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)

11

H index

11

i10 index

365

Citations

RESEARCH PRODUCTION:

28

Articles

66

Papers

RESEARCH ACTIVITY:

   14 years (2005 - 2019). See details.
   Cites by year: 26
   Journals where Roberto Casarin has often published
   Relations with other researchers
   Recent citing documents: 73.    Total self citations: 57 (13.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca216
   Updated: 2020-08-01    RAS profile: 2020-03-29    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Ravazzolo, Francesco (17)

Billio, Monica (16)

van Dijk, Herman (8)

Grassi, Stefano (5)

Rossini, Luca (3)

Guidolin, Massimo (2)

Foroni, Claudia (2)

Bianchi, Daniele (2)

Marcellino, Massimiliano (2)

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

Is cited by:

Fedele, Alessandro (21)

van Dijk, Herman (15)

Chang, Chia-Lin (15)

Ravazzolo, Francesco (15)

Menoncin, Francesco (14)

Polemarchakis, Herakles (14)

minelli, enrico (14)

Panteghini, Paolo (14)

McAleer, Michael (14)

Giudici, Paolo (13)

Aastveit, Knut Are (13)

Cites to:

Billio, Monica (77)

Ravazzolo, Francesco (75)

van Dijk, Herman (60)

McAleer, Michael (38)

Watson, Mark (34)

Diebold, Francis (29)

Koop, Gary (24)

Mitchell, James (24)

Korobilis, Dimitris (23)

amisano, gianni (22)

Geweke, John (18)

Main data


Where Roberto Casarin has published?


Journals with more than one article published# docs
Journal of Econometrics4
Econometrics2
PLOS ONE2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / Department of Economics, University of Venice "Ca' Foscari"24
Tinbergen Institute Discussion Papers / Tinbergen Institute10
Working Papers / University of Brescia, Department of Economics9
Papers / arXiv.org3
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 (2020 and 2019)


YearTitle of citing document
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103.

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2019Stochastic model specification in Markov switching vector error correction models. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O. In: Papers. RePEc:arx:papers:1807.00529.

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2019Bayesian nonparametric graphical models for time-varying parameters VAR. (2019). Rossini, Luca ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:1906.02140.

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2019Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295.

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2019Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662.

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2019Mean-shift least squares model averaging. (2019). Takanashi, Kosaku ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1912.01194.

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2019Bayesian estimation of large dimensional time varying VARs using copulas. (2019). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: Papers. RePEc:arx:papers:1912.12527.

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2020Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2019Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1081.

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2019Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162.

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2019Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting. (2019). Aastveit, Knut Are ; West, Mike ; Nakajima, Jouchi ; McAlinn, Kenichiro. In: Working Papers. RePEc:bny:wpaper:0073.

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2019Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach. (2019). Vespignani, Joaquin ; Ravazzolo, Francesco ; Ferrari, Davide. In: Working Papers. RePEc:bny:wpaper:0083.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2019Detecting turning points in global economic activity. (2019). Seitz, Franz ; Salvador, Ramon Gomez ; Baumann, Ursel. In: Working Paper Series. RePEc:ecb:ecbwps:20192310.

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2020Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202378.

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2019The combination of interval forecasts in tourism. (2019). Liu, Anyu ; Zhou, Menglin ; Wu, Doris Chenguang. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:363-378.

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2019The multiple effectiveness of state natural gas consumption constraint policies for achieving sustainable development targets in China. (2019). Lu, Can ; Li, Wei. In: Applied Energy. RePEc:eee:appene:v:235:y:2019:i:c:p:685-698.

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2019Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods. (2019). Iiboshi, Hirokuni ; Nakamura, Daisuke ; Matsumae, Tatsuyoshi ; Hasumi, Ryo. In: Journal of Asian Economics. RePEc:eee:asieco:v:60:y:2019:i:c:p:45-68.

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2020Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method. (2020). Spezia, Luigi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:143:y:2020:i:c:s0167947319301951.

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2020Structural learning of contemporaneous dependencies in graphical VAR models. (2020). Consonni, Guido ; Paci, Lucia. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s016794731930235x.

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2020Sequential Bayesian inference for vector autoregressions with stochastic volatility. (2020). Zito, John ; Bognanni, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s016518892030021x.

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2019Modeling, analysis and mitigation of contagion in financial systems. (2019). Cheng, Xian ; Zhao, Haichuan. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:281-292.

