Anno | Tipologia | Pubblicazione |
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Anno | Tipologia | Pubblicazione |
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2024 | Articolo su rivista |
Casarin, Roberto; Peruzzi, Antonio A Dynamic Latent-Space Model for Asset Clustering in STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, vol. 28, pp. 379-402 (ISSN 1081-1826) DOI - Scheda ARCA: 10278/5044341 |
2024 | Articolo su rivista |
Roberto Casarin; Mauro Costantini; Anthony Osuntuyi Bayesian nonparametric panel Markov-switching GARCH models in JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 41, pp. 135-146 (ISSN 0735-0015) DOI - Scheda ARCA: 10278/5021362 |
2024 | Articolo su rivista |
Billio M.; Casarin R.; Costola M.; Iacopini M. COVID-19 spreading in financial networks: A semiparametric matrix regression model in ECONOMETRICS AND STATISTICS, vol. 29, pp. 113-131 (ISSN 2452-3062) DOI - URL correlato - Scheda ARCA: 10278/3752110 |
2024 | Articolo su rivista |
Billio, Monica; Casarin, Roberto; Costola, Michele; Veggente, Veronica Learning from experts: Energy efficiency in residential buildings in ENERGY ECONOMICS, vol. 136, pp. 1-15 (ISSN 0140-9883) DOI - Scheda ARCA: 10278/5062181 |
2024 | Articolo su rivista |
Roberto Casarin, Radu Craiu, Christian Robert, Lorenzo Frattarolo Living on the Edge: An Unified Approach to Antithetic Sampling in STATISTICAL SCIENCE, vol. 39, pp. 115-136 (ISSN 0883-4237) DOI - Scheda ARCA: 10278/5021366 |
2024 | Articolo su rivista |
Camatti, Nicola; Carallo, Giulia; Casarin, Roberto; Feng, Xiang Measuring daily tourism mobility spillover at the intra-metropolis level with mobile positioning data in REGIONAL STUDIES, REGIONAL SCIENCE, vol. 11, pp. 701-723 (ISSN 2168-1376) DOI - Scheda ARCA: 10278/5081961 |
2024 | Articolo su rivista |
Baltodano Lopez O., Bulfone G., Casarin R., Ravazzolo F Modeling Corporate CDS Spreads Using Markov Switching Regressions in STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, vol. 28, pp. 271-292 (ISSN 1558-3708) DOI - Scheda ARCA: 10278/5044363 |
2024 | Articolo su rivista |
Ahelegbey D.F.; Billio M.; Casarin R. Modeling Turning Points in the Global Equity Market in ECONOMETRICS AND STATISTICS, vol. 30, pp. 60-75 (ISSN 2452-3062) DOI - URL correlato - Scheda ARCA: 10278/3752111 |
2024 | Articolo su rivista |
Ahelegbey, Daniel Felix; Casarin, Roberto; Fianu, Emmanuel Senyo; Grossi, Luigi Structural changes in contagion channels: the impact of COVID-19 on the Italian electricity market in ANNALS OF OPERATIONS RESEARCH, vol. -, pp. 1-20 (ISSN 0254-5330) DOI - Scheda ARCA: 10278/5082144 |
2023 | Articolo su rivista |
Casarin R.; Grassi S.; Ravazzolo F.; van Dijk H.K. A flexible predictive density combination for large financial data sets in regular and crisis periods in JOURNAL OF ECONOMETRICS, vol. 1, pp. 1-27 (ISSN 0304-4076) DOI - Scheda ARCA: 10278/5023840 |
2023 | Articolo su rivista |
Billio M, Casarin R, Iacopini M, Kaufmann S. Bayesian Dynamic Tensor Regression in JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 41, pp. 429-439 (ISSN 0735-0015) DOI - URL correlato - Scheda ARCA: 10278/3752109 |
2023 | Articolo su rivista |
Carallo G.; Casarin R.; Robert C.P. Generalized Poisson difference autoregressive processes in INTERNATIONAL JOURNAL OF FORECASTING, vol. -, pp. 1-32 (ISSN 0169-2070) DOI - Scheda ARCA: 10278/5046382 |
2023 | Articolo su rivista |
Galdi, G; Casarin, R; Ferrari, D; Fezzi, C; Ravazzolo, F Nowcasting industrial production using linear and non-linear models of electricity demand in ENERGY ECONOMICS, vol. 126, pp. 1-11 (ISSN 0140-9883) DOI - Scheda ARCA: 10278/5044342 |
2023 | Articolo su libro |
Bjørnland, H.C., Casarin, R., Lorusso, M., Ravazzolo, F. Fiscal Policy Regimes in Resource-Rich Economies in Bjørnland, H.C., Casarin, R., Lorusso, M. and Ravazzolo, F., CAMP Working Paper, Centre for Applied Macro - Petroleum economics (CAMP), vol. 13/2023 - Scheda ARCA: 10278/5044345 |
2023 | Articolo su libro |
Del Negro M., Bassetti F., Casarin R. Inference on Probabilistic Surveys in Macroeconomics with an Application to the Evolution of Uncertainty in the Survey of Professional Forecasters during the COVID Pandemic in Del Negro, M., Bassetti, F., Casarin, R., Handbook of Economic Expectations, Elsevier, vol. 1, pp. 443-476 (ISBN 9780128229279) DOI - URL correlato - Scheda ARCA: 10278/3761631 |
2023 | Working paper |
Roberto Casarin, Antonio Peruzzi, Mark FJ Steel Media Bias and Polarization through the Lens of a Markov Switching Latent Space Network Model DOI - URL correlato - Scheda ARCA: 10278/5045060 |
2023 | Software |
Roberto Casarin; Christian Robert; Giulia Carallo Generalized Poisson Difference Autoregressive Processes DOI - Scheda ARCA: 10278/5044344 |
2023 | Software |
Antonio Peruzzi; Roberto Casarin SNDE - A Dynamic Latent Space Model for Asset Clustering DOI - Scheda ARCA: 10278/5044343 |
2022 | Articolo su rivista |
Casarin R.; Camargo J.E.; Molina G.; ter Horst E. A framework for information synthesis into sentiment indicators using text mining methods in COMMUNICATIONS IN STATISTICS. THEORY AND METHODS, vol. 51, pp. 5265-5283 (ISSN 0361-0926) DOI - Scheda ARCA: 10278/3733839 |
2022 | Articolo su rivista |
Billio, Monica; Casarin, Roberto; Iacopini, Matteo Bayesian Markov-Switching Tensor Regression for Time-Varying Networks in JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, vol. -, pp. 1-29 (ISSN 0162-1459) DOI - Scheda ARCA: 10278/5000791 |
