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

Affiliation

Venezia, Italy
http://www.unive.it/dip.economia

: +39-0412349621
+39-0412349176
Cannaregio, S. Giobbe no 873 , 30121 Venezia
RePEc:edi:dsvenit (more details at EDIRC)

Venezia, Italy
http://venus.unive.it/sse/

: +39-041-234-9256
+39-041-234-9176
Università Ca' Foscari, San Giobbe 873, 30121 Venezia
RePEc:edi:ssvenit (more details at EDIRC)

San Polo, Italy
http://www.greta.it/

:


RePEc:edi:gretait (more details at EDIRC)

Works

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Working Papers

  1. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2016. "Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 15-084/III, Tinbergen Institute, revised 03 Jul 2017.
  2. Monica Billio & Roberto Casarin & Michele Costola & Andrea Pasqualini, 2015. "An entropy-based early warning indicator for systemic risk," Working Papers 2015:09, Department of Economics, University of Venice "Ca' Foscari".
  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 15-111/III, Tinbergen Institute.
  4. Roberto Casarin & Federico Bassetti & Francesco Ravazzolo, 2015. "Bayesian Nonparametric Calibration and Combination of Predictive Distributions," Working Papers 2015:04, Department of Economics, University of Venice "Ca' Foscari".
  5. 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 No 8/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  6. Roberto Casarin, 2014. "A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices," Working Papers 2014:23, Department of Economics, University of Venice "Ca' Foscari".
  7. Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin, 2014. "Growth-cycle phases in China�s provinces: A panel Markov-switching approach," Working Papers 2014:19, Department of Economics, University of Venice "Ca' Foscari".
  8. Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".
  9. 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.
  10. 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".
  11. 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, Department of Economics and Business Economics, Aarhus University.
  12. 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".
  13. 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".
  14. 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".
  15. 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.
  16. 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".
  17. 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".
  18. 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".
  19. 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".
  20. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
  21. Leisen, Fabrizio & Casarin, Roberto & Bassetti, Federico, 2011. "Beta-product Poisson-Dirichlet Processes," DES - Working Papers. Statistics and Econometrics. WS 12160, Universidad Carlos III de Madrid. Departamento de Estadística.
  22. Leisen, Fabrizio & Craiu, Radu & Casarin, Roberto, 2011. "Interacting multiple -- Try algorithms with different proposal distributions," DES - Working Papers. Statistics and Econometrics. WS ws110402, Universidad Carlos III de Madrid. Departamento de Estadística.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
  28. 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".
  29. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.
  30. 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".
  31. 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".
  32. Roberto Casarin & Jean-Michel Marin, 2007. "Online data processing: comparison of Bayesian regularized particle filters," Working Papers 0703, University of Brescia, Department of Economics.
  33. Roberto Casarin & Monica Billio, 2006. "Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints," Working Papers ubs0618, University of Brescia, Department of Economics.
  34. Roberto Casarin & Carmine Trecroci, 2006. "Business Cycle and Stock Market Volatility: A Particle Filter Approach," Working Papers ubs0603, University of Brescia, Department of Economics.
  35. Roberto Casarin, 2005. "Stochastic Processes in Credit Risk Modelling," Working Papers ubs0505, University of Brescia, Department of Economics.

Articles

  1. Casarin Roberto & Casnici Niccolò & Dondio Pierpaolo & Squazzoni Flaminio, 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.
  2. 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.
  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., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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 is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 35 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ORE: Operations Research (22) 2008-10-13 2008-10-13 2010-02-13 2011-01-16 2012-10-13 2012-12-06 2013-04-20 2013-04-27 2013-06-16 2013-06-24 2013-09-06 2014-06-22 2014-08-02 2014-12-24 2014-12-29 2015-01-03 2015-01-09 2015-04-02 2015-05-16 2015-08-01 2015-08-13 2015-09-26. Author is listed
  2. NEP-ECM: Econometrics (18) 2008-02-09 2008-10-13 2008-10-13 2008-10-13 2010-02-13 2011-01-16 2011-04-16 2011-09-05 2012-12-06 2013-06-16 2013-06-24 2013-09-06 2014-06-22 2014-12-24 2015-01-09 2015-03-13 2015-04-02 2015-08-01. Author is listed
  3. NEP-ETS: Econometric Time Series (15) 2008-10-13 2008-10-13 2008-10-13 2010-02-13 2011-01-16 2011-02-26 2012-04-17 2012-10-13 2012-12-06 2013-06-16 2015-01-09 2015-03-13 2015-04-02 2015-04-25 2015-09-26. Author is listed
  4. NEP-FOR: Forecasting (15) 2008-10-13 2011-01-16 2011-02-26 2011-07-27 2011-08-02 2012-04-17 2012-10-13 2012-12-06 2013-04-20 2013-04-27 2015-03-13 2015-03-22 2015-05-16 2015-08-01 2015-08-13. Author is listed
  5. NEP-MAC: Macroeconomics (11) 2006-04-22 2008-10-13 2010-02-13 2013-08-31 2014-12-29 2015-01-03 2015-04-02 2015-04-25 2015-08-01 2015-08-13 2015-09-26. Author is listed
  6. 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
  7. NEP-EEC: European Economics (6) 2011-09-05 2013-08-31 2013-09-06 2014-12-29 2015-05-16 2015-09-26. Author is listed
  8. NEP-RMG: Risk Management (6) 2006-02-12 2006-04-22 2011-07-27 2011-08-02 2014-06-22 2015-05-16. Author is listed
  9. NEP-CMP: Computational Economics (5) 2011-04-16 2013-04-13 2013-04-20 2013-04-27 2014-08-02. Author is listed
  10. NEP-CBA: Central Banking (4) 2010-02-13 2011-07-27 2011-08-02 2011-09-05
  11. NEP-BAN: Banking (3) 2011-07-27 2011-08-02 2015-05-16
  12. NEP-BEC: Business Economics (2) 2006-04-22 2012-04-17
  13. NEP-CFN: Corporate Finance (2) 2008-05-24 2015-05-16
  14. NEP-EFF: Efficiency & Productivity (2) 2008-05-24 2008-10-13
  15. NEP-CNA: China (1) 2015-01-03
  16. NEP-CWA: Central & Western Asia (1) 2013-04-20
  17. NEP-ENE: Energy Economics (1) 2014-06-22
  18. NEP-TRA: Transition Economics (1) 2015-01-03
  19. NEP-UPT: Utility Models & Prospect Theory (1) 2014-06-22

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