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

706

Citations

RESEARCH PRODUCTION:

46

Articles

88

Papers

2

Chapters

RESEARCH ACTIVITY:

   19 years (2005 - 2024). See details.
   Cites by year: 37
   Journals where Roberto Casarin has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 76 (9.72 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca216
   Updated: 2025-04-12    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)

van Dijk, Herman (2)

Galdi, Giulio (2)

Costantini, Mauro (2)

Osuntuyi, Ayokunle (2)

Ahelegbey, Daniel Felix (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 (37)

Huber, Florian (30)

Giudici, Paolo (28)

van Dijk, Herman (25)

Maheu, John (24)

Aastveit, Knut Are (24)

Fedele, Alessandro (21)

Ravazzolo, Francesco (20)

Chang, Chia-Lin (17)

Menoncin, Francesco (14)

minelli, enrico (14)

Cites to:

Billio, Monica (119)

Ravazzolo, Francesco (106)

van Dijk, Herman (101)

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

Production by document typepaperchapterarticle20052006200720082009201020112012201320142015201620172018201920202021202220232024051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2005200620072008200920102011201220132014201520162017201820192020202120222023202420250255075100Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20052006200720082009201020112012201320142015201620172018201920202021202220232024050100150200Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 16Most cited documents123456789101112131415161718050100150Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250401020h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Roberto Casarin has published?

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

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
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE2
Working Paper series / Rimini Centre for Economic Analysis2
BEMPS - Bozen Economics & Management Paper Series / Faculty of Economics and Management at the Free University of Bozen2

Recent works citing Roberto Casarin (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Macroeconomic 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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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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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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2024.

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2024Taylor Rules with Endogenous Regimes. (2024). van Dijk, Herman K ; Furlanetto, Francesco ; Cross, Jamie L ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0130.

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

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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). Omori, Yasuhiro ; Watanabe, Toshiaki ; Takahashi, Makoto. 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 ; Dinnocenzo, Enzo ; Ballestra, Luca Vincenzo. 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). Petropoulos, Fotios ; Kang, Yanfei ; Wang, Shengjie. 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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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 ; Vouldis, Angelos ; Franch, Fabio. 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). Ranalli, M G ; Tanzi, Musile P ; de Novellis, G ; Stanghellini, E. 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). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. 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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2024Bridge successive states for a complex system with evolutionary matrix. (2024). 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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2024Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions. (2024). Wang, Gang-Jin ; Zhou, Xuewei ; Ouyang, Zisheng ; Lu, Min ; Liu, Shuwen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:909-928.

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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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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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2024Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe. (2024). Caporale, Guglielmo Maria ; Akdeniz, Cokun ; Lhan, Ali ; Atik, Abdurrahman Nazif ; Helmi, Mohamad Husam. 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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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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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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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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2024Time-Varying Factor Model Components for Effective Momentum Strategy. (2024). van Dijk, Herman ; Hoogerheide, Lennart ; Cross, Jamie. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240068.

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

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

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Works by Roberto Casarin:

Year  ↓Title  ↓Type  ↓Cited  ↓
2019Opinion Dynamics and Disagreements on Financial Networks In: Advances in Decision Sciences.
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2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification In: Advances in Decision Sciences.
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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.
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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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2024Generalized Poisson difference autoregressive processes.(2024) In: International Journal of Forecasting.
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2020The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach In: Papers.
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2021The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach.(2021) In: Working Papers.
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2021COVID-19 spreading in financial networks: A semiparametric matrix regression model In: Papers.
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2024COVID-19 spreading in financial networks: A semiparametric matrix regression model.(2024) In: Econometrics and Statistics.
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2021COVID-19 spreading in financial networks: A semiparametric matrix regression model.(2021) In: Working Papers.
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2024First-order integer-valued autoregressive processes with Generalized Katz innovations In: Papers.
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2022A Dynamic Stochastic Block Model for Multi-Layer Networks In: Papers.
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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.
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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: 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.
[Full Text][Citation analysis]		paper25
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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2020Oil and Fiscal Policy Regimes In: Working Papers.
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2021Oil and fiscal policy regimes.(2021) In: CAMA Working Papers.
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2023Uncertainty and the Term Structure of Interest Rates In: Working Papers.
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2023Fiscal Policy Regimes in Resource-Rich Economies 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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2024Modeling Corporate CDS Spreads Using Markov Switching Regressions In: Studies in Nonlinear Dynamics & Econometrics.
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2024A Dynamic Latent-Space Model for Asset Clustering In: Studies in Nonlinear Dynamics & Econometrics.
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2019Density Forecasting In: BEMPS - Bozen Economics & Management Paper Series.
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2021Markov Switching Panel with Endogenous Synchronization Effects In: BEMPS - Bozen Economics & Management Paper Series.
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2022Markov switching panel with endogenous synchronization effects.(2022) In: Journal of 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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2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model In: CEPR Discussion Papers.
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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.
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2021On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting In: Economic Modelling.
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2019Structural changes in large economic datasets: A nonparametric homogeneity test In: Economics Letters.
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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.
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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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2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
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2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
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2023A flexible predictive density combination for large financial data sets in regular and crisis periods In: Journal of Econometrics.
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2022A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods.(2022) In: Tinbergen Institute Discussion Papers.
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