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Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - 2014
Persistent link: https://www.econbiz.de/10011629426
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Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - In: Energy economics 70 (2018), pp. 545-562
Persistent link: https://www.econbiz.de/10011942887
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A flexible predictive density combination model for large financial data sets in regular and crisis periods
Casarin, Roberto; Ravazollo, Francesco; Grassi, Stefano; … - 2022
A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....
Persistent link: https://www.econbiz.de/10012816959
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A Bayesian dynamic compositional model for large density combinations in finance
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2020
Persistent link: https://www.econbiz.de/10012384654
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Oil and fiscal policy regimes
Bjørnland, Hilde Christiane; Casarin, Roberto; … - 2021
Persistent link: https://www.econbiz.de/10012542739
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A Bayesian dynamic compositional model for large density combinations in finance
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2021
A Bayesian dynamic compositional model is introduced that can deal with combining a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing for combination weight dependence across models and time. A compositional model with...
Persistent link: https://www.econbiz.de/10012431874
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Oil and fiscal policy regimes
Bjørnland, Hilde Christiane; Casarin, Roberto; … - 2020
Persistent link: https://www.econbiz.de/10012437577
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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; … - 2022
A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...
Persistent link: https://www.econbiz.de/10013332662
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Fiscal policy regimes in resource-rich economies
Bjørnland, Hilde Christiane; Casarin, Roberto; … - 2023
Persistent link: https://www.econbiz.de/10014431646
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Efficient Gibbs Sampling for Markov Switching GARCH Models
Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - Dipartimento di Economia, Università Ca' Foscari Venezia - 2012
We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to … space models with particular attention to MS-GARCH models. Our multi-move sampling strategy is based on the Forward … Filtering Backward Sampling (FFBS) applied to an approximation of MS-GARCH. Another important contribution is the use of multi …
Persistent link: https://www.econbiz.de/10010602299