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)

15

H index

22

i10 index

615

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: 94.    Total self citations: 66 (9.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca216
   Updated: 2023-11-04    RAS profile: 2022-03-18    
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Relations with other researchers


Works with:

Billio, Monica (15)

Ravazzolo, Francesco (11)

Osuntuyi, Ayokunle (3)

van Dijk, Herman (3)

Sartore, Domenico (3)

Guidolin, Massimo (2)

Lorusso, Marco (2)

Rossini, Luca (2)

Bianchi, Daniele (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)

Aastveit, Knut Are (24)

Huber, Florian (24)

Fedele, Alessandro (21)

Ravazzolo, Francesco (20)

Maheu, John (19)

Menoncin, Francesco (14)

Loaiza Maya, Rubén (14)

Panteghini, Paolo (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
Advances in Decision Sciences2
Journal of Business & Economic Statistics2
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"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
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2
Working Paper series / Rimini Centre for Economic Analysis2

Recent works citing Roberto Casarin (2023 and 2022)


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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2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates. (2021). Shin, Minchul ; Diebold, Francis X ; Zhang, Boyuan. In: Papers. RePEc:arx:papers:2012.11649.

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2022Loss-Based Variational Bayes Prediction. (2021). Frazier, David T ; Koo, Bonsoo ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:2104.14054.

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2022Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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2022The Time-Varying Multivariate Autoregressive Index Model. (2022). Cubadda, Gianluca ; Guardabascio, B ; Grassi, S. In: Papers. RePEc:arx:papers:2201.07069.

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2022A Dynamic Stochastic Block Model for Multi-Layer Networks. (2022). Casarin, Roberto ; L'Opez, Ovielt Baltodano. In: Papers. RePEc:arx:papers:2209.09354.

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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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2022Nowcasting Canadian GDP with Density Combinations. (2022). Chernis, Tony ; Webley, Taylor. In: Discussion Papers. RePEc:bca:bocadp:22-12.

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2022Aggregate density forecast of models using disaggregate data - A copula approach. (2022). Ingebrigtsen, Tobias ; Fastbo, Tuva Marie ; Paulsen, Kenneth Saterhagen . In: Working Paper. RePEc:bno:worpap:2022_5.

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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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2022Temporal networks in the analysis of financial contagion. (2022). Vouldis, Angelos ; Nocciola, Luca ; Franch, Fabio. In: Working Paper Series. RePEc:ecb:ecbwps:20222667.

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2022Non-banks contagion and the uneven mitigation of climate risk. (2022). Sydow, Matthias ; Gourdel, Regis. In: Working Paper Series. RePEc:ecb:ecbwps:20222757.

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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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2022Probabilistic and deterministic wind speed forecasting based on non-parametric approaches and wind characteristics information. (2022). Hong, Yongmiao ; Wang, Shouyang ; Hu, Jianming ; Heng, Jiani. In: Applied Energy. RePEc:eee:appene:v:306:y:2022:i:pa:s030626192101326x.

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2022Variational Bayesian inference for network autoregression models. (2022). Koch, Thorsten ; Chen, Ying ; Lai, Wei-Ting. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947321002401.

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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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2022Return and volatility spillovers across the Western and MENA countries. (2022). Mohammadi, Hassan ; Habibi, Hamidreza. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000031.

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2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432.

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2022Dynamic credit contagion and aggregate loss in networks. (2022). Zhang, Tianqi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001139.

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2022The transition of the global financial markets connectedness during the COVID-19 pandemic. (2022). Yamaka, Woraphon ; Jaipong, Peemmawat ; Kaewtathip, Nuttaphong ; Maneejuk, Paravee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001516.

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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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2022Infinite Markov pooling of predictive distributions. (2022). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:302-321.

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2022Bayesian nonparametric learning of how skill is distributed across the mutual fund industry. (2022). Fisher, Mark ; Jensen, Mark J. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:131-153.

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2022Markov switching panel with endogenous synchronization effects. (2022). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:281-298.

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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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2022An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models. (2022). Kontoghiorghes, Erricos John ; Hadjiantoni, Stella. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:1-18.

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2022On temporal aggregation of some nonlinear time-series models. (2022). Chan, Wai-Sum. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:38-49.

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2022Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo. (2022). , William ; Chen, Feng. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:50-68.

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2022Estimation of large dimensional time varying VARs using copulas. (2022). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: European Economic Review. RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002439.