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2020Interdependence or contagion: A model switching approach with a focus on Latin America. (2020). Davidson, Sharada Nia. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:166-197.

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2020Tree networks to assess financial contagion. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Agosto, Arianna. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:349-366.

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2020Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodríguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607.

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2019Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics. (2019). Li, Huini ; Xu, Qiongyao ; Chen, Zhanshou . In: Economics Letters. RePEc:eee:ecolet:v:179:y:2019:i:c:p:53-56.

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2019The role of uncertainty measures on the returns of gold. (2019). Gözgör, Giray ; Yarovaya, Larisa ; Sheng, Xin ; Marco, Chi Keung ; Gozgor, Giray . In: Economics Letters. RePEc:eee:ecolet:v:185:y:2019:i:c:s0165176519303398.

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2019Alternative tests for correct specification of conditional predictive densities. (2019). Sekhposyan, Tatevik ; Rossi, Barbara. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:638-657.

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2019Dynamic Bayesian predictive synthesis in time series forecasting. (2019). West, Mike ; McAlinn, Kenichiro. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:155-169.

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2019Forecast density combinations of dynamic models and data driven portfolio strategies. (2019). Hoogerheide, L ; Grassi, S ; Borowska, A ; Baturk, N ; van Dijk, H K. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:170-186.

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2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

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2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

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2019Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

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2019Liquidity, surprise volume and return premia in the oil market. (2019). Wagner, Niklasf ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:93-104.

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2019Crude oil price shocks and hedging performance: A comparison of volatility models. (2019). Cho, Hoon ; Chun, Dohyun ; Kim, Jihun. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1132-1147.

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2019Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks. (2019). Wang, Yudong ; Meng, Fanyi ; Geng, Qianjie. In: Energy. RePEc:eee:energy:v:181:y:2019:i:c:p:815-826.

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2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach. (2019). Guidolin, Massimo ; Hansen, Erwin ; Pedio, Manuela. In: Journal of Financial Markets. RePEc:eee:finmar:v:45:y:2019:i:c:p:83-114.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2019Residential investment and recession predictability. (2019). Herstad, Eyo I ; Anundsen, Andre K ; Aastveit, Knut Are. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1790-1799.

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2019Inflation dynamics and adaptive expectations in an estimated DSGE model. (2019). Lansing, Kevin ; Iskrev, Nikolay ; Gelain, Paolo ; Mendicino, Caterina. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:59:y:2019:i:c:p:258-277.

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2020Bayesian nonparametric analysis of multivariate time series: A matrix Gamma Process approach. (2020). Meyer, Renate ; Kirch, Claudia ; Meier, Alexander. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:175:y:2020:i:c:s0047259x18306225.

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2020Graph theory-based network analysis of regional uncertainties of the US Economy. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Sheng, Xin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317315.

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2019Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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2019Effects of the geopolitical risks on Bitcoin returns and volatility. (2019). Demir, Ender ; Marco, Chi Keung ; Gozgor, Giray ; Aysan, Ahmet Faruk. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:511-518.

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2019Large Bayesian vector autoregressions. (2019). Chan, Joshua. In: CAMA Working Papers. RePEc:een:camaaa:2019-19.

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2019Penalized Estimation of Panel Vector Autoregressive Models. (2019). Schnucker, A M. In: Econometric Institute Research Papers. RePEc:ems:eureir:122072.

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2019Business Cycles Across Space and Time. (2019). Soques, Daniel ; Owyang, Michael ; Francis, Neville. In: Working Papers. RePEc:fip:fedlwp:2019-010.

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2019Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems. (2019). Pacifico, Antonio. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:8-:d:212762.

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2019Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting. (2019). Weron, Rafał ; Uniejewski, Bartosz ; Serafin, Tomasz. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:13:p:2561-:d:245313.

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2019Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution. (2019). Giudici, Paolo ; Parisi, Laura. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:3-:d:195087.

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2020Tail Risk Measurement In Crypto-Asset Markets. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0186.

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2019Tree Networks to Assess Financial Contagion. (2019). Ahelegbey, Daniel Felix ; Giudici, Paolo. In: MPRA Paper. RePEc:pra:mprapa:92632.

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2019Factorial Network Models To Improve P2P Credit Risk Management. (2019). Ahelegbey, Daniel Felix ; Hadji-Misheva, Branka ; Giudici, Paolo. In: MPRA Paper. RePEc:pra:mprapa:92633.

