Roberto Casarin : Citation Profile

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)

16

H index

22

i10 index

752

Citations

RESEARCH PRODUCTION:

46

Articles

88

Papers

2

Chapters

RESEARCH ACTIVITY:

   20 years (2005 - 2025). See details.
   Cites by year: 37
   Journals where Roberto Casarin has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 76 (9.18 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca216
   Updated: 2025-12-13    RAS profile: 2024-12-06    
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Relations with other researchers

Works with:

Billio, Monica (13)

Ravazzolo, Francesco (7)

Lorusso, Marco (3)

Bjørnland, Hilde (3)

Ahelegbey, Daniel Felix (2)

Galdi, Giulio (2)

van Dijk, Herman (2)

Osuntuyi, Ayokunle (2)

Costantini, Mauro (2)

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

Is cited by:

Ahelegbey, Daniel Felix (45)

Huber, Florian (30)

Giudici, Paolo (28)

van Dijk, Herman (25)

Aastveit, Knut Are (24)

Maheu, John (24)

Fedele, Alessandro (21)

Ravazzolo, Francesco (20)

Chang, Chia-Lin (17)

Cross, Jamie (14)

Polemarchakis, Herakles (14)

Cites to:

Billio, Monica (119)

Ravazzolo, Francesco (106)

van Dijk, Herman (103)

Watson, Mark (53)

Diebold, Francis (38)

Koop, Gary (36)

Giannone, Domenico (34)

Reichlin, Lucrezia (34)

Korobilis, Dimitris (31)

Mitchell, James (28)

amisano, gianni (24)

Main data

Where Roberto Casarin has published?

Journals with more than one article published# docs
Journal of Econometrics6
Journal of Business & Economic Statistics4
Studies in Nonlinear Dynamics & Econometrics3
Energy Economics3
PLOS ONE2
Advances in Decision Sciences2
Journal of the American Statistical Association2
Econometrics2
Journal of Applied Econometrics2
Econometrics and Statistics2

Working Papers Series with more than one paper published# docs
Working Papers / Department of Economics, University of Venice "Ca' Foscari"27
Tinbergen Institute Discussion Papers / Tinbergen Institute13
Working Papers / University of Brescia, Department of Economics9
Papers / arXiv.org8
Working Papers / Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School5
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE2
BEMPS - Bozen Economics & Management Paper Series / Faculty of Economics and Management at the Free University of Bozen2
Working Paper series / Rimini Centre for Economic Analysis2
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2

Recent works citing Roberto Casarin (2025 and 2024)

YearTitle of citing document
2024Macroeconomic Spillovers of Weather Shocks across U.S. States. (2024). Moramarco, Graziano ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: FEEM Working Papers. RePEc:ags:feemwp:343506.

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2025Macroeconomic Spillovers of Weather Shocks across U.S. States. (2024). Moramarco, Graziano ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:2403.10907.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach. (2024). Wilms, Ines ; Hecq, Alain ; Ricardo, Ivan. In: Papers. RePEc:arx:papers:2407.07973.

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2024Bayesian modelling of VAR precision matrices using stochastic block networks. (2024). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Scheckel, Tobias. In: Papers. RePEc:arx:papers:2407.16349.

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2024Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression. (2024). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2408.12210.

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2024Hidden Markov graphical models with state-dependent generalized hyperbolic distributions. (2024). Petrella, Lea ; Merlo, Luca ; Foroni, Beatrice. In: Papers. RePEc:arx:papers:2412.03668.

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2025Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Barigozzi, Matteo ; Trapin, Luca. In: Papers. RePEc:arx:papers:2502.04112.

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2025Bayesian Outlier Detection for Matrix-variate Models. (2025). Billio, Monica ; Casarin, Roberto ; Peruzzi, Antonio ; Corradin, Fausto. In: Papers. RePEc:arx:papers:2503.19515.

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2025Large Language Models and Futures Price Factors in China. (2025). Zhou, Heyang ; Cheng, Yuhan ; Liu, Yanchu. In: Papers. RePEc:arx:papers:2509.23609.

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2024The Politics of the Paycheck Protection Program. (2024). Zhang, Eden ; Mishra, Prachi ; Lambert, Thomas ; Igan, Deniz. In: Working Papers. RePEc:ash:wpaper:133.