2022 | Articolo su rivista |
Corradin, Fausto; Billio, Monica; Casarin, Roberto Forecasting Economic Indicators with Robust Factor Models in NATIONAL ACCOUNTING REVIEW, vol. 4, pp. 167-190 (ISSN 2689-3010) DOI - Scheda ARCA: 10278/3763469 |
2022 | Articolo su rivista |
Agudze K. M., Billio M., Casarin R., Ravazzolo F. Markov Switching Panel with Endogenous Synchronization Effects in JOURNAL OF ECONOMETRICS, vol. 230, pp. 281-298 (ISSN 0304-4076) DOI - URL correlato - Scheda ARCA: 10278/3738158 |
2022 | Articolo su rivista |
Casarin, R; Maillet, BB; Osuntuyi, A Monte carlo within simulated annealing for integral constrained optimizations in ANNALS OF OPERATIONS RESEARCH, vol. -, pp. 1-11 (ISSN 0254-5330) DOI - Scheda ARCA: 10278/5021364 |
2022 | Articolo su libro |
Monica Billio,
Roberto Casarin,
Michele Costola,
Matteo Iacopini Matrix-variate Smooth Transition Models for Temporal Networks , Innovations in Multivariate Statistical Modeling, Springer, vol. 1, pp. 137-167 (ISBN 978-3-031-13970-3) DOI - Scheda ARCA: 10278/5010644 |
2022 | Articolo su libro |
Peruzzi, Antonio; Casarin, Roberto Time-Varying Assets Clustering via Identity-Link Latent-Space Infinite Mixture: An Application on DAX Components , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp. 371-376 (ISBN 978-3-030-99637-6; 978-3-030-99638-3) DOI - URL correlato - Scheda ARCA: 10278/3761628 |
2022 | Articolo su libro |
Billio M.; Casarin R.; Corradin F. Understanding Economic Instability during the Pandemic: A Factor Model Approach , Contributions to Economic Analysis, Emerald Group Holdings Ltd., vol. 296, pp. 1-55 (ISBN 978-1-80071-694-0) (ISSN 0573-8555) DOI - Scheda ARCA: 10278/3761630 |
2022 | Working paper |
Federico Bassetti; Giulia Carallo; Roberto Casarin First-order integer-valued autoregressive processes with Generalized Katz innovations DOI - Scheda ARCA: 10278/5017321 |
2021 | Articolo su rivista |
Billio M.; Casarin R.; Costola M.; Iacopini M. A Matrix-Variate t Model for Networks in FRONTIERS IN ARTIFICIAL INTELLIGENCE, vol. 4, pp. 674166 (ISSN 2624-8212) DOI - URL correlato - Scheda ARCA: 10278/3752113 |
2021 | Articolo su rivista |
Casarin, Roberto; Costantini, Mauro; Paradiso, Antonio On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting in ECONOMIC MODELLING, vol. 105, pp. 1-19 (ISSN 1873-6122) DOI - URL correlato - Scheda ARCA: 10278/3751556 |
2021 | Articolo su rivista |
Casarin R.; Correa J.C.; Camargo J.E.; Dakduk S.; ter Horst E.; Molina G. What makes a tweet be retweeted? A Bayesian trigram analysis of tweet propagation during the 2015 Colombian political campaign in JOURNAL OF INFORMATION SCIENCE, vol. 47, pp. 297-305 (ISSN 0165-5515) DOI - URL correlato - Scheda ARCA: 10278/3722906 |
2021 | Articolo su libro |
Carallo, Giulia; Casarin, Roberto; Robert, Christian P. A Bayesian Generalized Poisson Model for Cyber Risk Analysis in Giulia Carallo, Roberto Casarin, Christian P. Robert, Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp. 123-128 (ISBN 978-3-030-78964-0; 978-3-030-78965-7) DOI - Scheda ARCA: 10278/3750907 |
2021 | Articolo su libro |
Casarin R., Baltodano Lopez O. A Dynamic Stochastic Block Model with infinite communities , Book of Short Papers SIS 2021, Pearson, pp. 127-132 (ISBN 9788891927361) - Scheda ARCA: 10278/3752117 |
2021 | Articolo su libro |
Billio M., Casarin R., Costola M., Iacopini M. COVID-19 spreading in financial networks: A semiparametric matrix regression model in Billio M., Casarin R., Costola M., Iacopini M., Working Paper Series - Department of Economics of the Ca’ Foscari University of Venice (ISSN 1827-3580), Department of Economics, University of Venice "Ca' Foscari, vol. 2021/05, pp. 1-34 - Scheda ARCA: 10278/3735307 |
2021 | Articolo su libro |
Casarin R., Facchinetti R., Sorice D., Tonellato S. Decision trees and random forests , The Essentials of Machine Learning in Finance and Accounting, London, Routledge, Taylor & Francis, pp. 1-30 (ISBN 9780367480813) DOI - Scheda ARCA: 10278/3733844 |
2021 | Articolo su libro |
Casarin R., Ravazzolo F. Density calibration with consistent scoring functions , Book of Short Papers SIS 2021, Pearson, pp. 293-297 (ISBN 9788891927361) - Scheda ARCA: 10278/3752118 |
2021 | Articolo su libro |
Billio M., Casarin R., De Cian E., Mistry M., Osuntuyi, A. The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach in Billio M., Casarin R., De Cian E., Mistry M., Osuntuyi, A., Working Paper Series - Department of Economics of the Ca’ Foscari University of Venice (ISSN 1827-3580), Department of Economics, University of Venice "Ca' Foscari, vol. 2021/03, pp. 1-64 - Scheda ARCA: 10278/3735303 |
2020 | Articolo su rivista |
Bormetti G.; Casarin R.; Corsi F.; Livieri G. A Stochastic Volatility Model With Realized Measures for Option Pricing in JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 38, pp. 856-871 (ISSN 0735-0015) DOI - URL correlato - Scheda ARCA: 10278/3722910 |
2020 | Articolo su rivista |
Casarin R.; Corradin F.; Ravazzolo F.; Sartore D. A scoring rule for factor and autoregressive models under misspecification in ADVANCES IN DECISION SCIENCES, vol. 24, pp. 1-38 (ISSN 2090-3367) DOI - Scheda ARCA: 10278/3733837 |
2020 | Articolo su rivista |
