Roberto Casarin

发表

Computational Complexity and Parallelization in Bayesian Econometric Analysis

Herman K. van Dijk, Nalan Basturk, Roberto Casarin, 2016 .

Sticky proposal densities for adaptive MCMC methods

Luca Martino, David Luengo, Roberto Casarin, 2016, 2016 IEEE Statistical Signal Processing Workshop (SSP).

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Herman K. van Dijk, Roberto Casarin, Francesco Ravazzolo, 2013 .

Sequential clustering based on Dirichlet Process Priors

Roberto Casarin, Stefano Federico Tonellato, Andrea Pastore, 2016 .

Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis

Roberto Casarin, Monica Billio, Monica Billio, 2010 .

Probabilistic Calibration of Predictive Distributions

Roberto Casarin, Francesco Ravazzolo, T. Gneiting, 2014 .

Sparse Graphical Multivariate Autoregression: A Bayesian approach

Roberto Casarin, Daniel Felix Ahelegbey, Monica Billio, 2016 .

Interacting Multiple-Try Algorithms with Different Proposal Functions

Roberto Casarin, Fabrizio Leisen, Radu V. Craiu, 2011 .

Disagreement in Signed Financial Networks

Roberto Casarin, Monica Billio, Costola Michele, 2018 .

Bayesian Panel Markov-Switching model with interacting Markov chains

Roberto Casarin, Monica Billio, Komla Mawulom Agudze, 2014 .

Embarrassingly Parallel Sequential Markov-chain Monte Carlo for Large Sets of Time Series

Roberto Casarin, Fabrizio Leisen, Radu V. Craiu, 2015, 1512.01496.

Bayesian Tensor Binary Regression

Roberto Casarin, Monica Billio, Matteo Iacopini, 2018 .

Sparse BGVAR models for Systemic Risk Analysis

Roberto Casarin, Daniel Felix Ahelegbey, Monica Billio, 2015 .

Resilience of an online financial community to market uncertainty shocks during the recent financial crisis

Roberto Casarin, Flaminio Squazzoni, Pierpaolo Dondio, 2016, J. Comput. Sci..

DATA PROCESSING : COMPARISON OF BAYESIAN REGULARIZED PARTICLE FILTERS by Roberto Casarin

Jean-Michel Marin, Roberto Casarin, J. Marin, 2007 .

Interacting multiple try algorithms with different proposal distributions

Roberto Casarin, Fabrizio Leisen, Radu V. Craiu, 2010, Statistics and Computing.

A Stochastic Volatility Model With Realized Measures for Option Pricing

Roberto Casarin, Giacomo Bormetti, Fulvio Corsi, 2019, Journal of Business & Economic Statistics.

Bayesian Inference for Markov Switching Stochastic Volatility Models

Roberto Casarin, R. Casarin, 2004 .

Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance

Roberto Casarin, Stefano Grassi, H. K. van Dijk, 2019, SSRN Electronic Journal.

Interacting Multiple Try Algorithms

Roberto Casarin, Fabrizio Leisen, Radu V. Craiu, 2012 .

Hierarchical Species Sampling Models

Roberto Casarin, Federico Bassetti, Luca Rossini, 2018, 1803.05793.

Combination Schemes for Turning Point Predictions

Herman K. van Dijk, Roberto Casarin, Francesco Ravazzolo, 2011, The Quarterly Review of Economics and Finance.

Combinations Schemes for Turning Points Predictions

Herman K. van Dijk, Roberto Casarin, Francesco Ravazzolo, 2011 .

Multilayer network analysis of oil linkages

Roberto Casarin, Enrique ter Horst, German Molina, 2020 .

Adaptive independent sticky MCMC algorithms

Luca Martino, David Luengo, Roberto Casarin, 2013, EURASIP J. Adv. Signal Process..

What makes a tweet be retweeted? A Bayesian trigram analysis of tweet propagation during the 2015 Colombian political campaign

Roberto Casarin, Jorge E. Camargo, Silvana Dakduk, 2019, J. Inf. Sci..

Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods

Roberto Casarin, Monica Billio, Monica Billio, 2008 .

Bayesian Dynamic Tensor Regression

Roberto Casarin, Monica Billio, Matteo Iacopini, 2017, Journal of Business & Economic Statistics.

Simulation methods for nonlinear and non-gaussian models in finance

Roberto Casarin, R. Casarin, 2004 .

Efficient Gibbs Sampling for Markov Switching GARCH Models

Roberto Casarin, Monica Billio, Anthony Osuntuyi, 2012, Comput. Stat. Data Anal..

Markov Switching Panel with Network Interaction Effects

Roberto Casarin, Francesco Ravazzolo, Monica Billio, 2018 .

