Roberto Casarin

Available identifiers

zbMath Open casarin.robertoMaRDI QIDQ273636

List of research outcomes

Publication	Date of Publication	Type
A Bayesian time varying approach to risk neutral density estimation	2025-01-22	Paper
Modeling corporate CDS spreads using Markov switching regressions	2024-11-28	Paper
A dynamic latent-space model for asset clustering	2024-11-28	Paper
A Stochastic Volatility Model With Realized Measures for Option Pricing	2024-10-28	Paper
A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets	2024-10-23	Paper
Monte Carlo within simulated annealing for integral constrained optimizations	2024-05-30	Paper
Living on the edge: an unified approach to antithetic sampling	2024-05-15	Paper
Bayesian Markov-Switching Tensor Regression for Time-Varying Networks	2024-03-19	Paper
Bayesian Nonparametric Panel Markov-Switching GARCH Models	2024-03-06	Paper
Bayesian Dynamic Tensor Regression	2024-03-05	Paper
A flexible predictive density combination for large financial data sets in regular and crisis periods	2023-11-17	Paper
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis	2023-03-13	Paper
Markov switching panel with endogenous synchronization effects	2022-09-14	Paper
A framework for information synthesis into sentiment indicators using text mining methods	2022-08-01	Paper
Multilayer network analysis of oil linkages	2022-06-22	Paper
Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures	2021-02-15	Paper
Hierarchical species sampling models	2021-02-09	Paper
Bayesian nonparametric sparse VAR models	2019-09-02	Paper
Modeling systemic risk with Markov switching graphical SUR models	2019-04-30	Paper
Structural changes in large economic datasets: a nonparametric homogeneity test	2019-03-11	Paper
Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model	2019-02-25	Paper
Bayesian Nonparametric Calibration and Combination of Predictive Distributions	2018-11-02	Paper
Bayesian Nonparametric Sparse Vector Autoregressive Models	2018-10-12	Paper
Efficient Gibbs sampling for Markov switching GARCH models	2018-08-15	Paper
Embarrassingly parallel sequential Markov-chain Monte Carlo for large sets of time series	2018-05-08	Paper
A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities	2016-04-22	Paper
Bayesian model selection for beta autoregressive processes	2016-02-05	Paper
Comment on article by Windle and Carvalho	2015-12-21	Paper
Interacting multiple try algorithms with different proposal distributions	2015-10-16	Paper
Beta-product dependent Pitman-Yor processes for Bayesian inference	2014-11-11	Paper
Time-varying combinations of predictive densities using nonlinear filtering	2014-06-06	Paper
Online data processing: comparison of Bayesian regularized particle filters	2013-05-27	Paper
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area	2011-01-06	Paper
Stochastic optimization for allocation problems with shortfall risk constraints	2007-12-16	Paper

Research outcomes over time

This page was built for person: Roberto Casarin