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Time-varying combinations of predictive densities using nonlinear filtering
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: Journal of econometrics 177 (2013) 2, pp. 213-232
Persistent link: https://www.econbiz.de/10010254875
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Modeling systemic risk with Markov Switching Graphical SUR models
Bianchi, Daniele; Billio, Monica; Casarin, Roberto; … - In: Journal of econometrics 210 (2019) 1, pp. 58-74
Persistent link: https://www.econbiz.de/10012303377
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Bayesian nonparametric sparse VAR models
Billio, Monica; Casarin, Roberto; Rossini, Luca - In: Journal of econometrics 212 (2019) 1, pp. 97-115
Persistent link: https://www.econbiz.de/10012303895
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Markov switching panel with endogenous synchronization effects
Agudze, Komla M.; Billio, Monica; Casarin, Roberto; … - In: Journal of econometrics 230 (2022) 2, pp. 281-298
Persistent link: https://www.econbiz.de/10013463814
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Beta-product dependent Pitman–Yor processes for Bayesian inference
Bassetti, Federico; Casarin, Roberto; Leisen, Fabrizio - In: Journal of econometrics 180 (2014) 1, pp. 49-72
Persistent link: https://www.econbiz.de/10010379485
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A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - In: Journal of econometrics 237 (2023) 2,3, pp. 1-12
Persistent link: https://www.econbiz.de/10014471818
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Bayesian estimation of switching ARMA models
Billio, Monica; Monfort, Alain; Robert, Christian P. - In: Journal of econometrics 93 (1999) 2, pp. 229-255
Persistent link: https://www.econbiz.de/10001406655