Bayesian nonparametric sparse VAR models

Roberto Casarin, Luca Rossini, Monica Billio, 2016, Journal of Econometrics.

Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering

Vu, Roberto Casarin, Francesco Ravazzolo, 2012 .

COVID-19 Spreading in Financial Networks: A Semiparametric Matrix Regression Model

Roberto Casarin, Monica Billio, Matteo Iacopini, 2021 .

A Matrix-Variate t Model for Networks

Roberto Casarin, Monica Billio, Matteo Iacopini, 2021, Frontiers in Artificial Intelligence.

Markov switching panel with endogenous synchronization effects

Roberto Casarin, Francesco Ravazzolo, Monica Billio, 2021 .

Living on the Edge: An Unified Approach to Antithetic Sampling

Christian P. Robert, Roberto Casarin, Radu V. Craiu, 2021, 2110.15124.

Bayesian Inference for Mixtures of Stable Distributions

Roberto Casarin, R. Casarin, 2004 .

Matrix-State Particle Filter for Wishart Stochastic Volatility Processes

Roberto Casarin, Domenico Sartore, R. Casarin, 2007 .

Solution Manual for Selected Problems, Monte Carlo Statistical Methods, 2nd Edition, Christian P. Robert and George Casella

Roberto Casarin, C Joutard, A. Tayeb, 2005 .

Discussion on"Sparse graphs using exchangeable random measures"by F. Caron and E. B. Fox

Roberto Casarin, Luca Rossini, Matteo Iacopini, 2017, 1705.03655.

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Roberto Casarin, Francesco Ravazzolo, Monica Billio, 2013 .

A Bayesian Stochastic Correlation Model for Exchange Rates

Roberto Casarin, Domenico Sartore, M. Tronzano, 2013 .

An Entropy-Based Early Warning Indicator for Systemic Risk

Roberto Casarin, Monica Billio, Andrea Pasqualini, 2015 .

Bayesian Monte Carlo Filtering for Stochastic Volatility Models

Roberto Casarin, R. Casarin, 2004 .

Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities

Roberto Casarin, Flaminio Squazzoni, Pierpaolo Dondio, 2015 .

Financial Bridges and Network Communities

Roberto Casarin, Michele Costola, R. Casarin, 2018 .

A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N.

Jean-Michel Marin, Roberto Casarin, C. P Robert, 2009 .

Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index

Herman K. van Dijk, Roberto Casarin, Francesco Ravazzolo, 2011 .

Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox

Roberto Casarin, Francesco Ravazzolo, Stefano Grassi, 2014 .

Bayesian Inference on Dynamic Models with Latent Factors

Roberto Casarin, Monica Billio, Domenico Sartore, 2007, SSRN Electronic Journal.

Bayesian Inference for Mixture of Stable Distributions

Roberto Casarin, R. Casarin, 2003 .

A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets

Roberto Casarin, Domenico Sartore, R. Casarin, 2018 .

Bayesian Markov Switching Tensor Regression For Time-Varying Networks

Roberto Casarin, Monica Billio, Matteo Iacopini, 2017, Journal of the American Statistical Association.

Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty

Roberto Casarin, Flaminio Squazzoni, Pierpaolo Dondio, 2015, PloS one.

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economics Data

Herman K. van Dijk, Roberto Casarin, Francesco Ravazzolo, 2010, SSRN Electronic Journal.

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Roberto Casarin, Francesco Ravazzolo, Monica Billio, 2013 .

Extreme returns in a shortfall risk framework

Roberto Casarin, Monica Billio, Monica Billio, 2002 .

Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets

Roberto Casarin, Monica Billio, Anthony Osuntuyi, 2013, Energy Economics.

Sparse Graphical Vector Autoregression: A Bayesian Approach

Roberto Casarin, Daniel Felix Ahelegbey, Monica Billio, 2014 .

Particle Filters for Markov-Switching Stochastic-Correlation Models

Roberto Casarin, Gianni Amisano, R. Casarin, 2008 .

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economics Data

Roberto Casarin, Francesco Ravazzolo, Monica Billio, 2010 .

Original article: Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures

Michael McAleer, Roberto Casarin, Chia-Lin Chang, 2011 .

Bayesian Nonparametric Calibration and Combination of Predictive Distributions

Roberto Casarin, Francesco Ravazzolo, Federico Bassetti, 2015, 1502.07246.

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Roberto Casarin, Francesco Ravazzolo, Stefano Grassi, 2015 .

Bayesian Calibration of Generalized Pools of Predictive Distributions

Roberto Casarin, Francesco Ravazzolo, F. Ravazzolo, 2016 .

Being on the Field When the Game Is Still Under Way. The Financial Press and Stock Markets in Times of Crisis

Roberto Casarin, Flaminio Squazzoni, R. Casarin, 2013, PloS one.