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2022Modeling risk contagion in the Italian zonal electricity market. (2022). Fianu, Emmanuel Senyo ; Ahelegbey, Daniel Felix ; Grossi, Luigi. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:656-679.

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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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2022Network based evidence of the financial impact of Covid-19 pandemic. (2022). Scaramozzino, Roberta ; Cerchiello, Paola ; Ahelegbey, Daniel Felix. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000710.

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2022Detecting signed spillovers in global financial markets: A Markov-switching approach. (2022). Kangogo, Moses ; Volkov, Vladimir. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001259.

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2022Research on the dynamic evolution and its influencing factors of stock correlation network in the Chinese new energy market. (2022). Liu, Xiaoxing ; Ma, Qianting. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002191.

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2022Risk spillovers and interconnectedness between systemically important institutions. (2022). Andrieș, Alin Marius ; Tunaru, Radu ; Sprincean, Nicu ; Ongena, Steven. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001224.

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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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2022Optimal probabilistic forecasts: When do they work?. (2022). Ramírez Hassan, Andrés ; Loaiza Maya, Rubén ; Loaiza-Maya, Ruben ; Martin, Gael M ; Ramirez-Hassan, Andres ; Frazier, David T ; Maneesoonthorn, Worapree. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:384-406.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
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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2022Systemic risk and severe economic downturns: A targeted and sparse analysis. (2022). Caporin, Massimiliano ; Garibal, Jean-Charles ; Costola, Michele ; Maillet, Bertrand. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002909.

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2022Early warning or too late? A (pseudo-)real-time identification of leading indicators of financial stress. (2022). Duprey, Thibaut ; Klaus, Benjamin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426621001552.

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2022Exchange rate dependence and economic fundamentals: A Copula-MIDAS approach. (2022). Chen, Qiang ; Ma, Chao ; Gong, Yuting. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002485.

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2022What the current yield curve says, and what the future prices of energy do. (2022). Qadan, Mahmoud ; Idilbi-Bayaa, Yasmeen. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s030142072100502x.

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2022Copper cross-market volatility transition based on a coupled hidden Markov model and the complex network method. (2022). Huang, Shupei ; Shen, Junjie. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005250.

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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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2022Analysis of critical events in the correlation dynamics of cryptocurrency market. (2022). Nie, Chun-Xiao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:586:y:2022:i:c:s0378437121007354.

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2022NetVIX — A network volatility index of financial markets. (2022). Giudici, Paolo ; Ahelegbey, Daniel Felix. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:594:y:2022:i:c:s0378437122000917.

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2022Structural importance and evolution: An application to financial transaction networks. (2022). Caccioli, Fabio ; Barucca, Paolo ; Seabrook, Isobel. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:607:y:2022:i:c:s0378437122007610.

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2022How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method. (2022). Chen, Shenglan ; Lu, Tuantuan ; Zhu, Pengfei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:607:y:2022:i:c:s0378437122007750.

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2022Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics. (2022). Paul, Amartya ; Kundu, Srikanta. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:597-612.

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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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2022Structural importance and evolution: an application to financial transaction networks. (2022). Caccioli, Fabio ; Barucca, Paolo ; Seabrook, Isobel. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:117130.

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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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2022.

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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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2022.

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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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2022A multicountry measure of comovement and contagion in international markets: definition and applications. (2022). Venezia, Itzhak ; Tessler, Nina. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01025-9.

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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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2022Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields. (2022). Khanthaporn, Rewat. In: PIER Discussion Papers. RePEc:pui:dpaper:183.

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2022Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions. (2022). Madaleno, Mara ; Pinho, Carlos ; Amaro, Raphael. In: Applied Econometrics. RePEc:ris:apltrx:0440.

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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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2022A tail-revisited Markowitz mean-variance approach and a portfolio network centrality. (2022). Recchioni, Maria Cristina ; Polinesi, Gloria ; Mariani, Francesca. In: Computational Management Science. RePEc:spr:comgts:v:19:y:2022:i:3:d:10.1007_s10287-022-00422-2.

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2022Modelling systemic risk using neural network quantile regression. (2022). Keilbar, Georg ; Wang, Weining. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:1:d:10.1007_s00181-021-02035-1.

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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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2022Bayesian Analysis of Proportions via a Hidden Markov Model. (2022). Soyer, Refik ; Ergun, Gul ; Can, Ceren Eda. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-022-09971-0.