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2024Nowcasting Italian industrial production: the predictive role of lubricant oils. (2024). Ropele, Tiziano ; Fruzzetti, Marco. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_866_24.

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2025Unveiling natural gas consumption sectoral price elasticities. (2025). Favero, Filippo ; Emiliozzi, Simone. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_941_25.

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2024Measuring the connectedness of the Nigerian banking network and its implications for systemic risk. (2024). Kamah, Miriam ; Riti, Joshua. In: Modern Finance. RePEc:bdy:modfin:v:2:y:2024:i:2:p:96-119:id:111.

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2024Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility. (2024). Aastveit, Knut Are ; Cross, Jamie L ; van Dijk, Herman K ; Furlanetto, Francesco. In: Working Papers. RePEc:bny:wpaper:0130.

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2024Taylor Rules with Endogenous Regimes. (2024). Furlanetto, Francesco ; Cross, Jamie ; Aastveit, Knut Are ; van Dijk, Herman K. In: Working Papers. RePEc:bny:wpaper:0131.

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2024Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View. (2024). Herman, Van Dijk. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:155-176:n:12.

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2024Research on optimization strategy of futures hedging dependent on market state. (2024). Li, Yanyan ; Yu, Xing ; Zhao, Qian. In: Applied Energy. RePEc:eee:appene:v:373:y:2024:i:c:s0306261924012686.

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2024Belief-dependent pricing decisions. (2024). Turen, Javier ; Lluberas, Rodrigo ; Frache, Serafin. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s026499932300442x.

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2025Nature scenario plausibility: A dynamic Bayesian network approach. (2025). Senni, Chiara Colesanti ; Goel, Skand. In: Ecological Economics. RePEc:eee:ecolec:v:236:y:2025:i:c:s0921800925001302.

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2025Supervised factor modeling for high-dimensional linear time series. (2025). Lu, Kexin ; Huang, Feiqing ; Zheng, Yao ; Li, Guodong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000491.

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2024Industrial Connectedness and Business Cycle Comovements. (2024). Owyang, Michael ; Guisinger, Amy ; Soques, Daniel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:132-149.

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2024Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2024). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:34-56.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2024A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options. (2024). Guizzardi, Andrea ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194.

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2024Combining probabilistic forecasts of intermittent demand. (2024). Kang, Yanfei ; Wang, Shengjie ; Petropoulos, Fotios. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:1038-1048.

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2024Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain. (2024). Chen, Ying ; Peng, Hanqiu ; Trimborn, Simon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000641.

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2025Does Natural Gas Matter for Financial Stability? A SVAR-X Analysis on the European Financial System and Financial Intermediaries. (2025). Marzioni, Stefano ; Spallone, Marco ; Paccione, Cosimo ; Mur, Pina. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002397.

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2024The topological structure of panel variance decomposition networks. (2024). Pagnottoni, Paolo ; Cerchiello, Paola ; Celani, Alessandro. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s157230892400007x.

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2024Temporal networks and financial contagion. (2024). Nocciola, Luca ; Franch, Fabio ; Vouldis, Angelos. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093.

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2024Unveiling interconnectedness and risk spillover among cryptocurrencies and other asset classes. (2024). Kumar, Dilip ; Narayan, Shivani. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000905.

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2024Leveraged finance exposure in the banking system: Systemic risk and interconnectedness. (2024). Stanghellini, Elena ; Tanzi, Musile P ; Ranalli, M G ; de Novellis, G. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001580.

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2024The nexus of conventional, religious and ethical indexes during crisis. (2024). Ahelegbey, Daniel Felix ; Essanaani, Yassine ; Abdelsalam, Omneya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:95:y:2024:i:c:s1042443124000933.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024CRPS-based online learning for nonlinear probabilistic forecast combination. (2024). Camal, Simon ; Pinson, Pierre ; Kariniotakis, Georges ; van der Meer, Dennis. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1449-1466.

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2024A loss discounting framework for model averaging and selection in time series models. (2024). Griffin, Jim E ; Bernaciak, Dawid. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1721-1733.

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2025The making of the Greek fiscal state, 1833-1939. (2025). Koutentakis, Franciscos. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:53:y:2025:i:1:p:243-271.

