Roberto Casarin : Citation Profile


Are you Roberto Casarin?

Università Ca' Foscari Venezia (47% share)
Scuola Superiore di Economia (SSE-Ca' Foscari) (47% share)
Gruppo di Ricerca Economica Teorica e Applicata (GRETA) (6% share)

10

H index

10

i10 index

275

Citations

RESEARCH PRODUCTION:

9

Articles

54

Papers

RESEARCH ACTIVITY:

   13 years (2005 - 2018). See details.
   Cites by year: 21
   Journals where Roberto Casarin has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 36 (11.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca216
   Updated: 2018-12-08    RAS profile: 2016-03-29    
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Relations with other researchers


Works with:

Ravazzolo, Francesco (15)

van Dijk, Herman (11)

Billio, Monica (11)

Grassi, Stefano (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Roberto Casarin.

Is cited by:

Ravazzolo, Francesco (25)

Fedele, Alessandro (21)

van Dijk, Herman (15)

minelli, enrico (14)

Chang, Chia-Lin (14)

Polemarchakis, Herakles (14)

Panteghini, Paolo (14)

Menoncin, Francesco (14)

McAleer, Michael (13)

LEVAGGI, ROSELLA (10)

Jimenez-Martin, Juan (9)

Cites to:

Billio, Monica (45)

Ravazzolo, Francesco (41)

van Dijk, Herman (33)

McAleer, Michael (31)

Watson, Mark (15)

Diebold, Francis (15)

Harding, Don (14)

Hamilton, James (13)

amisano, gianni (13)

Mitchell, James (13)

Giannone, Domenico (11)

Main data


Where Roberto Casarin has published?


Journals with more than one article published# docs
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / Department of Economics, University of Venice "Ca' Foscari"20
Working Papers / University of Brescia, Department of Economics9
Tinbergen Institute Discussion Papers / Tinbergen Institute9
Working Papers / Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School2
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2

Recent works citing Roberto Casarin (2018 and 2017)


YearTitle of citing document
2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

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2018Bayesian nonparametric sparse VAR models. (2018). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Papers. RePEc:arx:papers:1608.02740.

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2017Sparse Bayesian time-varying covariance estimation in many dimensions. (2017). Kastner, Gregor. In: Papers. RePEc:arx:papers:1608.08468.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2018Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738.

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2018Stochastic model specification in Markov switching vector error correction models. (2018). Zoerner, Thomas ; Pfarrhofer, Michael ; Huber, Florian ; Zorner, Thomas O. In: Papers. RePEc:arx:papers:1807.00529.

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2017Model averaging in markov-switching models: predicting national recessions with regional data. (2017). Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1727.

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2017Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751.

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2017Compound random measures and their use in Bayesian non-parametrics. (2017). Griffin, Jim E ; Leisen, Fabrizio. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:2:p:525-545.

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2017Quantile Aggregation of Density Forecasts. (2017). Busetti, Fabio. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:4:p:495-512.

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2017Residential investment and recession predictability. (2017). Herstad, Eyo ; Anundsen, Andre ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0057.

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2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4.

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2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model. (2017). Ravazzolo, Francesco ; Marcellino, Massimiliano ; Foroni, Claudia ; Casarin, Roberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12339.

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2018Chinese policy uncertainty shocks and the world macroeconomy: Evidence from STVAR. (2018). Fontaine, Idriss ; Didier, Laurent ; Razafindravaosolonirina, Justinien. In: China Economic Review. RePEc:eee:chieco:v:51:y:2018:i:c:p:1-19.

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2018Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408.

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2017Model averaging in Markov-switching models: Predicting national recessions with regional data. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:45-49.

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2017Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. (2017). Gruber, Lutz F ; West, Mike. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:3-22.

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2018Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model. (2018). GUPTA, RANGAN ; Marco, Chi Keung ; Hosseini, Seyed Mehdi ; Bouri, Elie. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:124-142.

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2017Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates. (2017). Fries, Christian P ; Seeger, Norman ; Nigbur, Tobias . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:175-198.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2018Markov switching GARCH models for Bayesian hedging on energy futures markets. (2018). Billio, Monica ; Osuntuyi, Anthony ; Casarin, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:545-562.

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2018What do professional forecasters actually predict?. (2018). van der Wel, Michel ; Paap, Richard ; Nibbering, Didier . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:288-311.

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2018Combining predictive distributions for the statistical post-processing of ensemble forecasts. (2018). Baran, Sandor ; Lerch, Sebastian. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:477-496.

