15
H index
21
i10 index
660
Citations
Università Ca' Foscari Venezia (47% share) | 15 H index 21 i10 index 660 Citations RESEARCH PRODUCTION: 38 Articles 84 Papers 2 Chapters RESEARCH ACTIVITY: 19 years (2005 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pca216 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Roberto Casarin. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 6 |
Journal of Business & Economic Statistics | 4 |
Advances in Decision Sciences | 2 |
PLOS ONE | 2 |
Energy Economics | 2 |
Econometrics | 2 |
Year | Title of citing document |
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2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper |
2023 | Predictive 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 |
2023 | Portfolio 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 |
2023 | Bayesian 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 |
2024 | Macroeconomic Spillovers of Weather Shocks across U.S. States. (2024). Moramarco, Graziano ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:2403.10907. Full description at Econpapers || Download paper |
2024 | Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335. Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2024 | Taylor Rules with Endogenous Regimes. (2024). van Dijk, Herman K ; Furlanetto, Francesco ; Cross, Jamie L ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0130. Full description at Econpapers || Download paper |
2024 | Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View. (2024). Herman, Van Dijk. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:155-176:n:12. Full description at Econpapers || Download paper |
2024 | A Dynamic Latent-Space Model for Asset Clustering. (2024). Antonio, Peruzzi ; Roberto, Casarin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:379-402:n:9. Full description at Econpapers || Download paper |
2023 | Density 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 |
2023 | Volatility and dark trading: Evidence from the Covid-19 pandemic. (2023). Rzayev, Khaladdin ; Ibikunle, Gbenga. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:4:s0890838922001111. Full description at Econpapers || Download paper |
2023 | A 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 |
2023 | A 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 |
2023 | Beyond distance: The spatial relationships of European regional economic growth. (2023). Glocker, Christian ; Krisztin, Tamas ; Piribauer, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:155:y:2023:i:c:s0165188923001410. Full description at Econpapers || Download paper |
2023 | How 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 |
2024 | Belief-dependent pricing decisions. (2024). Frache, Serafin ; Turen, Javier ; Lluberas, Rodrigo. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s026499932300442x. Full description at Econpapers || Download paper |
2023 | Hedge 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 |
2023 | A 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 |
2023 | Model averaging for asymptotically optimal combined forecasts. (2023). Liu, Chu-An ; Chen, Yi-Ting. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:592-607. Full description at Econpapers || Download paper |
2023 | On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates. (2023). Zhang, Boyuan ; Shin, Minchul ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001464. Full description at Econpapers || Download paper |
2024 | Industrial Connectedness and Business Cycle Comovements. (2024). Owyang, Michael ; Guisinger, Amy ; Soques, Daniel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:132-149. Full description at Econpapers || Download paper |
2024 | Modeling Turning Points in the Global Equity Market. (2024). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75. Full description at Econpapers || Download paper |
2023 | Hedging 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 |
2024 | Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407. Full description at Econpapers || Download paper |
2024 | A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options. (2024). Guizzardi, Andrea ; Dinnocenzo, Enzo ; Ballestra, Luca Vincenzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194. Full description at Econpapers || Download paper |
2024 | Combining probabilistic forecasts of intermittent demand. (2024). Petropoulos, Fotios ; Kang, Yanfei ; Wang, Shengjie. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:1038-1048. Full description at Econpapers || Download paper |
2023 | A financial risk meter for China. (2023). Hardle, Wolfgang Karl ; Althof, Michael ; Wang, Ruting. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000572. Full description at Econpapers || Download paper |
2023 | Non-banks contagion and the uneven mitigation of climate risk. (2023). Sydow, Matthias ; Gourdel, Regis. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002557. Full description at Econpapers || Download paper |
2023 | State transformation of information spillover in asset markets and effective dynamic hedging strategies. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Wang, Yu-Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002880. Full description at Econpapers || Download paper |
2023 | A new way of measuring effects of financial crisis on contagion in currency markets. (2023). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923002806. Full description at Econpapers || Download paper |
2023 | Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004088. Full description at Econpapers || Download paper |
2023 | Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295. Full description at Econpapers || Download paper |
2023 | Systemic 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 |
2024 | The topological structure of panel variance decomposition networks. (2024). Pagnottoni, Paolo ; Cerchiello, Paola ; Celani, Alessandro. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s157230892400007x. Full description at Econpapers || Download paper |
2024 | Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093. Full description at Econpapers || Download paper |
2023 | The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051. Full description at Econpapers || Download paper |
2024 | Leveraged finance exposure in the banking system: Systemic risk and interconnectedness. (2024). Ranalli, M G ; Tanzi, Musile P ; de Novellis, G ; Stanghellini, E. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001580. Full description at Econpapers || Download paper |
2023 | Empirically-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 |