Bassetti, Federico; Casarin, Roberto; Rossini, Luca Hierarchical Species Sampling Models in BAYESIAN ANALYSIS, vol. 15, pp. 809-838 (ISSN 1936-0975) DOI - URL correlato - Scheda ARCA: 10278/3722912 |
2020 | Articolo su rivista |
Casarin, Roberto; Iacopini, Matteo; Molina, German; Horst, Enrique ter; Espinasa, Ramon; Sucre, Carlos; Rigobon, Roberto Multilayer Network Analysis of Oil Linkages in ECONOMETRICS JOURNAL, vol. 23, pp. 269-296 (ISSN 1368-4221) DOI - Scheda ARCA: 10278/3722909 |
2020 | Articolo su libro |
Bassetti, F.; Casarin, R.; Ravazzolo, F. Density Forecasting , Macroeconomic Forecastingin the Era of Big Data, Springer International Publishing, vol. 52, pp. 465-494 (ISBN 978-3-030-31149-0; 978-3-030-31150-6) (ISSN 1570-5811) DOI - URL correlato - Scheda ARCA: 10278/3722914 |
2020 | Articolo su libro |
Buccellato T., Busin R., Casarin R., Corò G. Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective in Buccellato T., Busin R., Casarin R., Corò G., Working Paper Series - Department of Economics of the Ca’ Foscari University of Venice (ISSN 1827-3580), Department of Economics, University of Venice "Ca' Foscari - Scheda ARCA: 10278/3735308 |
2020 | Articolo su libro |
Casarin R., Veggente V. Random Projection Methods in Economics and Finance , The Essentials of Machine Learning in Finance and Accounting, Routledge, Taylor & Francis, pp. 1-30 (ISBN 9780367480813) - Scheda ARCA: 10278/3733843 |
2020 | Working paper |
Roberto Casarin; Mauro Costantini; Anthony Osuntuyi Bayesian nonparametric panel Markov-switching GARCH models DOI - URL correlato - Scheda ARCA: 10278/3735306 |
2020 | Working paper |
Giulia Carallo; Roberto Casarin; Christian P. Robert Generalized Poisson Difference Autoregressive Processes DOI - URL correlato - Scheda ARCA: 10278/3750908 |
2019 | Articolo su rivista |
Casarin, Roberto; Molina, German; ter Horst, Enrique A Bayesian time varying approach to risk neutral density estimation in JOURNAL OF THE ROYAL STATISTICAL SOCIETY. SERIES A. STATISTICS IN SOCIETY, vol. 182, pp. 165-195 (ISSN 0964-1998) DOI - Scheda ARCA: 10278/3704028 |
2019 | Articolo su rivista |
Billio M., Casarin R., Rossini L. Bayesian nonparametric sparse VAR models in JOURNAL OF ECONOMETRICS, vol. 212, pp. 97-115 (ISSN 0304-4076) DOI - URL correlato - Scheda ARCA: 10278/3711086 |
2019 | Articolo su rivista |
Bianchi Daniele, Billio Monica, Casarin Roberto, Guidolin Massimo Modeling Systemic Risk with Markov Switching Graphical SUR Models in JOURNAL OF ECONOMETRICS, vol. 210, pp. 58-74 (ISSN 0304-4076) DOI - URL correlato - Scheda ARCA: 10278/3697402 |
2019 | Articolo su rivista |
Billio M., R. Casarin, M. Costola, L. Frattarolo Opinion Dynamics and Disagreements on Financial Networks in ADVANCES IN DECISION SCIENCES, vol. 23/4 (ISSN 2090-3367) - URL correlato - Scheda ARCA: 10278/3721761 |
2019 | Articolo su rivista |
Casarin R.; Costola M. Structural changes in large economic datasets: A nonparametric homogeneity test in ECONOMICS LETTERS, vol. 176, pp. 55-59 (ISSN 0165-1765) DOI - URL correlato - Scheda ARCA: 10278/3722904 |
2019 | Articolo su libro |
Billio, M.;Casarin, R.;Costola, M.;Frattarolo, L Contagion Dynamics on Financial Networks , International Financial Markets, Routledge, vol. 1, pp. 63-98 (ISBN 1138060925) DOI - Scheda ARCA: 10278/3722916 |
2018 | Articolo su rivista |
Casarin, Roberto; Sartore, Domenico; Tronzano, Marco A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets in JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 36, pp. 101-114 (ISSN 0735-0015) DOI - Scheda ARCA: 10278/3673400 |
2018 | Articolo su rivista |
Martino, Luca*; Casarin, Roberto; Leisen, Fabrizio; Luengo, David Adaptive independent sticky MCMC algorithms in EURASIP JOURNAL ON ADVANCES IN SIGNAL PROCESSING, vol. 2018, pp. 1-28 (ISSN 1687-6172) DOI - URL correlato - Scheda ARCA: 10278/3697767 |
2018 | Articolo su rivista |
Bassetti, Federico; Casarin, Roberto; Ravazzolo, Francesco Bayesian Nonparametric Calibration and Combination of Predictive Distributions in JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, vol. 113, pp. 675-685 (ISSN 0162-1459) DOI - Scheda ARCA: 10278/3691750 |
2018 | Articolo su rivista |
Casarin, Roberto; Tonellato, Stefano Comment on Bayesian Cluster Analysis: Point Estimation and Credible Balls by Wade and Ghahramani in BAYESIAN ANALYSIS, vol. 13, pp. 604-605 (ISSN 1936-0975) DOI - URL correlato - Scheda ARCA: 10278/3704031 |
2018 | Articolo su rivista |
Roberto Casarin, Claudia Foroni, Massimiliano Marcellino, Francesco Ravazzolo Economic Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model in THE ANNALS OF APPLIED STATISTICS, vol. 12, pp. 2559-2586 (ISSN 1932-6157) DOI - URL correlato - Scheda ARCA: 10278/3697773 |
2018 | Articolo su rivista |
Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony Markov switching GARCH models for Bayesian hedging on energy futures markets in ENERGY ECONOMICS, vol. 70, pp. 545-562 (ISSN 0140-9883) DOI - URL correlato - Scheda ARCA: 10278/3691288 |
2018 | Articolo su rivista |