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2024Understanding uncertainty shocks and the role of black swans. (2024). Veldkamp, Laura ; Orlik, Anna. In: Journal of Economic Theory. RePEc:eee:jetheo:v:222:y:2024:i:c:s002205312400111x.

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2025Markov switching multiple-equation tensor regressions. (2025). Craiu, Radu V ; Casarin, Roberto ; Wang, Qing. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:208:y:2025:i:c:s0047259x25000223.

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2024Time-varying causality and correlations between spot and futures prices of natural gas, crude oil, heating oil, and gasoline. (2024). Tiwari, Aviral ; Mensi, Walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon ; Brahim, Mariem. In: Resources Policy. RePEc:eee:jrpoli:v:93:y:2024:i:c:s0301420724004446.

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2024Multilayer network analysis of idiosyncratic volatility connectedness: Evidence from China. (2024). Ouyang, Zisheng ; Zhou, Xuewei ; Lu, Min. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002853.

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2024Bridge successive states for a complex system with evolutionary matrix. (2024). Yan, Shuang ; Yang, Huijie ; Gu, Changgui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:637:y:2024:i:c:s0378437124000426.

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2024Systemic risk and financial networks. (2024). Zhang, Xiaoyuan ; Li, Bingqing. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:25-36.

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2025Mixed-frequency fusion grey panel model for spatiotemporal prediction of photovoltaic power generation. (2025). Rao, Congjun ; Gao, Mingyun ; Xiao, Xinping ; Zuo, Ziyue. In: Renewable Energy. RePEc:eee:renene:v:248:y:2025:i:c:s0960148125007177.

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2024Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions. (2024). Wang, Gang-Jin ; Ouyang, Zisheng ; Zhou, Xuewei ; Liu, Shuwen ; Lu, Min. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:909-928.

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2024Who dominate the information flowing between innovative and traditional financial assets? A multiscale entropy-based approach. (2024). Wang, Gang-Jin ; Li, Zhao-Chen ; Zhu, You ; Zhou, Yang ; Gong, Jue ; Xie, Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:329-358.

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2024Measuring the impact of the EU health emergency response authority on the economic sectors and the public sentiment. (2024). Ahelegbey, Daniel Felix ; Cerchiello, Paola ; Celani, Alessandro. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:92:y:2024:i:c:s0038012124000417.

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2025On the risk commonality of US tech firms: Relevance and determinants. (2025). Grundke, Peter ; Rohde, Kai ; Dinger, Valeriya. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:217:y:2025:i:c:s0040162524007662.

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2024Macroeconomic Spillovers of Weather Shocks across U.S. States. (2024). Moramarco, Graziano ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:fem:femwpa:2024.09.

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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2025Systemic Risk in the Lithium and Copper Value Chains: A Network-Based Analysis Using Euclidean Distance and Graph Theory. (2025). Ruf, Marc Corts ; Yu, Yihao ; Pidelaserra, Jordi Mart. In: Commodities. RePEc:gam:jcommo:v:4:y:2025:i:4:p:23-:d:1764838.

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2025Inference of Impulse Responses via Bayesian Graphical Structural VAR Models. (2025). Ahelegbey, Daniel Felix. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:2:p:15-:d:1626420.

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2024Energy Efficiency in Buildings: Toward Climate Neutrality. (2024). Sadowska, Beata ; Gnieciak, Maciej ; Bocian, Martyna ; Cholewa, Tomasz ; Barnat, Ewelina ; Jaworski, Artur ; Rynkowski, Piotr ; Manuel, Candida Duarte ; Wicicki, Adam ; Siuta-Olcha, Alicja ; Stachniewicz, Robert ; Krawczyk, Dorota Anna ; Gawryluk, Dorota ; Babiarz, Boena ; Kopotowski, Maciej ; Werner-Juszczuk, Anna. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:18:p:4680-:d:1481744.

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2025Leveraging Machine Learning in Next-Generation Climate Change Adaptation Efforts by Increasing Renewable Energy Integration and Efficiency. (2025). Rojek, Izabela ; Mikoajewski, Dariusz ; Andryszczyk, Marek ; Tyburek, Krzysztof ; Bednarek, Tomasz. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:13:p:3315-:d:1686374.

