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)

16

H index

22

i10 index

625

Citations

RESEARCH PRODUCTION:

32

Articles

78

Papers

1

Chapters

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 36
   Journals where Roberto Casarin has often published
   Relations with other researchers
   Recent citing documents: 47.    Total self citations: 66 (9.55 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca216
   Updated: 2024-01-16    RAS profile: 2022-03-18    
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Relations with other researchers

Works with:

Billio, Monica (9)

Ravazzolo, Francesco (8)

van Dijk, Herman (3)

Osuntuyi, Ayokunle (2)

Lorusso, Marco (2)

Bjørnland, Hilde (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 (35)

Giudici, Paolo (28)

van Dijk, Herman (25)

Huber, Florian (24)

Aastveit, Knut Are (24)

Fedele, Alessandro (21)

Ravazzolo, Francesco (20)

Maheu, John (19)

Panteghini, Paolo (14)

Loaiza Maya, Rubén (14)

Menoncin, Francesco (14)

Cites to:

Billio, Monica (114)

Ravazzolo, Francesco (95)

van Dijk, Herman (80)

Watson, Mark (45)

Diebold, Francis (38)

Koop, Gary (34)

Korobilis, Dimitris (30)

Giannone, Domenico (29)

Reichlin, Lucrezia (29)

Mitchell, James (27)

Sims, Christopher (23)

Main data

Where Roberto Casarin has published?

Journals with more than one article published# docs
Journal of Econometrics4
Econometrics2
Journal of Business & Economic Statistics2
PLOS ONE2
Journal of Applied Econometrics2
Advances in Decision Sciences2

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 Institute11
Working Papers / University of Brescia, Department of Economics9
Papers / arXiv.org6
Working Papers / Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School3
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 (2024 and 2023)

YearTitle of citing document
2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2023Predictive 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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2023Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation. (2020). Kim, Young Shin ; Peng, Cheng. In: Papers. RePEc:arx:papers:2009.11367.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2023.

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2023Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps100.

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2023Density forecasts of inflation: a quantile regression forest approach. (2023). Paredes, Joan ; Moutachaker, Ines ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20232830.

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2023Volatility and dark trading: Evidence from the Covid-19 pandemic. (2023). Rzayev, Khaladdin ; Ibikunle, Gbenga. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:4:s0890838922001111.

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2023A sparse Bayesian hierarchical vector autoregressive model for microbial dynamics in a wastewater treatment plant. (2023). Curtis, Thomas P ; Heaps, Sarah E ; Hannaford, Naomi E ; Wilkinson, Darren J ; Golightly, Andrew ; Allen, Ben. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:179:y:2023:i:c:s0167947322002390.

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2023A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688.

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2023How to foresee crises? A new synthetic index of vulnerabilities for emerging economies. (2023). Molina, Luis ; Alonso-Alvarez, Irma. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001165.

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2023Hedge fund performance persistence under different business cycles and stock market regimes. (2023). Tolikas, Konstantinos ; Andrikopoulos, Athanasios ; Stafylas, Dimitrios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002017.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Model averaging for asymptotically optimal combined forecasts. (2023). Liu, Chu-An ; Chen, Yi-Ting. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:592-607.

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2023Hedging with automatic liquidation and leverage selection on bitcoin futures. (2023). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:478-493.

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2023A financial risk meter for China. (2023). Hardle, Wolfgang Karl ; Althof, Michael ; Wang, Ruting. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000572.

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2023Non-banks contagion and the uneven mitigation of climate risk. (2023). Sydow, Matthias ; Gourdel, Regis. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002557.

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2023State transformation of information spillover in asset markets and effective dynamic hedging strategies. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Wang, Yu-Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002880.

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2023Systemic risk and CO2 emissions in the U.S.. (2023). Zervopoulos, Panagiotis ; Molyneux, Philip ; Kanas, Angelos. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001097.

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2023Empirically-transformed linear opinion pools. (2023). Vahey, Shaun P ; Henckel, Timo ; Garratt, Anthony. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:736-753.

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2023Real-time inflation forecasting using non-linear dimension reduction techniques. (2023). Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:901-921.

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2023Penalized estimation of panel vector autoregressive models: A panel LASSO approach. (2023). Camehl, Annika. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1185-1204.

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2023Bayesian forecast combination using time-varying features. (2023). Li, Feng ; Kang, Yanfei. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1287-1302.

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2023Macroeconomic forecasting in the euro area using predictive combinations of DSGE models. (2023). Čapek, Jan ; Reichel, Vlastimil ; Hauzenberger, Niko ; Cuaresma, Jesus Crespo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1820-1838.

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2023Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289.

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2023Futures hedging in crude oil markets: A trade-off between risk and return. (2023). Shen, Xilin ; Lu, Junli ; Li, Yanyan ; Yu, Xing. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005906.