Racca, P.; Casarin, R.; Dondio, P.; Squazzoni, F.* Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns in PHYSICA. A, vol. 493, pp. 458-466 (ISSN 0378-4371) DOI - URL correlato - Scheda ARCA: 10278/3697768 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Matteo Iacopini Bayesian Markov switching tensor regression for time-varying networks in Monica Billio, Roberto Casarin, Matteo Iacopini, Bayesian Markov switching tensor regression for time-varying networks, Dipartimento di Economia, Università Ca' Foscari Venezia, pp. 1-61 (ISSN 1827-3580) DOI - URL correlato - Scheda ARCA: 10278/3700802 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Luca Rossini Bayesian Nonparametric Sparse Vector Autoregressive Models , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer Verlag, pp. 155-160 (ISBN 978-3-319-89823-0) DOI - Scheda ARCA: 10278/3704088 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Matteo Iacopini Bayesian Tensor Binary Regression , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp. 143-147 (ISBN 978-3-319-89823-0) DOI - Scheda ARCA: 10278/3700828 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Matteo Iacopini Bayesian Tensor Regression Models , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp. 159-163 (ISBN 978-3-319-89823-0) DOI - Scheda ARCA: 10278/3700829 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Sylvia Kaufmann, Matteo Iacopini Bayesian dynamic tensor regression in Monica Billio, Roberto Casarin, Sylvia Kaufmann, Matteo Iacopini, Bayesian dynamic tensor regression, Dipartimento di Economia, Università Ca' Foscari Venezia, pp. 1-62 (ISSN 1827-3580) DOI - URL correlato - Scheda ARCA: 10278/3700801 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Michele Costola, Lorenzo Frattarolo Disagreement in Signed Financial Networks , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer Verlag, pp. 139-142 (ISBN 978-3-319-89824-7) DOI - Scheda ARCA: 10278/3704081 |
2017 | Articolo su rivista |
Casarin, R.; Frattarolo, L.; Rossini, L. A discussion on: Random-projection ensemble classification by T. Cannings and R. Samworth in JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, vol. 79, pp. 959-1035 (ISSN 1369-7412) DOI - URL correlato - Scheda ARCA: 10278/3691788 |
2017 | Articolo su rivista |
Casarin Roberto; Iacopini Matteo; Rossini Luca Sparse graphs using exchangeable random measures in JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, vol. 79, pp. 1295-1366 (ISSN 1369-7412) DOI - Scheda ARCA: 10278/3691785 |
2017 | Articolo in Atti di convegno |
Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; Livieri Giulia A stochastic volatility framework with analytical filtering , Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: new challenges, new generations, Università degli Studi di Firenze, pp. 203-209, Convegno: Conference of the Italian Statistical Society (ISBN 9788864535210) - Scheda ARCA: 10278/3691749 |
2017 | Articolo in Atti di convegno |
Billio, Monica; Casarin, Roberto; Iacopini, Matteo Bayesian Tensor Regression Models in Billio M., Casarin R., Iacopini M., Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: new challenges, new generations, Firenze University Press, pp. 179-186, Convegno: Conference of the Italian Statistical Society, 2017 (ISBN 978-88-6453-521-0) - Scheda ARCA: 10278/3691747 |
2017 | Articolo in Atti di convegno |
Billio Monica; Casarin Roberto; Rossini Luca Bayesian nonparametric sparse Vector Autoregressive models in Billio M., Casarin R., Rossini, L., Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: new challenges, new generations, Firenze University Press, pp. 187-192, Convegno: Conference of the Italian Statistical Society (ISBN 978-88-6453-521-0) - Scheda ARCA: 10278/3691748 |
2016 | Articolo su rivista |
Billio, M.; Casarin, R.; Costola, M.; Pasqualini, A. An entropy-based early warning indicator for systemic risk in JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS & MONEY, vol. 45, pp. 42-59 (ISSN 1042-4431) DOI - Scheda ARCA: 10278/3676332 |
2016 | Articolo su rivista |
Casarin, Roberto; Mantoan, Giulia; Ravazzolo, Francesco Bayesian Calibration of Generalized Pools of Predictive Distributions in ECONOMETRICS, vol. 4, pp. 1-17 (ISSN 2225-1146) DOI - Scheda ARCA: 10278/3668154 |
2016 | Articolo su rivista |
Ahelegbey D.F.; M. Billio; R. Casarin Bayesian Graphical Models for STructural Vector Autoregressive Processes in JOURNAL OF APPLIED ECONOMETRICS, vol. 31, pp. 357-386 (ISSN 1099-1255) DOI - URL correlato - Scheda ARCA: 10278/42333 |
2016 | Articolo su rivista |
Baştürk, Nalan; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman Computational Complexity and Parallelization in Bayesian Econometric Analysis in ECONOMETRICS, vol. 4, pp. 1-9 (ISSN 2225-1146) DOI - Scheda ARCA: 10278/3668155 |
2016 | Articolo su rivista |
Casarin R.; Billio M.; Osuntuy A. Efficient Gibbs sampling for Markov switching GARCH models in COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 100, pp. 37-57 (ISSN 0167-9473) DOI - Scheda ARCA: 10278/40099 |
2016 | Articolo su rivista |
Casarin, Roberto; Craiu, Radu; Leisen, Fabrizio Embarrassingly parallel sequential Markov-chain Monte Carlo for large sets of time series in STATISTICS AND ITS INTERFACE, vol. 9, pp. 497-508 (ISSN 1938-7989) DOI - Scheda ARCA: 10278/3677592 |
2016 | Articolo su rivista |
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model in JOURNAL OF APPLIED ECONOMETRICS, vol. 31, pp. 1352-1370 (ISSN 0883-7252) DOI - Scheda ARCA: 10278/3662235 |
2016 | Articolo su rivista |
Casarin, Roberto; Ravazzolo, Francesco Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings in JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, vol. 78, pp. 505-562 (ISSN 1369-7412) DOI - Scheda ARCA: 10278/3668158 |
2016 | Articolo su rivista |