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2025Total Performance in Practice: Energy Efficiency in Modern Developer-Built Housing. (2025). Sitek, Wiktor ; Kosakiewicz, Micha ; Krysiska, Karolina ; Podlasek, Anna ; Vaverkov, Magdalena Daria. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:15:p:4003-:d:1711400.

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2025Forecasting Follies: Machine Learning from Human Errors. (2025). Zhao, Yongchen ; Sun, LI. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:2:p:60-:d:1579096.

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2025Does Political Risk Affect the Efficiency of the Exchange-Traded Fund Market?—Entropy-Based Analysis Before and After the 2025 U.S. Presidential Inauguration. (2025). Olbry, Joanna. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:7:p:121-:d:1688515.

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2024Automation of the Individualized Investing Strategy for an Investment Advisor Established by a Semi-Markov Regime-Switching Model. (2024). Chen, Zhiping ; Duan, Qihong ; Liu, Junrong. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10409-z.

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2025Extreme Risk Connectedness in China’s Stock Market: Fresh Insights from Time-Varying General Dynamic Factor Models. (2025). Jin, Xiaoye. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10779-y.

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2024Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe. (2024). Helmi, Mohamad Husam ; Caporale, Guglielmo Maria ; Akdeniz, Cokun ; Lhan, Ali ; Atik, Abdurrahman Nazif. In: Empirica. RePEc:kap:empiri:v:51:y:2024:i:2:d:10.1007_s10663-024-09608-0.

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2024COVID-19 Medical Trade: Multilayer Network Analysis and Network Determinants. (2024). Xie, Xiaowei ; Peng, Peng. In: Networks and Spatial Economics. RePEc:kap:netspa:v:24:y:2024:i:1:d:10.1007_s11067-023-09609-9.

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2024Energy Price Inflation, Geopolitical Risk, and Bitcoin Dependence Structure: Evidence from BRICS. (2024). Lau, Chi Keung ; Zhang, Dongna ; Soliman, Alaa M. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:60:y:2024:i:12:p:2631-2645.

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2024Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options. (2024). Guizzardi, Andrea ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:22:y:2024:i:2:p:375-406..

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2025Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach. (2025). Fantazzini, Dean ; Magomedov, Said. In: MPRA Paper. RePEc:pra:mprapa:123416.

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2025Structural changes in contagion channels: the impact of COVID-19 on the Italian electricity market. (2025). Ahelegbey, Daniel Felix ; Casarin, Roberto ; Fianu, Emmanuel Senyo ; Grossi, Luigi. In: Annals of Operations Research. RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-024-05893-x.

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2024Modelling foreign exchange rate co-movement and its spatial dependence in emerging markets: a spatial econometrics approach. (2024). Eita, Joel ; Tchuinkam, Charles Raoul. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:3:d:10.1007_s00181-023-02482-y.

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2025Nowcasting and short-term forecasting of G-20 countries GDP with endogenous regime-switching MIDAS models. (2025). Stankevich, Ivan. In: Empirical Economics. RePEc:spr:empeco:v:69:y:2025:i:3:d:10.1007_s00181-025-02771-8.

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2024Uncertainty about interest rates and crude oil prices. (2024). Cohen, Gil ; Qadan, Mahmoud. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00551-w.

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2025Symmetric and asymmetric GARCH estimations of the impact of macroeconomic uncertainties on stock market dynamics in Tanzania. (2025). Mirau, Silas ; Sinkwembe, Emmanuel ; Kasumo, Christian ; Guambe, Calisto ; Peter, Michael. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00632-5.

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2025On the information content of explainable artificial intelligence for quantitative approaches in finance. (2025). Berger, Theo. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:47:y:2025:i:1:d:10.1007_s00291-024-00769-9.

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2025Mixed causal-noncausal count process. (2025). Lu, Yang ; Pei, Jian ; Zhu, Fukang. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:34:y:2025:i:2:d:10.1007_s11749-024-00960-8.

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2024Taylor Rules with Endogenous Regimes. (2024). Furlanetto, Francesco ; Cross, Jamie ; Aastveit, Knut Are ; van Dijk, Herman K. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240030.

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2024Time-Varying Factor Model Components for Effective Momentum Strategy. (2024). Cross, Jamie ; van Dijk, Herman ; Hoogerheide, Lennart. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240068.