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2017Uncertainty and employment dynamics in the euro area and the US. (2017). Netšunajev, Aleksei ; Glass, Katharina ; Netunajev, Aleksei. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:51:y:2017:i:c:p:48-62.

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2018Causality between oil shocks and exchange rate: A Bayesian, graph-based VAR approach. (2018). Yin, Libo ; Ma, Xiyuan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:434-453.

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2018Measuring management practices. (2018). Delis, Manthos ; Tsionas, Mike G. In: International Journal of Production Economics. RePEc:eee:proeco:v:199:y:2018:i:c:p:65-77.

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2017Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach. (2017). Teye, Alfred Larm ; Ahelegbey, Daniel Felix . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:65:y:2017:i:c:p:56-64.

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2017The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1702.

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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2018-02.

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2018Monetary Policy across Space and Time. (2018). Liu, Laura ; Petrova, Katerina ; Matthes, Christian. In: Working Paper. RePEc:fip:fedrwp:18-14.

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2018Modeling Systemic Risk with Markov Switching Graphical SUR Models. (2018). Guidolin, Massimo ; Billio, Monica ; Casarin, Roberto ; Bianchi, Daniele. In: Working Papers. RePEc:igi:igierp:626.

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2018Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility. (2018). Leon-Gonzalez, Roberto. In: GRIPS Discussion Papers. RePEc:ngi:dpaper:17-16.

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2018Multivariate Stochastic Volatility with Co-Heteroscedasticity. (2018). Leon-Gonzalez, Roberto ; Chan, Joshua ; Strachan, Rodney W ; Doucet, Arnaud. In: GRIPS Discussion Papers. RePEc:ngi:dpaper:18-12.

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2017Bayesian analysis of chaos: The joint return-volatility dynamical system. (2017). Tsionas, Mike ; Michaelides, Panayotis. In: MPRA Paper. RePEc:pra:mprapa:80632.

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2018The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis. (2018). Camilleri, Silvio ; Farrugia, Ritienne. In: MPRA Paper. RePEc:pra:mprapa:87070.

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2017Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model. (2017). Lau, Chi Keung ; GUPTA, RANGAN ; Bouri, Elie ; Hosseini, Seyedmehdi ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201704.

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2018A Bayesian dynamic model to test persistence in funds performance. (2018). mamatzakis, emmanuel ; Tsionas, Mike. In: Working Paper series. RePEc:rim:rimwps:18-23.

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2018Bayesian identification of structural vector autoregression models. (2018). Khabibullin, Ramis ; Arefiev, Nikolay . In: Applied Econometrics. RePEc:ris:apltrx:0340.

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2018Stochastic model specification in Markov switching vector error correction models. (2018). Pfarrhofer, Michael ; Huber, Florian ; Zorner, Thomas O. In: Working Papers in Economics. RePEc:ris:sbgwpe:2018_003.

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2017The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/3l2vounfl99nvqsr0k24sn3k5l.

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2018Efficient MCMC estimation of inflated beta regression models. (2018). Li, Phillip. In: Computational Statistics. RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0747-x.

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2018Financial crises and time-varying risk premia in a small open economy: a Markov-switching DSGE model for Estonia. (2018). Blagov, Boris. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1256-z.

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2018Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics. (2018). Steel, Mark ; Kalli, Maria ; Griffin, Jim . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:2:d:10.1007_s10260-017-0384-0.

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2017The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia. In: LEM Papers Series. RePEc:ssa:lemwps:2017/04.

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2018Combined Density Nowcasting in an Uncertain Economic Environment. (2018). van Dijk, Herman ; Ravazzolo, Francesco ; Aastveit, Knut Are. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:36:y:2018:i:1:p:131-145.

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2018Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies. (2018). Basturk, Nalan ; van Dijk, Herman ; Hoogerheide, Lennart ; Grassi, Stefano ; Borowska, Agnieszka. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180076.

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2018Bayesian Markov Switching Tensor Regression for Time-varying Networks. (2018). Billio, Monica ; Iacopini, Matteo ; Casarin, Roberto. In: Working Papers. RePEc:ven:wpaper:2018:14.

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2018A scoring rule for factor and autoregressive models under misspecification. (2018). Casarin, Roberto ; Sartore, Domenico ; Ravazzolo, Francesco ; Corradin, Fausto . In: Working Papers. RePEc:ven:wpaper:2018:18.

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2017Estimation of agent-based models using sequential Monte Carlo methods. (2017). Lux, Thomas. In: Economics Working Papers. RePEc:zbw:cauewp:201707.

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2018Financial bridges and network communities. (2018). Casarin, Roberto ; Yenerdag, Erdem ; Costola, Michele. In: SAFE Working Paper Series. RePEc:zbw:safewp:208.

