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

607

Citations

RESEARCH PRODUCTION:

32

Articles

78

Papers

1

Chapters

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 35
   Journals where Roberto Casarin has often published
   Relations with other researchers
   Recent citing documents: 138.    Total self citations: 66 (9.81 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca216
   Updated: 2023-08-19    RAS profile: 2022-03-18    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Billio, Monica (15)

Ravazzolo, Francesco (13)

van Dijk, Herman (4)

Sartore, Domenico (3)

Osuntuyi, Ayokunle (3)

Rossini, Luca (2)

Bjørnland, Hilde (2)

Lorusso, Marco (2)

Guidolin, Massimo (2)

Bianchi, Daniele (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)

Fedele, Alessandro (21)

Ravazzolo, Francesco (20)

Maheu, John (19)

Aastveit, Knut Are (15)

Polemarchakis, Herakles (14)

Menoncin, Francesco (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
Journal of Business & Economic Statistics2
Econometrics2
Journal of Applied Econometrics2
PLOS ONE2
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
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
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2

Recent works citing Roberto Casarin (2022 and 2021)

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

Full description at Econpapers || Download paper

2023Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662.

Full description at Econpapers || Download paper

2021Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Optimal Hedging with Margin Constraints and Default Aversion and its Application to Bitcoin Perpetual Futures. (2021). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: Papers. RePEc:arx:papers:2101.01261.

Full description at Econpapers || Download paper

2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021A Novel Hydro - Economic - Econometric Approach for Integrated Transboundary Water Management under Uncertainty. (2021). Kartala, Xanthi ; Englezos, Nikolaos ; Alamanos, Angelos ; Tsionas, Mike ; Koundouri, Phoebe. In: DEOS Working Papers. RePEc:aue:wpaper:2101.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2021Bayesian State?Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy. (2021). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:4:p:1261-1291.

Full description at Econpapers || Download paper

2021Boosting multiplicative model combination. (2021). Vidoni, Paolo. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:3:p:761-789.

Full description at Econpapers || Download paper

2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Cross, Jamie L ; Aastveit, Knut Are ; van Dijk, Herman K. In: Working Paper. RePEc:bno:worpap:2021_3.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Djik, Herman K ; Cross, Jamie ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0099.

Full description at Econpapers || Download paper

2021Stochastic model specification in Markov switching vector error correction models. (2021). Huber, Florian ; Niko, Hauzenberger ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:7.

Full description at Econpapers || Download paper

2021Combining Bayesian VARs with survey density forecasts: does it pay off?. (2021). Ravazzolo, Francesco ; Paredes, Joan ; Brenna, Federica ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20212543.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Network VAR models to measure financial contagion. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302059.

Full description at Econpapers || Download paper

2021Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak. (2021). Al-Fayoumi, Nedal ; Abuzayed, Bana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000978.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Detecting groups in large vector autoregressions. (2021). Guðmundsson, Guðmundur ; Brownlees, Christian ; Gumundsson, Gumundur Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:2-26.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Spatially varying sparsity in dynamic regression models. (2021). Hu, Guanyu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:23-34.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Forecasting energy commodity prices: A large global dataset sparse approach. (2021). Vespignani, Joaquin ; Ravazzolo, Francesco ; Ferrari, Davide. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001730.

Full description at Econpapers || Download paper

2021Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging. (2021). Sgarra, Carlo ; Gonzato, Luca. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001845.

Full description at Econpapers || Download paper

2021Tail risk measurement in crypto-asset markets. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302477.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets. (2021). Choudhury, Tonmoy ; Campbell, Ross ; Kinateder, Harald. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000325.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Complexity, interconnectedness and stability: New perspectives applied to the European banking system. (2021). Bertrand, Jean-Louis ; Chabot, Miia. In: Journal of Business Research. RePEc:eee:jbrese:v:129:y:2021:i:c:p:784-800.

Full description at Econpapers || Download paper

2021The impact of macroprudential policies on capital flows in CESEE. (2021). Huber, Florian ; Eller, Markus ; Vashold, Lukas ; Schuberth, Helene ; Hauzenberger, Niko. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001467.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021A semiparametric latent factor model for large scale temporal data with heteroscedasticity. (2021). Wang, Haonan ; Zhou, Wen ; Zhang, Lyuou. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000646.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Volatility regime, inverted asymmetry, contagion, and flights in the gold market. (2021). Tian, Yuan ; Chen, Meng-Wei ; Kung, Chih-Chun ; Chang, Meng-Shiuh. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000299.

Full description at Econpapers || Download paper

2021Analysis of global stock markets’ connections with emphasis on the impact of COVID-19. (2021). Zhang, Xin ; Yu, Hang ; Zhao, Xinyao ; Guo, Hongfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:569:y:2021:i:c:s0378437121000467.