2023 | Real-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 |
2023 | Penalized estimation of panel vector autoregressive models: A panel LASSO approach. (2023). Camehl, Annika. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1185-1204. Full description at Econpapers || Download paper |
2023 | Bayesian forecast combination using time-varying features. (2023). Li, Feng ; Kang, Yanfei. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1287-1302. Full description at Econpapers || Download paper |
2023 | Forecast combinations: An over 50-year review. (2023). Li, Feng ; Kang, Yanfei ; Hyndman, Rob J ; Wang, Xiao Qian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1518-1547. Full description at Econpapers || Download paper |
2023 | Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803. Full description at Econpapers || Download paper |
2023 | Macroeconomic forecasting in the euro area using predictive combinations of DSGE models. (2023). Čapek, Jan ; Reichel, Vlastimil ; Hauzenberger, Niko ; Cuaresma, Jesus Crespo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1820-1838. Full description at Econpapers || Download paper |
2023 | Dynamic linear models with adaptive discounting. (2023). Pavlidis, Efthymios G ; Yusupova, Alisa. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1925-1944. Full description at Econpapers || Download paper |
2024 | Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839. Full description at Econpapers || Download paper |
2023 | Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289. Full description at Econpapers || Download paper |
2023 | How are climate risk shocks connected to agricultural markets?. (2023). Zhang, Yunhan ; Li, Yichong ; Guo, Kun ; Zhao, Wanli ; Ji, Qiang. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000570. Full description at Econpapers || Download paper |
2023 | Futures 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 |
2023 | Assessing 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 |
2023 | Bitcoin market networks and cyberattacks. (2023). Sousa, Ricardo ; Costantini, Mauro ; Mishra, Tapas ; Maaitah, Ahmad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123007203. Full description at Econpapers || Download paper |
2024 | Bridge successive states for a complex system with evolutionary matrix. (2024). Yang, Huijie ; Gu, Changgui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:637:y:2024:i:c:s0378437124000426. Full description at Econpapers || Download paper |
2024 | Systemic risk and financial networks. (2024). Zhang, Xiaoyuan ; Li, Bingqing. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:25-36. Full description at Econpapers || Download paper |
2023 | A 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 |
2023 | The 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 |
2024 | Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions. (2024). Wang, Gang-Jin ; Zhou, Xuewei ; Ouyang, Zisheng ; Lu, Min ; Liu, Shuwen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:909-928. Full description at Econpapers || Download paper |
2023 | Machine 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 |
2023 | Multilayer 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. Full description at Econpapers || Download paper |
2024 | Measuring the impact of the EU health emergency response authority on the economic sectors and the public sentiment. (2024). Ahelegbey, Daniel Felix ; Cerchiello, Paola ; Celani, Alessandro. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:92:y:2024:i:c:s0038012124000417. Full description at Econpapers || Download paper |
2023 | Truncated two-parameter Poisson-Dirichlet approximation for Pitman-Yor process hierarchical models. (2023). Dassios, Angelos ; Zhang, Junyi. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120294. Full description at Econpapers || Download paper |
2023 | Bayesian 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 |
2023 | Dirichlet Process Log Skew-Normal Mixture with a Missing-at-Random-Covariate in Insurance Claim Analysis. (2023). Bezbradica, Marija ; Crane, Martin ; Lindberg, David ; Kim, Minkun. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:4:p:24-:d:1258711. Full description at Econpapers || Download paper |
2023 | Safe-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 |
2023 | . Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Persistence 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 |
2024 | Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe. (2024). Caporale, Guglielmo Maria ; Akdeniz, Cokun ; Lhan, Ali ; Atik, Abdurrahman Nazif ; Helmi, Mohamad Husam. In: Empirica. RePEc:kap:empiri:v:51:y:2024:i:2:d:10.1007_s10663-024-09608-0. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2024 | COVID-19 Medical Trade: Multilayer Network Analysis and Network Determinants. (2024). Xie, Xiaowei ; Peng, Peng. In: Networks and Spatial Economics. RePEc:kap:netspa:v:24:y:2024:i:1:d:10.1007_s11067-023-09609-9. Full description at Econpapers || Download paper |
2023 | Bayesian 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. Full description at Econpapers || Download paper |
2023 | Are 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. Full description at Econpapers || Download paper |
2023 | Robust 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. Full description at Econpapers || Download paper |
2023 | Housing 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. Full description at Econpapers || Download paper |
2023 | Network?based early warning system to predict financial crisis. (2021). Dastkhan, Hossein. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:594-616. Full description at Econpapers || Download paper |
2024 | Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries. (2024). Marco, Chi Keung ; Downing, Gareth ; Elsayed, Ahmed H ; Sheng, Xin. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1804-1819. Full description at Econpapers || Download paper |
2024 | Reduced?form factor augmented VAR—Exploiting sparsity to include meaningful factors. (2021). Kaufmann, Sylvia ; Beyeler, Simon. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:7:p:989-1012. Full description at Econpapers || Download paper |
2023 | Structural 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. Full description at Econpapers || Download paper |
2023 | Active 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | Opinion Dynamics and Disagreements on Financial Networks In: Advances in Decision Sciences. [Full Text][Citation analysis] | article | 1 |
2020 | A Scoring Rule for Factor and Autoregressive Models Under Misspecification In: Advances in Decision Sciences. [Full Text][Citation analysis] | article | 0 |