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Works by Roberto Casarin:


YearTitleTypeCited
2013Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox In: CREATES Research Papers.
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2014Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox.(2014) In: Working Paper.
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2015Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox.(2015) In: Tinbergen Institute Discussion Papers.
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2013Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers.
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2014A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities In: Papers.
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2014A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities.(2014) In: Working Papers.
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2010Combining predictive densities using Bayesian filtering with applications to US economics data In: Working Paper.
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2011Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data.(2011) In: Tinbergen Institute Discussion Papers.
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2012Combining predictive densities using Bayesian filtering with applications to US economic data.(2012) In: Working Papers.
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2012Combination schemes for turning point predictions In: Working Paper.
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2012Combination schemes for turning point predictions.(2012) In: The Quarterly Review of Economics and Finance.
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2011Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers.
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2012Combination schemes for turning point predictions.(2012) In: Working Papers.
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2013Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Paper.
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2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
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2014Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model.(2014) In: Tinbergen Institute Discussion Papers.
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2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
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2015Bayesian nonparametric calibration and combination of predictive distributions In: Working Paper.
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2015Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2015) In: Working Papers.
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2015Dynamic predictive density combinations for large data sets in economics and finance In: Working Paper.
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2017Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance.(2017) In: Tinbergen Institute Discussion Papers.
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2018Markov Switching Panel with Network Interaction Effects In: Working Papers.
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2011Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis In: Studies in Nonlinear Dynamics & Econometrics.
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2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures In: Working Papers in Economics.
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2013Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures.(2013) In: Mathematics and Computers in Simulation (MATCOM).
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2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures.(2011) In: Econometric Institute Research Papers.
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2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures.(2011) In: KIER Working Papers.
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2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures.(2011) In: Documentos de Trabajo del ICAE.
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2011Beta-product Poisson-Dirichlet Processes In: DES - Working Papers. Statistics and Econometrics. WS.
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2011Interacting multiple -- Try algorithms with different proposal distributions In: DES - Working Papers. Statistics and Econometrics. WS.
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2013Time-varying combinations of predictive densities using nonlinear filtering In: Journal of Econometrics.
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2012Time-varying Combinations of Predictive Densities using Nonlinear Filtering.(2012) In: Tinbergen Institute Discussion Papers.
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2014Beta-product dependent Pitman–Yor processes for Bayesian inference In: Journal of Econometrics.
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2013Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference.(2013) In: Working Papers.
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2008Italian Equity Funds: Efficiency and Performance Persistence In: The IUP Journal of Financial Economics.
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2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
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2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
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2010Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area In: Journal of Forecasting.
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2015Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities In: Journal of Financial Management, Markets and Institutions.
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2005Relative benchmark rating and persistence analysis: Evidence from Italian equity funds In: The European Journal of Finance.
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2011Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index In: Tinbergen Institute Discussion Papers.
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2011Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data In: Tinbergen Institute Discussion Papers.
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2015Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode In: Tinbergen Institute Discussion Papers.
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2007Online data processing: comparison of Bayesian regularized particle filters In: Working Papers.
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2008Particle Filters for Markov-Switching Stochastic-Correlation Models In: Working Papers.
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2008Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods In: Working Papers.
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2008Matrix-State Particle Filter for Wishart Stochastic Volatility Processes In: Working Papers.
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2007Matrix-State Particle Filter for Wishart Stochastic Volatility Processes.(2007) In: Working Papers.
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2010Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis In: Working Papers.
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2005Stochastic Processes in Credit Risk Modelling In: Working Papers.
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2006Business Cycle and Stock Market Volatility: A Particle Filter Approach In: Working Papers.
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2006Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints In: Working Papers.
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2007Bayesian Inference on Dynamic Models with Latent Factors In: Working Papers.
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2012Efficient Gibbs Sampling for Markov Switching GARCH Models In: Working Papers.
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2012Bayesian Graphical Models for Structural Vector Autoregressive Processes In: Working Papers.
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2012Financial press and stock markets in times of crisis In: Working Papers.
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2013Bayesian Markov Switching Stochastic Correlation Models In: Working Papers.
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2013Adaptive Sticky Generalized Metropolis In: Working Papers.
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2014Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets In: Working Papers.
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2014Growth-cycle phases in China�s provinces: A panel Markov-switching approach In: Working Papers.
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2014A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices In: Working Papers.
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2014Sparse Graphical Vector Autoregression: A Bayesian Approach In: Working Papers.
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2015An entropy-based early warning indicator for systemic risk In: Working Papers.
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