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2022A role-game laboratory experiment on the influence of country prospects reports on investment decisions in two artificial organizational settings. (2022). Castellani, Marco ; Squazzoni, Flaminio ; Casnici, Niccolo ; Alengoz, Linda. In: Mind & Society: Cognitive Studies in Economics and Social Sciences. RePEc:spr:minsoc:v:21:y:2022:i:1:d:10.1007_s11299-021-00283-3.

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2022On the stationarity of futures hedge ratios. (2022). Degiannakis, Stavros ; Salvador, Enrique ; Floros, Christos ; Vougas, Dimitrios. In: Operational Research. RePEc:spr:operea:v:22:y:2022:i:3:d:10.1007_s12351-020-00607-0.

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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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2022A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods. (2022). van Dijk, Herman K ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220053.

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2022Causality and dynamic spillovers among cryptocurrencies and currency markets. (2022). Marco, Chi Keung ; Gozgor, Giray ; Elsayed, Ahmed H. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2026-2040.

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2022Contagious switching. (2022). Owyang, Michael ; Soques, Daniel ; Piger, Jeremy. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:2:p:415-432.

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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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2022Heterogeneity in Euro Area Monetary Policy Transmission: Results from a Large Multicountry BVAR Model. (2022). Mandler, Martin ; Volz, Ute ; Scharnagl, Michael. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:2-3:p:627-649.

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2022An Epidemiological Model of Economic Crisis Spread across Sectors in the United States. (2022). , Sebastiaan ; Lumsdaine, Robin L ; Janssens, Eva F. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:4:p:885-919.

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2022Business Cycles across Space and Time. (2022). Owyang, Michael ; Soques, Daniel ; Francis, Neville. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:4:p:921-952.