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2024Asymmetric Gradualism in US Monetary Policy. (2024). Furlanetto, Francesco ; Cross, Jamie ; van Dijk, Herman K ; Aastveit, Knut Are. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240074.

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2025Bayesian Outlier Detection for Matrix€“variate Models. (2025). Billio, Monica ; Peruzzi, Antonio ; Corradin, Fausto ; Casarin, Roberto. In: Working Papers. RePEc:ven:wpaper:2025:14.

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2025Learning Models from Prices. (2025). Dindo, Pietro ; Massari, Filippo. In: Working Papers. RePEc:ven:wpaper:2025:17.

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2024Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries. (2024). Lau, Chi Keung ; Elsayed, Ahmed ; Sheng, Xin ; Downing, Gareth ; Marco, Chi Keung. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1804-1819.

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2024Nowcasting Euro area GDP with news sentiment: A tale of two crises. (2024). Saiz, Lorena ; Ashwin, Julian ; Kalamara, Eleni. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:5:p:887-905.

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2024Hedging performance analysis of energy markets: Evidence from copula quantile regression. (2024). Yu, Xinping ; Ren, Xianling. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:3:p:432-450.

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2024Riemannian‐geometric regime‐switching covariance hedging. (2024). Lee, Hsiangtai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:6:p:1003-1054.

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2025Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality. (2025). Siu, Tak Kuen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:8:p:917-945.

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2025Tail Risk Hedging: The Superiority of the Naïve Hedging Strategy. (2025). Conlon, Thomas ; Cao, Min. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:8:p:977-1005.

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2025The fiscal effects of natural resource dependency in sub‐Saharan Africa. (2025). Taylor, Rosemary S. In: Natural Resources Forum. RePEc:wly:natres:v:49:y:2025:i:1:p:384-406.

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Works by Roberto Casarin:

YearTitleTypeCited
2019Opinion Dynamics and Disagreements on Financial Networks In: Advances in Decision Sciences.
[Full Text][Citation analysis]		article1
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification In: Advances in Decision Sciences.
[Full Text][Citation analysis]		article0
2018A scoring rule for factor and autoregressive models under misspecification.(2018) In: Working Papers.
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2013Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox In: CREATES Research Papers.
[Full Text][Citation analysis]		paper20
2014Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox.(2014) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2015Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox.(2015) In: Journal of Statistical Software.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		article
2015Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2013Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2014A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities In: Papers.
[Full Text][Citation analysis]		paper0
2014A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2018Bayesian nonparametric sparse VAR models In: Papers.
[Full Text][Citation analysis]		paper19
2019Bayesian nonparametric sparse VAR models.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2020Generalized Poisson Difference Autoregressive Processes In: Papers.
[Full Text][Citation analysis]		paper2
2024Generalized Poisson difference autoregressive processes.(2024) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2020The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach In: Papers.
[Full Text][Citation analysis]		paper6
2021The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2021COVID-19 spreading in financial networks: A semiparametric matrix regression model In: Papers.
[Full Text][Citation analysis]		paper6
2024COVID-19 spreading in financial networks: A semiparametric matrix regression model.(2024) In: Econometrics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2021COVID-19 spreading in financial networks: A semiparametric matrix regression model.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2024First-order integer-valued autoregressive processes with Generalized Katz innovations In: Papers.
[Full Text][Citation analysis]		paper0
2025A Dynamic Stochastic Block Model for Multidimensional Networks In: Papers.
[Full Text][Citation analysis]		paper0
2024Comment on Sparse Bayesian Factor Analysis when the Number of Factors is Unknown by S. Fr\uhwirth-Schnatter, D. Hosszejni, and H. Freitas Lopes In: Papers.
[Full Text][Citation analysis]		paper0
2019A Bayesian time varying approach to risk neutral density estimation In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article2
2010Combining predictive densities using Bayesian filtering with applications to US economics data In: Working Paper.
[Full Text][Citation analysis]		paper8
2011Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2012Combining predictive densities using Bayesian filtering with applications to US economic data.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2012Combination schemes for turning point predictions In: Working Paper.
[Full Text][Citation analysis]		paper22
2012Combination schemes for turning point predictions.(2012) In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
2011Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2012Combination schemes for turning point predictions.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2013Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Paper.
[Full Text][Citation analysis]		paper10
2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2014Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2015Bayesian nonparametric calibration and combination of predictive distributions In: Working Paper.
[Full Text][Citation analysis]		paper26
2018Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2018) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2015Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2015Dynamic predictive density combinations for large data sets in economics and finance In: Working Paper.
[Full Text][Citation analysis]		paper7
2017Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance.(2017) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2018Markov Switching Panel with Network Interaction Effects In: Working Papers.
[Full Text][Citation analysis]		paper2
2020Oil and Fiscal Policy Regimes In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Oil and fiscal policy regimes.(2021) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023Uncertainty and the Term Structure of Interest Rates In: Working Papers.
[Full Text][Citation analysis]		paper0
2023Fiscal Policy Regimes in Resource-Rich Economies In: Working Papers.
[Full Text][Citation analysis]		paper1
2011Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article9
2024Modeling Corporate CDS Spreads Using Markov Switching Regressions In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2024A Dynamic Latent-Space Model for Asset Clustering In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2019Density Forecasting In: BEMPS - Bozen Economics & Management Paper Series.
[Full Text][Citation analysis]		paper0
2021Markov Switching Panel with Endogenous Synchronization Effects In: BEMPS - Bozen Economics & Management Paper Series.
[Full Text][Citation analysis]		paper5
2022Markov switching panel with endogenous synchronization effects.(2022) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures In: Working Papers in Economics.
[Full Text][Citation analysis]		paper26
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).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures.(2011) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2011Beta-product Poisson-Dirichlet Processes In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2011Interacting multiple -- Try algorithms with different proposal distributions In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2016Efficient Gibbs sampling for Markov switching GARCH models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article13
2012Efficient Gibbs Sampling for Markov Switching GARCH Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2021On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting In: Economic Modelling.
[Full Text][Citation analysis]		article1
2019Structural changes in large economic datasets: A nonparametric homogeneity test In: Economics Letters.
[Full Text][Citation analysis]		article2
2013Time-varying combinations of predictive densities using nonlinear filtering In: Journal of Econometrics.
[Full Text][Citation analysis]		article92
2012Time-varying Combinations of Predictive Densities using Nonlinear Filtering.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 92		paper
2014Beta-product dependent Pitman–Yor processes for Bayesian inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2013Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article25
2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		paper
2023A flexible predictive density combination for large financial data sets in regular and crisis periods In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2022A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods.(2022) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2024Modeling Turning Points in the Global Equity Market In: Econometrics and Statistics.
[Full Text][Citation analysis]		article0
2020Modeling Turning Points In Global Equity Market.(2020) In: DEM Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023Nowcasting industrial production using linear and non-linear models of electricity demand In: Energy Economics.