Full description at Econpapers || Download paper

2021Optimal time-varying tail risk network with a rolling window approach. (2021). Zhang, Shuai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004003.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Business Cycles Across Space and Time. (2019). Soques, Daniel ; Owyang, Michael ; Francis, Neville. In: Working Papers. RePEc:fip:fedlwp:2019-010.

Full description at Econpapers || Download paper

2021Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. (2021). Siriopoulos, Costas ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:17-:d:539153.

Full description at Econpapers || Download paper

2021Systemic Risk Spillovers in the European Energy Sector. (2021). Zeldea, Cristina ; Lupu, Iulia ; Calin, Adrian Cantemir ; Clin, Adrian Cantemir. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6410-:d:651252.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2021Is It Possible to Forecast the Price of Bitcoin?. (2021). Goutte, Stéphane ; Chevallier, Julien ; Guegan, Dominique. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:2:p:24-420:d:564101.

Full description at Econpapers || Download paper

2021Predicting Extreme Daily Regime Shifts in Financial Time Series Exchange/Johannesburg Stock Exchange—All Share Index. (2021). Moroke, Ntebogang ; Makatjane, Katleho. In: IJFS. RePEc:gam:jijfss:v:9:y:2021:i:2:p:18-:d:523945.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2021The Nexus of Sophisticated Digital Assets with Economic Policy Uncertainty: A Survey of Empirical Findings and an Empirical Investigation. (2021). Kyriazis, Nikolaos A. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:10:p:5383-:d:552611.

Full description at Econpapers || Download paper

2021Volatility and Risk in the Energy Market: A Trade Network Approach. (2021). Ben-Zvi, Tal ; Creamer, German G. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:18:p:10199-:d:634210.

Full description at Econpapers || Download paper

2021Recurrent Dictionary Learning for State-Space Models with an Application in Stock Forecasting. (2021). Majumdar, Angshul ; Chouzenoux, Emilie ; Elvira, Victor ; Sharma, Shalini. In: Post-Print. RePEc:hal:journl:hal-03184841.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Roberto Casarin:

YearTitleTypeCited
2019Opinion Dynamics and Disagreements on Financial Networks In: Advances in Decision Sciences.
[Full Text][Citation analysis]		article0
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification In: Advances in Decision Sciences.
[Full Text][Citation analysis]		article0
2018A scoring rule for factor and autoregressive models under misspecification.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2013Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox In: CREATES Research Papers.
[Full Text][Citation analysis]		paper16
2014Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox.(2014) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2015Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox.(2015) In: Journal of Statistical Software.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		article
2015Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2013Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2014A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities In: Papers.
[Full Text][Citation analysis]		paper0
2014A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Bayesian nonparametric sparse VAR models In: Papers.
[Full Text][Citation analysis]		paper15
2019Bayesian nonparametric sparse VAR models.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		article
2020Generalized Poisson Difference Autoregressive Processes In: Papers.
[Full Text][Citation analysis]		paper1
2020The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach In: Papers.
[Full Text][Citation analysis]		paper1
2021The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2021COVID-19 spreading in financial networks: A semiparametric matrix regression model In: Papers.
[Full Text][Citation analysis]		paper2
2021COVID-19 spreading in financial networks: A semiparametric matrix regression model.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2022First-order integer-valued autoregressive processes with Generalized Katz innovations In: Papers.
[Full Text][Citation analysis]		paper0
2019A Bayesian time varying approach to risk neutral density estimation In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article2
2010Combining predictive densities using Bayesian filtering with applications to US economics data In: Working Paper.
[Full Text][Citation analysis]		paper8
2011Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2012Combining predictive densities using Bayesian filtering with applications to US economic data.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2012Combination schemes for turning point predictions In: Working Paper.
[Full Text][Citation analysis]		paper22
2012Combination schemes for turning point predictions.(2012) In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		article
2011Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2012Combination schemes for turning point predictions.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2013Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Paper.
[Full Text][Citation analysis]		paper10
2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2014Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2015Bayesian nonparametric calibration and combination of predictive distributions In: Working Paper.
[Full Text][Citation analysis]		paper20
2018Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2018) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		article
2015Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2015Dynamic predictive density combinations for large data sets in economics and finance In: Working Paper.
[Full Text][Citation analysis]		paper7
2017Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance.(2017) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2018Markov Switching Panel with Network Interaction Effects In: Working Papers.
[Full Text][Citation analysis]		paper2
2020Oil and Fiscal Policy Regimes In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Oil and fiscal policy regimes.(2021) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2011Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article8
2019Density Forecasting In: BEMPS - Bozen Economics & Management Paper Series.
[Full Text][Citation analysis]		paper0
2021Markov Switching Panel with Endogenous Synchronization Effects In: BEMPS - Bozen Economics & Management Paper Series.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		article
2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures.(2011) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures.(2011) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2011Beta-product Poisson-Dirichlet Processes In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2011Interacting multiple -- Try algorithms with different proposal distributions In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2016Efficient Gibbs sampling for Markov switching GARCH models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article12
2012Efficient Gibbs Sampling for Markov Switching GARCH Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2021On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting In: Economic Modelling.
[Full Text][Citation analysis]		article0
2019Structural changes in large economic datasets: A nonparametric homogeneity test In: Economics Letters.
[Full Text][Citation analysis]		article1
2013Time-varying combinations of predictive densities using nonlinear filtering In: Journal of Econometrics.
[Full Text][Citation analysis]		article85
2012Time-varying Combinations of Predictive Densities using Nonlinear Filtering.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 85		paper
2014Beta-product dependent Pitman–Yor processes for Bayesian inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2013Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		paper
2018Markov switching GARCH models for Bayesian hedging on energy futures markets In: Energy Economics.
[Full Text][Citation analysis]		article24
2014Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2016An entropy-based early warning indicator for systemic risk In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article17
2015An entropy-based early warning indicator for systemic risk.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		paper
2018Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article0
2022A Bayesian Approach to Inference on Probabilistic Surveys In: Staff Reports.
[Full Text][Citation analysis]		paper0
2016Bayesian Calibration of Generalized Pools of Predictive Distributions In: Econometrics.
[Full Text][Citation analysis]		article5
2016Computational Complexity and Parallelization in Bayesian Econometric Analysis In: Econometrics.
[Full Text][Citation analysis]		article0
2008Italian Equity Funds: Efficiency and Performance Persistence In: The IUP Journal of Financial Economics.
[Citation analysis]		article13
2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		article7
2015Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities In: Journal of Financial Management, Markets and Institutions.
[Full Text][Citation analysis]		article1
2020Multilayer network analysis of oil linkages In: The Econometrics Journal.
[Full Text][Citation analysis]		article0
2020Modeling Turning Points In Global Equity Market In: DEM Working Papers Series.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article6
2015Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty In: PLOS ONE.
[Full Text][Citation analysis]		article1
2020A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance In: Working Paper series.
[Full Text][Citation analysis]		paper4
2021A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance.(2021) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2021Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model In: Working Paper series.
[Full Text][Citation analysis]		paper0
2021A Bayesian Generalized Poisson Model for Cyber Risk Analysis In: Springer Books.
[Citation analysis]		chapter0
2005Relative benchmark rating and persistence analysis: Evidence from Italian equity funds In: The European Journal of Finance.
[Full Text][Citation analysis]		article11
2018A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article14
2020A Stochastic Volatility Model With Realized Measures for Option Pricing In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article3
2011Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2011Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper4
2015Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper27
2016Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov?Switching VAR Model.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		article
2019Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper4
2007Online data processing: comparison of Bayesian regularized particle filters In: Working Papers.
[Full Text][Citation analysis]		paper19
2008Particle Filters for Markov-Switching Stochastic-Correlation Models In: Working Papers.
[Full Text][Citation analysis]		paper9
2008Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods In: Working Papers.
[Full Text][Citation analysis]		paper8
2008Matrix-State Particle Filter for Wishart Stochastic Volatility Processes In: Working Papers.
[Full Text][Citation analysis]		paper14
2007Matrix-State Particle Filter for Wishart Stochastic Volatility Processes.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2010Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis In: Working Papers.
[Full Text][Citation analysis]		paper3
2005Stochastic Processes in Credit Risk Modelling In: Working Papers.
[Full Text][Citation analysis]		paper0
2006Business Cycle and Stock Market Volatility: A Particle Filter Approach In: Working Papers.
[Full Text][Citation analysis]		paper17
2006Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints In: Working Papers.
[Full Text][Citation analysis]		paper16
2007Stochastic optimization for allocation problems with shortfall risk constraints.(2007) In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		article
2007Bayesian Inference on Dynamic Models with Latent Factors In: Working Papers.
[Full Text][Citation analysis]		paper2
2012Bayesian Graphical Models for Structural Vector Autoregressive Processes In: Working Papers.
[Full Text][Citation analysis]		paper90
2016Bayesian Graphical Models for STructural Vector Autoregressive Processes.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90		article
2012Financial press and stock markets in times of crisis In: Working Papers.
[Full Text][Citation analysis]		paper2
2013Bayesian Markov Switching Stochastic Correlation Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Adaptive Sticky Generalized Metropolis In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Growth-cycle phases in China�s provinces: A panel Markov-switching approach In: Working Papers.
[Full Text][Citation analysis]		paper0
2014A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Sparse Graphical Vector Autoregression: A Bayesian Approach In: Working Papers.
[Full Text][Citation analysis]		paper13
2016Bayesian nonparametric sparse seemingly unrelated regression model (SUR) In: Working Papers.
[Full Text][Citation analysis]		paper1
2018Bayesian Dynamic Tensor Regression In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Bayesian Markov Switching Tensor Regression for Time-varying Networks In: Working Papers.
[Full Text][Citation analysis]		paper0
2020Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Financial bridges and network communities In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 3 2023. Contact: CitEc Team