publications, vol. 0(1), pages 7-28, March.
  8. 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.
26 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 (3) 2010-02-13 2011-07-27 2011-08-02
  4. NEP-CFN: Corporate Finance (1) 2008-05-24
  5. NEP-CMP: Computational Economics (4) 2011-04-16 2013-04-20 2013-04-27 2014-08-02
  6. NEP-CWA: Central & Western Asia (1) 2013-04-20
  7. NEP-ECM: Econometrics (11) 2008-02-09 2008-10-13 2008-10-13 2008-10-13 2010-02-13 2011-01-16 2011-04-16 2013-06-16 2013-06-24 2013-09-06 2014-06-22. Author is listed
  8. NEP-EEC: European Economics (3) 2013-08-31 2013-09-06 2014-12-29
  9. NEP-EFF: Efficiency & Productivity (2) 2008-05-24 2008-10-13
  10. NEP-ENE: Energy Economics (1) 2014-06-22
  11. NEP-ETS: Econometric Time Series (8) 2008-10-13 2008-10-13 2008-10-13 2010-02-13 2011-01-16 2012-04-17 2012-10-13 2013-06-16. Author is listed
  12. 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
  13. NEP-FOR: Forecasting (8) 2008-10-13 2011-01-16 2011-07-27 2011-08-02 2012-04-17 2012-10-13 2013-04-20 2013-04-27. Author is listed
  14. NEP-MAC: Macroeconomics (5) 2006-04-22 2008-10-13 2010-02-13 2013-08-31 2014-12-29. Author is listed
  15. NEP-ORE: Operations Research (13) 2008-10-13 2008-10-13 2010-02-13 2011-01-16 2012-10-13 2013-04-20 2013-04-27 2013-06-16 2013-06-24 2013-09-06 2014-06-22 2014-08-02 2014-12-29. Author is listed
  16. NEP-RMG: Risk Management (5) 2006-02-12 2006-04-22 2011-07-27 2011-08-02 2014-06-22. Author is listed
  17. NEP-UPT: Utility Models & Prospect Theory (1) 2014-06-22

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