Racca, P.; Casarin, R.; Squazzoni, F; Dondio, P. Resilience of an online financial community to market uncertainty shocks during the recent financial crisis in JOURNAL OF COMPUTATIONAL SCIENCE, vol. 16, pp. 190-199 (ISSN 1877-7503) DOI - URL correlato - Scheda ARCA: 10278/3677591 |
2016 | Articolo su rivista |
Ahelegbey, D.F.; Billio, M.; Casarin, R. Sparse Graphical Vector Autoregression: A Bayesian Approach in ANNALS OF ECONOMICS AND STATISTICS, vol. 123/124, pp. 3-33 (ISSN 2115-4430) DOI - Scheda ARCA: 10278/3676331 |
2016 | Articolo in Atti di convegno |
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto Sparse Graphical Multivariate Autoregression: A Bayesian approach in Ahelegbey D. F., Billio, M., Casarin, R., JSM Proceedings, Statistical Computing Section. Alexandria, VA: American Statistical Association, 2016, American Statistical Association, pp. 1-15, Convegno: Joint Statistical Meetings (ISBN 978-0-9839375-6-2) - Scheda ARCA: 10278/3691746 |
2016 | Articolo in Atti di convegno |
Martino L.; Casarin R.; Luengo D. Sticky proposal densities for adaptive MCMC methods , IEEE Workshop on Statistical Signal Processing Proceedings, IEEE Computer Society, vol. 2016-, pp. 1-5, Convegno: 19th IEEE Statistical Signal Processing Workshop, SSP 2016, 2016 (ISBN 978-1-4673-7803-1) DOI - Scheda ARCA: 10278/3733838 |
2016 | Abstract in Atti di convegno |
Casarin, Roberto; Pastore, Andrea; Tonellato, Stefano Sequential clustering based on Dirichlet Process Priors , CLADAG 2015 Book of Abstracts, CUEC Editrice, Convegno: CLADAG 2015 10th Scientific Meeting of the Classification and Data Analysis Group of the Italian Statistical Society (ISBN 978-88-8467-949-9) - Scheda ARCA: 10278/3678943 |
2016 | Working paper |
Billio, Monica; Casarin, Roberto; Rossini, Luca Bayesian nonparametric sparse seemingly unrelated regression model (SUR) , vol. 2016:20 (ISSN 1827-3580) DOI - URL correlato - Scheda ARCA: 10278/3662307 |
2015 | Articolo su rivista |
Casarin, Roberto; Leisen, Fabrizio; Molina, German; Ter Horst, Enrique A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities in BAYESIAN ANALYSIS, CARNEGIE MELLON UNIV, DEPT STTISTICS, PITTSBURGH, PA 15213 USA, International Society for Bayesian Analysis, vol. 10, pp. 791-819 (ISSN 1936-0975) DOI - URL correlato - Scheda ARCA: 10278/3662234 |
2015 | Articolo su rivista |
Casarin, Roberto; Casnici, Niccolò; Dondio, Pierpaolo; Squazzoni, Flaminio Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities in JOURNAL OF FINANCIAL MANAGEMENT, MARKETS AND INSTITUTIONS, vol. 1, pp. 51-69 (ISSN 2282-717X) DOI - Scheda ARCA: 10278/3661698 |
2015 | Articolo su rivista |
Casnici, Niccolò; Dondio, Pierpaolo; Casarin, Roberto; Squazzoni, Flaminio Decrypting financial markets through e-joint attention efforts: On-line adaptive networks of investors in periods of market uncertainty in PLOS ONE, vol. 10, pp. e0133712 (ISSN 1932-6203) DOI - URL correlato - Scheda ARCA: 10278/3661697 |
2015 | Articolo su rivista |
Roberto Casarin; Stefano Grassi; Francesco Ravazzolo; Herman van Dijk Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox in JOURNAL OF STATISTICAL SOFTWARE, vol. 68, pp. 1-30 (ISSN 1548-7660) DOI - URL correlato - Scheda ARCA: 10278/43301 |
2015 | Articolo su libro |
Casarin, R.; Sartore, D.; Tronzano, M. Sovereign Risk and Contagion Effects in the Eurozone: A Bayesian Stochastic Correlation Model in Casarin, R.; Sartore, D.; Tronzano, M., Advances in Statistical Models for Data Analysis, Studies in Classification, Data Analysis, and Knowledge Organization, Springer Verlag, pp. 27-34 (ISBN 9783319173764) DOI - Scheda ARCA: 10278/3661696 |
2015 | Articolo in Atti di convegno |
Billio. Monica; Casarin, Roberto; Costola, Michele; Pasqualini, Andrea Entropy and systemic risk measures in Monica Billio, Roberto Casarin, Michele Costola, Andrea Pasqualini, Statistics and Demography: the Legacy of Corrado Gini, CLEUP, Convegno: SIS 2015 Statistical Conference (ISBN 9788867874521) - Scheda ARCA: 10278/3662252 |
2015 | Articolo in Atti di convegno |
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto Sparse BGVAR models for Systemic Risk Analysis in Daniel Felix Ahelegbey and Monica Billio and Roberto Casarin, Statistics and Demography: the Legacy of Corrado Gini, CLEUP, Convegno: SIS 2015 Statistical Conference (ISBN 9788867874521) - Scheda ARCA: 10278/3662251 |
2014 | Articolo su rivista |
Bassetti F.; Casarin R.; Leisen F. Beta-product dependent Pitman-Yor Process Prior for Bayesian Inference in JOURNAL OF ECONOMETRICS, vol. 180, pp. 49-72 (ISSN 0304-4076) DOI - Scheda ARCA: 10278/39871 |
2014 | Articolo su rivista |
Robeto Casarin Comment on a Tractable State-Space Model for Symmetric Positive-Definite Matrices in BAYESIAN ANALYSIS, vol. 9, pp. 793-804 (ISSN 1936-0975) DOI - Scheda ARCA: 10278/42329 |
2014 | Articolo su libro |
Roberto Casarin; Fabrizio Leisen; Enrique ter Horst; German Molina A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities , A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 23/2014, pp. 1-27 (ISSN 1827-3580) - Scheda ARCA: 10278/43302 |
2014 | Articolo su libro |
ROBERTO CASARIN A Note Tractable State-Space Models for Symmetric Positive-Definite Matrices , A Note Tractable State-Space Models for Symmetric Positive-Definite Matrices, Dipartimento di Economia, Università Ca' Foscari Venezia, pp. 1-11 (ISSN 1827-3580) - Scheda ARCA: 10278/43303 |