2018 | A scoring rule for factor and autoregressive models under misspecification.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2013 | Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 20 |
2014 | Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox.(2014) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2015 | Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox.(2015) In: Journal of Statistical Software. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
2015 | Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2013 | Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2014 | A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities In: Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | A 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 nother version. Agregated cites: 0 | paper | |
2018 | Bayesian nonparametric sparse VAR models In: Papers. [Full Text][Citation analysis] | paper | 18 |
2019 | Bayesian nonparametric sparse VAR models.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
2020 | Generalized Poisson Difference Autoregressive Processes In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach In: Papers. [Full Text][Citation analysis] | paper | 6 |
2021 | The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2021 | COVID-19 spreading in financial networks: A semiparametric matrix regression model In: Papers. [Full Text][Citation analysis] | paper | 5 |
2024 | COVID-19 spreading in financial networks: A semiparametric matrix regression model.(2024) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2021 | COVID-19 spreading in financial networks: A semiparametric matrix regression model.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2022 | First-order integer-valued autoregressive processes with Generalized Katz innovations In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | A Dynamic Stochastic Block Model for Multi-Layer Networks In: Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | A Bayesian time varying approach to risk neutral density estimation In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 2 |
2010 | Combining predictive densities using Bayesian filtering with applications to US economics data In: Working Paper. [Full Text][Citation analysis] | paper | 8 |
2011 | Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2012 | Combining predictive densities using Bayesian filtering with applications to US economic data.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2012 | Combination schemes for turning point predictions In: Working Paper. [Full Text][Citation analysis] | paper | 22 |
2012 | Combination schemes for turning point predictions.(2012) In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
2011 | Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2012 | Combination schemes for turning point predictions.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2013 | Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Paper. [Full Text][Citation analysis] | paper | 10 |
2014 | Interactions 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 nother version. Agregated cites: 10 | paper | |
2014 | Interactions 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 nother version. Agregated cites: 10 | paper | |
2015 | Bayesian nonparametric calibration and combination of predictive distributions In: Working Paper. [Full Text][Citation analysis] | paper | 24 |
2018 | Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2018) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
2015 | Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2015 | Dynamic predictive density combinations for large data sets in economics and finance In: Working Paper. [Full Text][Citation analysis] | paper | 7 |
2017 | Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2014 | Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2018 | Markov Switching Panel with Network Interaction Effects In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Oil and Fiscal Policy Regimes In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Fiscal Policy Regimes in Resource-Rich Economies In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 8 |
2019 | Density Forecasting In: BEMPS - Bozen Economics & Management Paper Series. [Full Text][Citation analysis] | paper | 0 |
2021 | Markov Switching Panel with Endogenous Synchronization Effects In: BEMPS - Bozen Economics & Management Paper Series. [Full Text][Citation analysis] | paper | 3 |
2022 | Markov switching panel with endogenous synchronization effects.(2022) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2011 | Risk 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] | paper | 26 |
2013 | Risk 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 nother version. Agregated cites: 26 | article | |
2011 | Risk 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 nother version. Agregated cites: 26 | paper | |
2011 | Risk 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 nother version. Agregated cites: 26 | paper | |
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2017 | Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Beta-product Poisson-Dirichlet Processes In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
2011 | Interacting multiple -- Try algorithms with different proposal distributions In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
2016 | Efficient Gibbs sampling for Markov switching GARCH models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 13 |
2012 | Efficient Gibbs Sampling for Markov Switching GARCH Models.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2021 | On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
2019 | Structural changes in large economic datasets: A nonparametric homogeneity test In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
2013 | Time-varying combinations of predictive densities using nonlinear filtering In: Journal of Econometrics. [Full Text][Citation analysis] | article | 90 |
2012 | Time-varying Combinations of Predictive Densities using Nonlinear Filtering.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
2014 | Beta-product dependent Pitman–Yor processes for Bayesian inference In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
2013 | Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2019 | Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
2018 | Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2023 | A flexible predictive density combination for large financial data sets in regular and crisis periods In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