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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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article0
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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paper
2015Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox.(2015) In: Journal of Statistical Software.
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article
2015Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox.(2015) In: Tinbergen Institute Discussion Papers.
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paper
2013Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers.
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paper
2014A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities In: Papers.
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paper0
2014A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities.(2014) In: Working Papers.
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paper
2018Bayesian nonparametric sparse VAR models In: Papers.
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paper16
2019Bayesian nonparametric sparse VAR models.(2019) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 16
article
2020Generalized Poisson Difference Autoregressive Processes In: Papers.
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paper1
2020The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach In: Papers.
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paper1
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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paper2
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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paper0
2019A Bayesian time varying approach to risk neutral density estimation In: Journal of the Royal Statistical Society Series A.
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article2
2010Combining predictive densities using Bayesian filtering with applications to US economics data In: Working Paper.
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paper8
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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paper22
2012Combination schemes for turning point predictions.(2012) In: The Quarterly Review of Economics and Finance.
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article
2011Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers.
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paper
2012Combination schemes for turning point predictions.(2012) In: Working Papers.
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paper
2013Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Paper.
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paper10
2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
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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]
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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 another version. Agregated cites: 10
paper
2015Bayesian nonparametric calibration and combination of predictive distributions In: Working Paper.
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paper20
2018Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2018) In: Journal of the American Statistical Association.
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article
2015Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2015) In: Working Papers.
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paper
2015Dynamic predictive density combinations for large data sets in economics and finance In: Working Paper.
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paper7
2017Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance.(2017) In: Tinbergen Institute Discussion Papers.
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paper
2018Markov Switching Panel with Network Interaction Effects In: Working Papers.
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paper2
2020Oil and Fiscal Policy Regimes In: Working Papers.
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paper0
2021Oil and fiscal policy regimes.(2021) In: CAMA Working Papers.
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paper
2011Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis In: Studies in Nonlinear Dynamics & Econometrics.
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article8
2019Density Forecasting In: BEMPS - Bozen Economics & Management Paper Series.
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paper0
2021Markov Switching Panel with Endogenous Synchronization Effects In: BEMPS - Bozen Economics & Management Paper Series.
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paper2
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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paper23
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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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.
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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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paper1
2011Interacting multiple -- Try algorithms with different proposal distributions In: DES - Working Papers. Statistics and Econometrics. WS.
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paper1
2016Efficient Gibbs sampling for Markov switching GARCH models In: Computational Statistics & Data Analysis.
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article12
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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article0
2019Structural changes in large economic datasets: A nonparametric homogeneity test In: Economics Letters.
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article1
2013Time-varying combinations of predictive densities using nonlinear filtering In: Journal of Econometrics.
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article86
2012Time-varying Combinations of Predictive Densities using Nonlinear Filtering.(2012) In: Tinbergen Institute Discussion Papers.
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paper
2014Beta-product dependent Pitman–Yor processes for Bayesian inference In: Journal of Econometrics.
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article15
2013Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference.(2013) In: Working Papers.
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paper
2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
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article18
2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
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paper
2018Markov switching GARCH models for Bayesian hedging on energy futures markets In: Energy Economics.
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article24
2014Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets.(2014) In: Working Papers.
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paper
2016An entropy-based early warning indicator for systemic risk In: Journal of International Financial Markets, Institutions and Money.
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article18
2015An entropy-based early warning indicator for systemic risk.(2015) In: Working Papers.
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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.
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article0
2022A Bayesian Approach to Inference on Probabilistic Surveys In: Staff Reports.
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paper0
2016Bayesian Calibration of Generalized Pools of Predictive Distributions In: Econometrics.
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article5
2016Computational Complexity and Parallelization in Bayesian Econometric Analysis In: Econometrics.
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article0
2008Italian Equity Funds: Efficiency and Performance Persistence In: The IUP Journal of Financial Economics.
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article13
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 another 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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article7
2015Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities In: Journal of Financial Management, Markets and Institutions.
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article1
2020Multilayer network analysis of oil linkages In: The Econometrics Journal.
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article1
2020Modeling Turning Points In Global Equity Market In: DEM Working Papers Series.
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paper0
2013Being on the Field When the Game Is Still Under Way. The Financial Press and Stock Markets in Times of Crisis In: PLOS ONE.
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article6
2015Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty In: PLOS ONE.
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article2
2020A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance In: Working Paper series.
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paper4
2021A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance.(2021) In: Tinbergen Institute Discussion Papers.
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paper
2021Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model In: Working Paper series.
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paper0
2021A Bayesian Generalized Poisson Model for Cyber Risk Analysis In: Springer Books.
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chapter0
2005Relative benchmark rating and persistence analysis: Evidence from Italian equity funds In: The European Journal of Finance.
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article11
2018A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets In: Journal of Business & Economic Statistics.
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article14
2020A Stochastic Volatility Model With Realized Measures for Option Pricing In: Journal of Business & Economic Statistics.
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article3
2011Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index In: Tinbergen Institute Discussion Papers.
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paper1
2011Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data In: Tinbergen Institute Discussion Papers.
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paper4
2015Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode In: Tinbergen Institute Discussion Papers.
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paper28
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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This paper has another version. Agregated cites: 28
article
2019Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance In: Tinbergen Institute Discussion Papers.
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paper4
2007Online data processing: comparison of Bayesian regularized particle filters In: Working Papers.
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paper19
2008Particle Filters for Markov-Switching Stochastic-Correlation Models In: Working Papers.
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paper9
2008Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods In: Working Papers.
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paper8
2008Matrix-State Particle Filter for Wishart Stochastic Volatility Processes In: Working Papers.
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paper14
2007Matrix-State Particle Filter for Wishart Stochastic Volatility Processes.(2007) In: Working Papers.
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paper
2010Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis In: Working Papers.
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paper3
2005Stochastic Processes in Credit Risk Modelling In: Working Papers.
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paper0
2006Business Cycle and Stock Market Volatility: A Particle Filter Approach In: Working Papers.
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paper17
2006Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints In: Working Papers.
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paper16
2007Stochastic optimization for allocation problems with shortfall risk constraints.(2007) In: Applied Stochastic Models in Business and Industry.
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article
2007Bayesian Inference on Dynamic Models with Latent Factors In: Working Papers.
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paper2
2012Bayesian Graphical Models for Structural Vector Autoregressive Processes In: Working Papers.
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paper90
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.
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2013Bayesian Markov Switching Stochastic Correlation Models In: Working Papers.
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2013Adaptive Sticky Generalized Metropolis In: Working Papers.
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2014Growth-cycle phases in China�s provinces: A panel Markov-switching approach In: Working Papers.
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2014A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices In: Working Papers.
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2014Sparse Graphical Vector Autoregression: A Bayesian Approach In: Working Papers.
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2016Bayesian nonparametric sparse seemingly unrelated regression model (SUR) In: Working Papers.
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2018Bayesian Dynamic Tensor Regression In: Working Papers.
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2018Bayesian Markov Switching Tensor Regression for Time-varying Networks In: Working Papers.
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2020Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective In: Working Papers.
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2018Financial bridges and network communities In: SAFE Working Paper Series.
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