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2023Assessing oil price volatility co-movement with stock market volatility through quantile regression approach. (2023). Gao, Junjun ; Umair, Muhammad ; Liu, Fang. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000831.

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2023A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models. (2023). Xie, Wenzhao ; Zheng, Chengli ; Yao, Yinhong ; Su, Kuangxi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:35-50.

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2023The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223.

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2023Machine learning sentiment analysis, COVID-19 news and stock market reactions. (2023). Pelizzon, Loriana ; Nofer, Michael ; Hinz, Oliver ; Costola, Michele. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000077.

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2023Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000703.

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2023Truncated two-parameter Poisson-Dirichlet approximation for Pitman-Yor process hierarchical models. (2023). Dassios, Angelos ; Zhang, Junyi. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120294.

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2023Bayesian Modeling of Time-Varying Parameters Using Regression Trees. (2023). Mitchell, James ; Koop, Gary ; Huber, Florian ; Hauzenberger, Niko. In: Working Papers. RePEc:fip:fedcwq:95470.

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2023Dirichlet Process Log Skew-Normal Mixture with a Missing-at-Random-Covariate in Insurance Claim Analysis. (2023). Bezbradica, Marija ; Crane, Martin ; Lindberg, David ; Kim, Minkun. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:4:p:24-:d:1258711.

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2023Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022). (2023). Tronzano, Marco. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:5:p:273-:d:1147407.

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2023.

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2023A compositional analysis of systemic risk in European financial institutions. (2023). Porro, Francesco ; Fiori, Anna Maria. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00427-0.

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2023Persistence of Large-Cap Equity Funds performance, market timing ability, and selectivity: evidence from India. (2023). Balakrishnan, A. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-022-09367-7.

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2023A Novel HydroEconomic - Econometric Approach for Integrated Transboundary Water Management Under Uncertainty. (2023). Koundouri, Phoebe ; Alamanos, A ; Tsionas, M ; Kartala, X ; Englezos, N. In: Environmental & Resource Economics. RePEc:kap:enreec:v:84:y:2023:i:4:d:10.1007_s10640-022-00744-4.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1.

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2023Are DeFi tokens a separate asset class from conventional cryptocurrencies?. (2023). Corbet, Shaen ; Kaskaloglu, Kerem ; Gunay, Samet ; Goodell, John W. In: Annals of Operations Research. RePEc:spr:annopr:v:322:y:2023:i:2:d:10.1007_s10479-022-05150-z.

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2023Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints. (2023). Laurini, Fabrizio ; Gandolfi, Gino ; Arcuri, Maria Cristina. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:31:y:2023:i:2:d:10.1007_s10100-022-00821-5.

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2023Housing price diffusions in mainland China: evidence from a spatially penalized graphical VAR model. (2023). Shi, Yanlin ; Chang, LE ; Jiang, Xiandeng. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:2:d:10.1007_s00181-022-02264-y.

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2023Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:tas:wpaper:47658.

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2023.

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2023Structural VAR and financial networks: A minimum distance approach to spatial modeling. (2023). Scida, Daniela. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:1:p:49-68.

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2023Active driver or passive victim: On the role of international monetary policy transmission. (2023). von Schweinitz, Gregor ; Camehl, Annika. In: IWH Discussion Papers. RePEc:zbw:iwhdps:32023.

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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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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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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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2021COVID-19 spreading in financial networks: A semiparametric matrix regression model.(2021) In: Working Papers.
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2022First-order integer-valued autoregressive processes with Generalized Katz innovations 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.
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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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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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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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2021Markov Switching Panel with Endogenous Synchronization Effects 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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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.
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2011Interacting multiple -- Try algorithms with different proposal distributions In: DES - Working Papers. Statistics and Econometrics. WS.
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2016Efficient Gibbs sampling for Markov switching GARCH models In: Computational Statistics & Data Analysis.
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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.
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2012Time-varying Combinations of Predictive Densities using Nonlinear Filtering.(2012) In: Tinbergen Institute Discussion Papers.
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2014Beta-product dependent Pitman–Yor processes for Bayesian inference In: Journal of Econometrics.
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2013Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference.(2013) In: Working Papers.
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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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2018Markov switching GARCH models for Bayesian hedging on energy futures markets In: Energy Economics.
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2014Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets.(2014) In: Working Papers.
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2016An entropy-based early warning indicator for systemic risk In: Journal of International Financial Markets, Institutions and Money.
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2015An entropy-based early warning indicator for systemic risk.(2015) In: Working Papers.
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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.
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2022A Bayesian Approach to Inference on Probabilistic Surveys In: Staff Reports.
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2016Bayesian Calibration of Generalized Pools of Predictive Distributions In: Econometrics.
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2016Computational Complexity and Parallelization in Bayesian Econometric Analysis In: Econometrics.
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2008Italian Equity Funds: Efficiency and Performance Persistence In: The IUP Journal of Financial Economics.
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2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
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2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 13		paper
2010Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area In: Journal of Forecasting.
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