2022 | A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods.(2022) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2023 | Nowcasting industrial production using linear and non-linear models of electricity demand In: Energy Economics. [Full Text][Citation analysis] | article | 2 |
2022 | Nowcasting industrial production using linear and non-linear models of electricity demand.(2022) In: DEM Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2018 | Markov switching GARCH models for Bayesian hedging on energy futures markets In: Energy Economics. [Full Text][Citation analysis] | article | 27 |
2014 | Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2016 | An entropy-based early warning indicator for systemic risk In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 21 |
2015 | An entropy-based early warning indicator for systemic risk.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2018 | Relating 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] | article | 0 |
2021 | Oil and fiscal policy regimes In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
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2022 | A Bayesian Approach to Inference on Probabilistic Surveys In: Staff Reports. [Full Text][Citation analysis] | paper | 0 |
2016 | Bayesian Calibration of Generalized Pools of Predictive Distributions In: Econometrics. [Full Text][Citation analysis] | article | 6 |
2016 | Computational Complexity and Parallelization in Bayesian Econometric Analysis In: Econometrics. [Full Text][Citation analysis] | article | 0 |
2008 | Italian Equity Funds: Efficiency and Performance Persistence In: The IUP Journal of Financial Economics. [Citation analysis] | article | 13 |
2008 | Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2008 | Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2010 | Identifying 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] | article | 7 |
2015 | Back 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] | article | 1 |
2020 | Multilayer network analysis of oil linkages In: The Econometrics Journal. [Full Text][Citation analysis] | article | 6 |
2020 | Modeling Turning Points In Global Equity Market In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2013 | Being 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] | article | 8 |
2015 | Decrypting 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] | article | 2 |
2020 | A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance In: Working Paper series. [Full Text][Citation analysis] | paper | 3 |
2021 | A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance.(2021) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2021 | Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model In: Working Paper series. [Full Text][Citation analysis] | paper | 0 |
2021 | A Bayesian Generalized Poisson Model for Cyber Risk Analysis In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Relative benchmark rating and persistence analysis: Evidence from Italian equity funds In: The European Journal of Finance. [Full Text][Citation analysis] | article | 10 |
2018 | A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 17 |
2020 | A Stochastic Volatility Model With Realized Measures for Option Pricing In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 5 |
2023 | Bayesian Dynamic Tensor Regression In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1 |
2018 | Bayesian Dynamic Tensor Regression.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2024 | Bayesian Nonparametric Panel Markov-Switching GARCH Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2022 | A framework for information synthesis into sentiment indicators using text mining methods In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
2011 | Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2011 | Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2015 | Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2007 | Online data processing: comparison of Bayesian regularized particle filters In: Working Papers. [Full Text][Citation analysis] | paper | 20 |
2008 | Particle Filters for Markov-Switching Stochastic-Correlation Models In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2008 | Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2008 | Matrix-State Particle Filter for Wishart Stochastic Volatility Processes In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2007 | Matrix-State Particle Filter for Wishart Stochastic Volatility Processes.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2010 | Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2005 | Stochastic Processes in Credit Risk Modelling In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2006 | Business Cycle and Stock Market Volatility: A Particle Filter Approach In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
2006 | Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints In: Working Papers. [Full Text][Citation analysis] | paper | 16 |
2007 | Stochastic optimization for allocation problems with shortfall risk constraints.(2007) In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
2007 | Bayesian Inference on Dynamic Models with Latent Factors In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Bayesian Graphical Models for Structural Vector Autoregressive Processes In: Working Papers. [Full Text][Citation analysis] | paper | 101 |
2016 | Bayesian Graphical Models for STructural Vector Autoregressive Processes.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 101 | article | |
2012 | Financial press and stock markets in times of crisis In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2013 | Bayesian Markov Switching Stochastic Correlation Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Adaptive Sticky Generalized Metropolis In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Growth-cycle phases in China�s provinces: A panel Markov-switching approach In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Sparse Graphical Vector Autoregression: A Bayesian Approach In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
2016 | Bayesian nonparametric sparse seemingly unrelated regression model (SUR) In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Bayesian Markov Switching Tensor Regression for Time-varying Networks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Financial bridges and network communities In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2023 | Learning from experts: Energy efficiency in residential buildings In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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