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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"University Ca' Foscari of Venice, Dept. of Economics Research Paper Series"
~person:"Casarin, Roberto"
~person:"Paap, Richard"
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Casarin, Roberto
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series
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Working papers
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ECONIS (ZBW)
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1
A stochastic volatility model with realized measures for option pricing
Bormetti, Giacomo
;
Casarin, Roberto
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
Saved in:
2
Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto
;
Costantini, Mauro
;
Osuntuyi, Anthony
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
Saved in:
3
Parallel Sequential Monte
Carlo
for Efficient Density Combination : The Deco Matlab Toolbox
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2015
Monte
Carlo
algorithms to filter the time-varying combination weights. The DeCo procedure has been implemented both for …
Persistent link: https://www.econbiz.de/10014158534
Saved in:
4
Bayesian Graphical Models for Structural Vector Autoregressive Processes
Ahelegbey, Daniel Felix
-
2014
represented by two different graphs. We also provide an efficient Markov chain Monte
Carlo
algorithm to estimate jointly the two …
Persistent link: https://www.econbiz.de/10013064757
Saved in:
5
Bayesian dynamic tensor regression
Billio, Monica
;
Casarin, Roberto
;
Iacopini, Matteo
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 429-439
Persistent link: https://www.econbiz.de/10014448234
Saved in:
6
Bayesian Markov Switching Tensor Regression For Time-Varying Networks
Billio, Monica
-
2018
We propose a new Bayesian Markov switching regression model for multi-dimensional arrays (tensors) of binary time series. We assume a zero-inflated logit dynamics with time-varying parameters and apply it to multi-layer temporal networks. The original contribution is threefold. First, in order...
Persistent link: https://www.econbiz.de/10012917228
Saved in:
7
Bayesian Dynamic Tensor Regression
Billio, Monica
;
Casarin, Roberto
;
Kaufmann, Sylvia
; …
-
2018
combined with Monte
Carlo
Markov Chain (MCMC). We show the efficiency of the MCMC procedure on simulated datasets, with …
Persistent link: https://www.econbiz.de/10014113407
Saved in:
8
Bayesian Nonparametric Calibration and Combination of Predictive Distributions
Bassetti, Federico
-
2015
We introduce a Bayesian approach to predictive density calibration and combination that accounts for parameter uncertainty and model set incompleteness through the use of random calibration functionals and random combination weights. Building on the work of Ranjan and Gneiting (2010) and...
Persistent link: https://www.econbiz.de/10013027970
Saved in:
9
Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets
Billio, Monica
-
2015
A new Bayesian multi-chain Markov Switching GARCH model for dynamic hedging in energy futures markets is developed by constructing a system of simultaneous equations for the return dynamics on the hedged portfolio and futures. More specifically, both the mean and variance of the hedged portfolio...
Persistent link: https://www.econbiz.de/10013033418
Saved in:
10
Bayesian Markov Switching Stochastic Correlation Models
Casarin, Roberto
-
2015
This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent Markov chains. We outline a suitable Bayesian inference...
Persistent link: https://www.econbiz.de/10013035516
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