2014 | Articolo su libro |
Komla Mawulom AGUDZE; Monica BILLIO; Roberto CASARIN; Eric GIRARDIN Growth-cycle phases in China’s provinces: A panel Markov-switching approach , Growth-cycle phases in China’s provinces: A panel Markov-switching approach, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 19/2014, pp. 1-45 (ISSN 1827-3580) - Scheda ARCA: 10278/43217 |
2014 | Articolo su libro |
Roberto Casarin; Daniel Felix Alehegbey; Monica Billio Sparse Graphical Vector Autoregression: A Bayesian
Approach , Sparse Graphical Vector Autoregression: A Bayesian, Dipartimento di Economia, Università Ca' Foscari Venezia, pp. 1-25 (ISSN 1827-3580) - Scheda ARCA: 10278/43300 |
2014 | Articolo in Atti di convegno |
CASARIN R.; RAVAZZOLO F.; GNEITING T. Probabilistic Calibration of Predictive Distributions , 47th SIS Scientific Meeting of the Italian Statistica Society, Cagliari, CUEC, Convegno: 47th SIS metting (ISBN 9788884678744) - Scheda ARCA: 10278/40656 |
2014 | Working paper |
Komla Mawulom AGUDZE; Monica BILLIO; Roberto CASARIN Bayesian Panel Markov-Switching model with interacting Markov chains - Scheda ARCA: 10278/43218 |
2013 | Articolo su rivista |
CASARIN R.; SQUAZZONI F. Being on the field when the game is still under way. The financial press and stock markets in times of crisis in PLOS ONE, vol. 8, pp. 1-14 (ISSN 1932-6203) DOI - Scheda ARCA: 10278/38234 |
2013 | Articolo su rivista |
CASARIN R.; CRAIU R.; LEISEN F. Interacting Multiple Try Algorithms with Different Proposal Distributions in STATISTICS AND COMPUTING, vol. 23(2), pp. 185-200 (ISSN 0960-3174) DOI - Scheda ARCA: 10278/30334 |
2013 | Articolo su rivista |
CASARIN R.; CHANG C.-L.; JIMENEZ-MARTIN J.A.; MCALEER M.; PEREZ AMARAL T. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures in MATHEMATICS AND COMPUTERS IN SIMULATION, vol. 94, pp. 183-204 (ISSN 0378-4754) DOI - Scheda ARCA: 10278/36219 |
2013 | Articolo su rivista |
Billio M.; Casarin R.; Ravazzolo F.; Van Dijk H. Time-varying Combinations of Predictive Densities using Nonlinear Filtering in JOURNAL OF ECONOMETRICS, vol. 177, pp. 213-232 (ISSN 0304-4076) DOI - Scheda ARCA: 10278/37272 |
2013 | Articolo su libro |
CASARIN R.; SARTORE D.; TRONZANO M. A Bayesian Stochastic Correlation Model for Exchange Rates , Advances in Latent Variables, Vita e Pensiero, pp. 1-6 (ISBN 9788834325568) - Scheda ARCA: 10278/37783 |
2013 | Articolo su libro |
Martino L.; Casarin R.; Leisen F.; Luengo D. Adaptive Sticky Generalized Metropolis , Adaptive Sticky Generalized Metropolis, Dipartimento di Economia, Università Ca' Foscari Venezia, pp. 1-35 (ISSN 1827-3580) - Scheda ARCA: 10278/38345 |
2013 | Articolo su libro |
Casarin R.; Sartore D.; Tronzano M. Bayesian Markov Switching Stochastic Correlation Models , Bayesian Markov Switching Stochastic Correlation Models, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 11/WP/2013, pp. 1-35 (ISSN 1827-3580) - Scheda ARCA: 10278/38603 |
2013 | Articolo su libro |
Bassetti F.; Casarin R.; Leisen F. Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference , Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference, Dipartimento di Economia, Università Ca' Foscari Venezia, pp. 1-40 (ISSN 1827-3580) - Scheda ARCA: 10278/38344 |
2013 | Articolo su libro |
Billio M.; Casarin R.; Ravazzolo F.; van Dijk H. K. Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model , Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model, Norges Bank, vol. 2013/20, pp. 1-40 (ISBN 9788275536677) (ISSN 1502-8143) - Scheda ARCA: 10278/38625 |
2013 | Articolo su libro |
BILLIO M.; CASARIN R.; OSUNTUYI A. Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets , Advances in Latent Variables, Vita e Pensiero, pp. 1-6 (ISBN 9788834325568) - Scheda ARCA: 10278/37782 |
2013 | Articolo su libro |
Casarin R.; Grassi S.; Ravazzolo F.; van Dijk H. K. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox , Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Tinbergen Institute, vol. 2013-055/III, pp. 1-35 (ISSN 0929-0834) - Scheda ARCA: 10278/38590 |
2013 | Articolo su libro |
Casarin R.; Grassi S.; Ravazzolo F.; van Dijk H.K. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox , Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 08/WP/2013, pp. 1-30 (ISSN 1827-3580) - Scheda ARCA: 10278/38602 |
2012 | Articolo su rivista |
CASARIN R.; DALLA VALLE L.; LEISEN F. Bayesian Model Selection for Beta Autoregressive Processes in BAYESIAN ANALYSIS, vol. 7, pp. 1-26 (ISSN 1936-0975) DOI - Scheda ARCA: 10278/30333 |
2012 | Articolo su rivista |
BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Combination Schemes for Turning Point Predictions in THE QUARTERLY REVIEW OF ECONOMICS AND FINANCE: JOURNAL OF THE MIDWEST ECONOMICS ASSOCIATION, vol. 52, pp. 402-412 (ISSN 1062-9769) DOI - Scheda ARCA: 10278/39433 |
2012 | Articolo su libro |
Ahelegbey D.F.; Billio M.; Casarin R. Bayesian Graphical Models for Structural Vector Autoregressive Processes , Bayesian Graphical Models for Structural Vector Autoregressive Processes, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 36/WP/2012, pp. 1-35 (ISSN 1827-3580) - Scheda ARCA: 10278/38368 |
2012 | Articolo su libro |
M. Billio; R. Casarin; HK Van Dijk; F. Ravazzolo Combination schemes for turning point prediction , 1512, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 1512, pp. 1-32 (ISSN 1827-3580) DOI - Scheda ARCA: 10278/25625 |