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2019Effect of Foreign Direct Investment and Economic Growth in Nigeria. (2019). Victoria, Kenny. In: MPRA Paper. RePEc:pra:mprapa:92873.

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2019The role of agricultural sector performance on economic growth in Nigeria. (2019). Kenny, Victoria. In: MPRA Paper. RePEc:pra:mprapa:93132.

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2019The Role of Public Sector Enterprise on Economic Development: A Case Study Of The Nigerian Power Sector (1981-2015).. (2019). Kenny, Victoria. In: MPRA Paper. RePEc:pra:mprapa:93291.

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2019Macroeconomic Performance Indicators and Exchange Rate Misalignment in Nigeria. (2019). Kenny, Victoria. In: MPRA Paper. RePEc:pra:mprapa:93292.

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2019Effects of Human Capital Investment on Unemployment Volatility in Nigeria (1981-2015). (2019). Kenny, Victoria. In: MPRA Paper. RePEc:pra:mprapa:93295.

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2019Manufacturing Sector Performance, Exchange Rate Volatility and Inclusive Growth In Nigeria (1981-2015). (2019). Kenny, Victoria. In: MPRA Paper. RePEc:pra:mprapa:93296.

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2019Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model. (2019). Lau, Chi Keung ; GUPTA, RANGAN ; Sheng, Xin. In: Working Papers. RePEc:pre:wpaper:201910.

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2020Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions. (2020). West, Mike. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-019-00741-3.

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2019Robust Bayesian seemingly unrelated regression model. (2019). van Aelst, Stefan ; Peremans, Kris ; Mbah, Chamberlain ; Benoit, Dries F. In: Computational Statistics. RePEc:spr:compst:v:34:y:2019:i:3:d:10.1007_s00180-018-0854-3.

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2020Markov switching in exchange rate models: will more regimes help?. (2020). Stillwagon, Josh ; Sullivan, Peter . In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01623-6.

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2019Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis. (2019). Schienle, Melanie ; Urban, Jorg ; Buse, Rebekka. In: ESRB Working Paper Series. RePEc:srk:srkwps:201990.

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2019Higher Moment Constraints for Predictive Density Combinations. (2019). Vasnev, Andrey ; Pauwels, Laurent ; Radchenko, Peter. In: Working Papers. RePEc:syb:wpbsba:2123/20175.

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2019Forecasting energy commodity prices: a large global dataset sparse approach. (2019). Vespignani, Joaquin ; Ravazzolo, Francesco ; Ferrari, Davide. In: Working Papers. RePEc:tas:wpaper:32152.

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2018The Evolution of Forecast Density Combinations in Economics. (2018). van Dijk, Herman ; Mitchell, James ; Aastveit, Knut Are ; Ravazzolo, Francesco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180069.

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2019Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them. (2019). Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1711.

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2019CRYPTOCURRENCIES IN FINANCE: REVIEW AND APPLICATIONS. (2019). Flori, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:05:n:s0219024919500201.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: Working Paper Series in Economics. RePEc:zbw:kitwps:123.

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2019Effectiveness of policy and regulation in European sovereign credit risk markets: A network analysis. (2019). Schienle, Melanie ; Urban, Jorg ; Buse, Rebekka. In: Working Paper Series in Economics. RePEc:zbw:kitwps:125.

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2019High-dimensional sparse financial networks through a regularised regression model. (2019). Costola, Michele ; Bernardi, Mauro. In: SAFE Working Paper Series. RePEc:zbw:safewp:244.

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Works by Roberto Casarin:


YearTitleTypeCited
2019Opinion Dynamics and Disagreements on Financial Networks In: Advances in Decision Sciences.
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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: Journal of Statistical Software.
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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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2018Bayesian nonparametric sparse VAR models In: Papers.
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2019Bayesian nonparametric sparse VAR models.(2019) In: Journal of Econometrics.
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2020Generalized Poisson Difference Autoregressive Processes In: Papers.
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2019A Bayesian time varying approach to risk neutral density estimation In: Journal of the Royal Statistical Society Series A.
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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: 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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2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 8
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2015Bayesian nonparametric calibration and combination of predictive distributions In: Working Paper.
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2018Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2018) In: Journal of the American Statistical Association.
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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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2019Density Forecasting In: BEMPS - Bozen Economics & Management Paper Series.
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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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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: 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: Documentos de Trabajo del ICAE.
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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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