[Full Text][Citation analysis]		article6
2022Nowcasting industrial production using linear and non-linear models of electricity demand.(2022) In: DEM Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2024Learning from experts: Energy efficiency in residential buildings In: Energy Economics.
[Full Text][Citation analysis]		article3
2023Learning from experts: Energy efficiency in residential buildings.(2023) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2018Markov switching GARCH models for Bayesian hedging on energy futures markets In: Energy Economics.
[Full Text][Citation analysis]		article32
2014Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2016An entropy-based early warning indicator for systemic risk In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article25
2015An entropy-based early warning indicator for systemic risk.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		paper
2018Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article0
2022Understanding Economic Instability during the Pandemic: A Factor Model Approach In: Contributions to Economic Analysis.
[Full Text][Citation analysis]		chapter0
2022A Bayesian Approach to Inference on Probabilistic Surveys In: Staff Reports.
[Full Text][Citation analysis]		paper1
2016Bayesian Calibration of Generalized Pools of Predictive Distributions In: Econometrics.
[Full Text][Citation analysis]		article7
2016Computational Complexity and Parallelization in Bayesian Econometric Analysis In: Econometrics.
[Full Text][Citation analysis]		article0
2024Monte carlo within simulated annealing for integral constrained optimizations In: Post-Print.
[Citation analysis]		paper0
2024Monte carlo within simulated annealing for integral constrained optimizations.(2024) In: Annals of Operations Research.
[Full Text][Citation analysis]
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2008Italian Equity Funds: Efficiency and Performance Persistence In: The IUP Journal of Financial Economics.
[Citation analysis]		article4
2010Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area In: Journal of Forecasting.
[Full Text][Citation analysis]		article7
2015Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities In: Journal of Financial Management, Markets and Institutions.
[Full Text][Citation analysis]		article1
2020Multilayer network analysis of oil linkages In: The Econometrics Journal.
[Full Text][Citation analysis]		article7
2013Being on the Field When the Game Is Still Under Way. The Financial Press and Stock Markets in Times of Crisis In: PLOS ONE.
[Full Text][Citation analysis]		article8
2015Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty In: PLOS ONE.
[Full Text][Citation analysis]		article2
2020A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance In: Working Paper series.
[Full Text][Citation analysis]		paper3
2021A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance.(2021) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2021Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model In: Working Paper series.
[Full Text][Citation analysis]		paper0
2021A Bayesian Generalized Poisson Model for Cyber Risk Analysis In: Springer Books.
[Citation analysis]		chapter0
2005Relative benchmark rating and persistence analysis: Evidence from Italian equity funds In: The European Journal of Finance.
[Full Text][Citation analysis]		article10
2024Bayesian Markov-Switching Tensor Regression for Time-Varying Networks In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article2
2018Bayesian Markov Switching Tensor Regression for Time-varying Networks.(2018) In: Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2018A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article19
2020A Stochastic Volatility Model With Realized Measures for Option Pricing In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article7
2023Bayesian Dynamic Tensor Regression In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article6
2018Bayesian Dynamic Tensor Regression.(2018) In: Working Papers.
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2024Bayesian Nonparametric Panel Markov-Switching GARCH Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2022A framework for information synthesis into sentiment indicators using text mining methods In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]		article0
2011Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2011Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper4
2015Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper32
2016Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model.(2016) In: Journal of Applied Econometrics.
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2019Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper4
2022A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2007Online data processing: comparison of Bayesian regularized particle filters In: Working Papers.
[Full Text][Citation analysis]		paper20
2008Particle Filters for Markov-Switching Stochastic-Correlation Models In: Working Papers.
[Full Text][Citation analysis]		paper9
2008Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods In: Working Papers.
[Full Text][Citation analysis]		paper8
2008Matrix-State Particle Filter for Wishart Stochastic Volatility Processes In: Working Papers.
[Full Text][Citation analysis]		paper14
2007Matrix-State Particle Filter for Wishart Stochastic Volatility Processes.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2008Italian Equity Funds: Efficiency and Performance Persistence In: Working Papers.
[Full Text][Citation analysis]		paper13
2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2010Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis In: Working Papers.
[Full Text][Citation analysis]		paper3
2005Stochastic Processes in Credit Risk Modelling In: Working Papers.
[Full Text][Citation analysis]		paper0
2006Business Cycle and Stock Market Volatility: A Particle Filter Approach In: Working Papers.
[Full Text][Citation analysis]		paper17
2006Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints In: Working Papers.
[Full Text][Citation analysis]		paper16
2007Stochastic optimization for allocation problems with shortfall risk constraints.(2007) In: Applied Stochastic Models in Business and Industry.
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2007Bayesian Inference on Dynamic Models with Latent Factors In: Working Papers.
[Full Text][Citation analysis]		paper2
2012Bayesian Graphical Models for Structural Vector Autoregressive Processes In: Working Papers.
[Full Text][Citation analysis]		paper111
2016Bayesian Graphical Models for STructural Vector Autoregressive Processes.(2016) In: Journal of Applied Econometrics.
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2012Financial press and stock markets in times of crisis In: Working Papers.
[Full Text][Citation analysis]		paper2
2013Bayesian Markov Switching Stochastic Correlation Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Adaptive Sticky Generalized Metropolis In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Growth-cycle phases in China�s provinces: A panel Markov-switching approach In: Working Papers.
[Full Text][Citation analysis]		paper0
2014A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Sparse Graphical Vector Autoregression: A Bayesian Approach In: Working Papers.
[Full Text][Citation analysis]		paper13
2016Bayesian nonparametric sparse seemingly unrelated regression model (SUR) In: Working Papers.
[Full Text][Citation analysis]		paper1
2020Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Financial bridges and network communities In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0

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