2012 | Articolo su libro |
M. Billio; R. Casarin; H.K. van Dijk; F. Ravazzolo Combining predictive densities using Bayesian filtering with applications to US economics data , 1612, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 1612, pp. 1-39 (ISSN 1827-3580) - Scheda ARCA: 10278/33612 |
2012 | Articolo su libro |
Billio M.; Casarin R.; Osuntuyi A. Efficient Gibbs Sampling for Markov Switching GARCH Models , Efficient Gibbs Sampling for Markov Switching GARCH Models, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 35/WP/2012, pp. 1-30 (ISSN 1827-3580) - Scheda ARCA: 10278/38410 |
2012 | Articolo su libro |
CASARIN R.; SQUAZZONI F. Financial press and stock markets in times of crisis , WORKING PAPER DEPARTMENT OF ECONOMICS, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 04/WP/2012, pp. 1-27 (ISSN 1827-3580) - Scheda ARCA: 10278/31563 |
2012 | Articolo in Atti di convegno |
CASARIN R.; CRAIU R.; LEISEN F. Interacting Multiple-Try Algorithms , Proceedings of the XLVI Scientific Meeting SIS, Padova, CLEUP, Convegno: Scientific Meeting SIS (ISBN 9788861298828) - Scheda ARCA: 10278/34174 |
2011 | Articolo su rivista |
BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index in MEDIUM ECONOMETRISCHE TOEPASSINGEN, vol. 18(3), pp. 1-8 (ISSN 1389-9244) - Scheda ARCA: 10278/30073 |
2011 | Articolo su rivista |
BILLIO M.; CASARIN R. Beta Autoregressive Transition Markov-switching Models for Business Cycle Analysis in STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, vol. 15(4), pp. 1-32 (ISSN 1081-1826) DOI - Scheda ARCA: 10278/28929 |
2011 | Articolo su libro |
BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index , Discussion Paper - Tinbergen Institute, Tinbergen Institute, vol. 11-082/4, pp. 1-25 (ISSN 0929-0834) - Scheda ARCA: 10278/32119 |
2011 | Articolo su libro |
BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Combination schemes for turning point prediction , Discussion Paper - Tinbergen Institute, Tinbergen Institute, vol. 11-123/4, pp. 1-25 (ISSN 0929-0834) - Scheda ARCA: 10278/32611 |
2011 | Articolo su libro |
CASARIN R.; CHANG C.-L.; JIMENEZ-MARTIN J.A.; MCALEER M.; PEREZ AMARAL T. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures , REPORT - ECONOMETRIC INSTITUTE, ERASMUS UNIVERSITY ROTTERDAM, Erasmus University Rotterdam, Econometric Institute, vol. EI2011-29, pp. 1-30 (ISSN 1566-7294) - Scheda ARCA: 10278/32899 |
2011 | Abstract in Atti di convegno |
CASARIN R.; CRAIU R.; LEISEN F. Interacting Multiple-Try Algorithms with Different Proposal Functions , Proceedings Applied Stochastic Models and Data Analysis, Pisa, ETS, Convegno: ASMDA Meeting 2011 (ISBN 9788846730459) - Scheda ARCA: 10278/30674 |
2010 | Articolo su rivista |
BILLIO M.; R. CASARIN Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods: an on-line and real time application to the Euro area in JOURNAL OF FORECASTING, vol. 1-2, pp. 145-167 (ISSN 0277-6693) DOI - Scheda ARCA: 10278/29700 |
2010 | Articolo su rivista |
CASARIN R.; VERGALLI S. Natural Disasters and International Insurance Market Stability in EQUILIBRI, vol. 3, pp. 558-568 (ISSN 1594-7580) DOI - Scheda ARCA: 10278/4393 |
2010 | Articolo su libro |
BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Combining predictive densities using Bayesian filtering with applications to US economics data , Norges Bank Working Papers, Norges Bank, vol. 2010/29, pp. 1-25 (ISBN 9788275536677) - Scheda ARCA: 10278/32630 |
2009 | Articolo su rivista |
CASARIN R.; ROBERT C. P A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N. in JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, vol. 71(2), pp. 359-360 (ISSN 1369-7412) - Scheda ARCA: 10278/30441 |
2009 | Articolo su rivista |
MARIN J.-M;CASARIN R.;ROBERT C. P A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N. in JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, vol. 71(2), pp. 360-362 (ISSN 1369-7412) - Scheda ARCA: 10278/4318 |
2009 | Articolo su rivista |
CASARIN R.; MARIN J.-M Online data processing: Comparison of Bayesian regularized particle filters in ELECTRONIC JOURNAL OF STATISTICS, vol. 3, pp. 239-258 (ISSN 1935-7524) DOI - Scheda ARCA: 10278/4319 |
2008 | Monografia o trattato scientifico |
CASARIN R. Solution Manual for Selected Problems, The Bayesian Choice, 2nd Ed. and Paperback Ed., C. P. Robert.Springer Verlag , Springer Verlag (ISBN 9780387715988) - Scheda ARCA: 10278/4320 |
2008 | Articolo su rivista |
CASARIN R; PIVA A; PELIZZON L. Italian Equity Funds: Efficiency and Performance Persistence in THE ICFAI JOURNAL OF FINANCIAL ECONOMICS, vol. 6, pp. 7-28 (ISSN 0972-9151) - Scheda ARCA: 10278/25531 |
2008 | Articolo su libro |
CASARIN R; PIVA A; PELIZZON L. Italian Equity Funds: Efficiency and Performance Persistence , WORKING PAPER, DEPARTMENT OF ECONOMICS, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 12/WP/2008, pp. 1-23 (ISSN 1827-3580) - Scheda ARCA: 10278/31308 |
2007 | Articolo su rivista |
CASARIN R.; BILLIO M. Stochastic Optimisation for Allocation Problem with Shortfall Risk Constraints in APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, vol. 23/3, pp. 247-271 (ISSN 1524-1904) DOI - Scheda ARCA: 10278/30240 |
2007 | Articolo su libro |
BILLIO M; CASARIN R; SARTORE D. Bayesian Inference on Dynamic Models with Latent Factors in MAZZI G L; SAVIO G, Growth and Cycle in the Euro-zone, BASINGSTOKE, HANTS, Palgrave Macmillan, vol. 1, pp. 25-44 (ISBN 9780230007901) - Scheda ARCA: 10278/28401 |
2007 | Articolo su libro |
BILLIO M.; CASARIN R.; SARTORE D. Bayesian inference in dynamic models with latent factors , WORKING PAPER DEPARTMENT OF ECONOMICS, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 34/WP/2007, pp. 1-30 (ISSN 1827-3580) - Scheda ARCA: 10278/32900 |
2007 | Articolo su libro |
CASARIN R.; MARIN J.-M. Online data processing: Comparison of Bayesian regularized particle filters , Rapports de recherche INRIA, INRIA, vol. 6153, pp. 1-25 (ISSN 0249-6399) - Scheda ARCA: 10278/32631 |
2007 | Articolo in Atti di convegno |
CASARIN R.;SARTORE D. Matrix-state particle filters for Wishart stochastic volatility processes , Proceedings SIS, 2007 Intermediate Conference, Risk and Prediction, PADOVA, CLEUP Padova, vol. UNICO, pp. 399-409, Convegno: SIS, 2007 (ISBN 9788861290938) - Scheda ARCA: 10278/4390 |
2007 | Articolo in Atti di convegno |
AMISANO G.;CASARIN R. Particle Filters for Markov Switching Stochastic Correlation Models , Proceedings of the SIS 2007 Intermediate Conference "Risk and Prediction", PADOVA, Cleup, vol. UNICO, pp. 305-316, Convegno: SIS, 2007-6-8 Giugno (ISBN 9788861290938) - Scheda ARCA: 10278/4389 |
2006 | Articolo su libro |
CASARIN R.; TRECROCI C. Business Cycle and Stock Market Volatility: A Particle Filter Approach , Cahier du CEREMADE, Universitè Paris Dauphine, vol. Cahiers du CEREMADE, N. 0610, pp. 1-36 - Scheda ARCA: 10278/34219 |
2005 | Monografia o trattato scientifico |
CASARIN R.; JOUTARD C; TAYEB A Solution Manual for Selected Problems, Monte Carlo Statistical Methods, 2nd Edition, Christian P. Robert and George Casella , Springer Verlag (ISBN 0387212396) - Scheda ARCA: 10278/4386 |
2005 | Articolo su rivista |
CASARIN R; LAZZARIN M; PELIZZON L; SARTORE D. Relative benchmark rating and persistence analysis: Evidence from Italian equity funds in EUROPEAN JOURNAL OF FINANCE, vol. 11, pp. 297-308 (ISSN 1351-847X) DOI - Scheda ARCA: 10278/31185 |
2005 | Articolo su rivista |
CASARIN R. Simulation Methods for Nonlinear and Non-Gaussian Models in Finance, Premio SIE in RIVISTA ITALIANA DEGLI ECONOMISTI, vol. 2, pp. 341-345 (ISSN 1593-8662) DOI - Scheda ARCA: 10278/39520 |
2005 | Altro |
BILLIO M.; CASARIN R Stochastic Optimisation for Allocation Problem with Shortfall Risk Constraints - Scheda ARCA: 10278/5228 |
2004 | Articolo su libro |
CASARIN R. Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models , Cahiers du CEREMADE, CEREMADE, Universitè Paris Dauphine, vol. Cahier du CEREMADE N. 0414, pp. 1-35 - Scheda ARCA: 10278/33592 |
2004 | Articolo su libro |
CASARIN R. Bayesian Inference for Mixture of Stable Distributions , Cahiers du CEREMADE, CEREMADE, Universitè Paris Dauphine, vol. Cahier du CEREMADE N. 0428, pp. 1-40 - Scheda ARCA: 10278/33591 |
2004 | Articolo su libro |
CASARIN R. Bayesian Monte Carlo Filtering for Stochastic Volatility Models , Cahier du CEREMADE, CEREMADE, Universitè Paris Dauphine, vol. Cahier du CEREMADE N. 0415, pp. 1-27 - Scheda ARCA: 10278/36720 |
2003 | Articolo su libro |
CASARIN R.; PELIZZON L.; PIVA A. Italian Equity Funds: Efficiency and Performance Persistence in BASSO A.; PIANCA F., Rendiconti per gli Studi Economici Quantitativi - Scheda ARCA: 10278/9141 |
2003 | Articolo in Atti di convegno |
CASARIN R. Bayesian Inference for Mixture of Stable Distributions , Atti del Convegno Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, Statistics Department, University of Venice, vol. UNICO, Convegno: Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, 2003-4-6 Semptember - Scheda ARCA: 10278/4388 |
2003 | Articolo in Atti di convegno |
BILLIO M.;CASARIN R. Extreme Returns in a Shortfall Risk Framework , Atti della giornata di studio Metodi Numerici per la Finanza, Venice, Applied Mathematics Department, University of Veni, vol. UNICO, Convegno: giornata di studio Metodi Numerici per la Finanza, 2003-30 Maggio (ISBN 9788888037066) - Scheda ARCA: 10278/4387 |
2003 | Articolo in Atti di convegno |
CASARIN R.;PELIZZON L.;PIVA A. Italian Equity Funds: Efficiency and Performance Persistence , Atti della giornata di studio Metodi Numerici per la Finanza, Applied Mathematics Department, University of Venice, vol. UNICO, Convegno: giornata di studio Metodi Numerici per la Finanza, 2003-30 Maggio (ISBN 9788888037066) - Scheda ARCA: 10278/4392 |
2003 | Working paper |
BILLIO M.; CASARIN R.; SARTORE D. Bayesian inference in dynamic models with latent factors , Office for Official Publications of the European Communities (ISBN 9289468343) - Scheda ARCA: 10278/31574 |
2002 | Articolo in Atti di convegno |
CASARIN R.;GOBBO M. Metodi Monte Carlo per la Valutazione di Opzioni Finanziarie , Atti della Scuola Estiva in Finanza Quantitativa, Applied Mathematics Department, University of Venice, vol. UNICO, Convegno: Scuola Estiva in Finanza Quantitativa, 2002 (ISBN 9788888037004) - Scheda ARCA: 10278/4391 |
2002 | Altro |
BILLIO M.; CASARIN R; TONIOLO G Extreme returns in a shortfall risk framework - Scheda ARCA: 10278/5175 |
2000 | Articolo su libro |
BILLIO M.; CASARIN R.; MEHU C.; SARTORE D. Investment Styles in the European Equity Market in C. DUNIS (EDITOR), Advances in Quantitative Asset Management, DORDRECHT, Kluwer Academic P., pp. 61-88 (ISBN 9780792377788) - Scheda ARCA: 10278/12767 |