← All authors Roberto Casarin Ca' Foscari University of Venice (from arXiv:2604.05838, 2026) · ORCID · OpenAlex
71 papers in scope · 66 published · 6 on the econ.EM arXiv · 1,544 citations · h-index 21 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Ovielt Baltodano López Giulia Carallo Jan van den Brakel Franz C. Palm Caterina Schiavoni Federico Bassetti Andrea Bastianin Graziano Moramarco Emanuele Bacchiocchi Stephan Smeekes Etiënne Wijler Enrica De Cian Malcolm Mistry Anthony Osuntuyi Monica Billio Marina Friedrich Luca Margaritella Luca Rossini Alain Hecq Jean-Pierre Urbain Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (8 of 71)
Forecasting daily visits in Shanghai with Model combination and Telco big data
published 2026 · Tourism Economics
Fiscal Policy Regimes in Resource‐Rich Economies
published 2026 · Journal of Applied Econometrics · 1 citations · first circulated 2023
working paper 2026 · arXiv
2nd Special Issue on Bayesian Methods in Statistics and Econometrics: Structured dependence and robust inference at scale
published 2026 · Econometrics and Statistics
with Luciana DallaValle, Michele Guindani, Daniel Kowal, Yasuhiro Omori
Towards a better understanding of financial and economic systems’ complexities: some new evidence coming from artificial intelligence, machine learning and big data advanced technologies
published 2026 · Annals of Operations Research
Compounding geopolitical and energy risks: A clustered stochastic multi-COVOL model
published 2025 · Energy Economics · 1 citations
published 2025 · Econometrics and Statistics · 1 citations · first circulated 2022
Markov switching multiple-equation tensor regressions
published 2025 · Journal of Multivariate Analysis · 2 citations · first circulated 2024
with Radu V. Craiu, Qīng Wáng
working paper 2025 · arXiv
Bayesian dynamic quantile model averaging
published 2024 · Annals of Operations Research · 4 citations · first circulated 2016
working paper 2024 · arXiv
Learning from experts: Energy efficiency in residential buildings
published 2024 · Energy Economics · 14 citations · first circulated 2023
Structural changes in contagion channels: the impact of COVID-19 on the Italian electricity market
published 2024 · Annals of Operations Research · 4 citations · first circulated 2021
with Daniel Felix Ahelegbey, Emmanuel Senyo Fianu, Luigi Grossi
Living on the Edge: An Unified Approach to Antithetic Sampling
published 2024 · Statistical Science · 2 citations · first circulated 2021
published 2023 · International Journal of Forecasting · 10 citations
Modeling Corporate CDS Spreads Using Markov Switching Regressions
published 2023 · Studies in Nonlinear Dynamics and Econometrics
A Dynamic Latent-Space Model for Asset Clustering
published 2023 · Studies in Nonlinear Dynamics and Econometrics · 2 citations
Nowcasting industrial production using linear and non-linear models of electricity demand
published 2023 · Energy Economics · 11 citations
Bayesian Nonparametric Panel Markov-Switching GARCH Models
published 2023 · Journal of Business and Economic Statistics · 5 citations · first circulated 2020
A flexible predictive density combination for large financial data sets in regular and crisis periods
published 2023 · Journal of Econometrics · 8 citations · first circulated 2021
working paper 2022 · arXiv
Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
published 2022 · Journal of the American Statistical Association · 14 citations · first circulated 2017
Bayesian Dynamic Tensor Regression
published 2022 · Journal of Business and Economic Statistics · 33 citations · first circulated 2017
Forecasting Economic Indicators with Robust Factor Models
published 2022 · National Accounting Review · 10 citations
Modeling Turning Points in the Global Equity Market
published 2021 · Econometrics and Statistics · 9 citations · first circulated 2020
published 2021 · Econometrics and Statistics · 11 citations
On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting
published 2021 · Economic Modelling · 3 citations
with Mauro Costantini, Antonio Paradiso
Markov switching panel with endogenous synchronization effects
published 2021 · Journal of Econometrics · 17 citations
A Matrix-Variate t Model for Networks
published 2021 · Frontiers in Artificial Intelligence · 7 citations
working paper 2020 · arXiv · 6 citations
Multilayer network analysis of oil linkages
published 2020 · Econometrics Journal · 21 citations · first circulated 2018
What makes a tweet be retweeted? A Bayesian trigram analysis of tweet propagation during the 2015 Colombian political campaign
published 2019 · Journal of Information Science · 9 citations
Hierarchical Species Sampling Models
published 2019 · Bayesian Analysis · 3 citations
Bayesian nonparametric sparse VAR models
published 2019 · Journal of Econometrics · 74 citations
A Stochastic Volatility Model With Realized Measures for Option Pricing
published 2019 · Journal of Business and Economic Statistics · 19 citations
Structural changes in large economic datasets: A nonparametric homogeneity test
published 2018 · Economics Letters · 3 citations
Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
published 2018 · The Annals of Applied Statistics · 31 citations
Modeling systemic risk with Markov Switching Graphical SUR models
published 2018 · Journal of Econometrics · 73 citations
A Bayesian Time Varying Approach to Risk Neutral Density Estimation
published 2018 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 5 citations · first circulated 2015
with Germán Molina, Enrique ter Horst
Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns
published 2017 · Physica A Statistical Mechanics and its Applications · 3 citations
with P. Racca, Pierpaolo Dondio, Flaminio Squazzoni
Markov switching GARCH models for Bayesian hedging on energy futures markets
published 2017 · Energy Economics · 58 citations · first circulated 2013
Bayesian Nonparametric Calibration and Combination of Predictive Distributions
published 2017 · Journal of the American Statistical Association · 59 citations · first circulated 2015
Resilience of an online financial community to market uncertainty shocks during the recent financial crisis
published 2016 · Journal of Computational Science · 10 citations
with P. Racca, Flaminio Squazzoni, Pierpaolo Dondio
An entropy-based early warning indicator for systemic risk
published 2016 · Journal of International Financial Markets Institutions and Money · 76 citations · first circulated 2015
Dynamic Model Averaging for Quantile Regression
published 2016 · 48th Scientific Meeting of the Italian Statistical Society · 3 citations
no link
Bayesian Calibration of Generalized Pools of Predictive Distributions
published 2016 · Econometrics · 27 citations
Computational Complexity and Parallelization in Bayesian Econometric Analysis
published 2016 · Econometrics · 1 citations
Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model
published 2016 · Journal of Applied Econometrics · 59 citations · first circulated 2013
A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
published 2016 · Journal of Business and Economic Statistics · 32 citations
with Domenico Sartore, Marco Tronzano
Sparse Graphical Vector Autoregression: A Bayesian Approach
published 2016 · Annals of Economics and Statistics · 51 citations · first circulated 2014
Embarrassingly parallel sequential Markov-chain Monte Carlo for large sets of time series
published 2016 · Statistics and Its Interface · 1 citations · first circulated 2015
with Radu V. Craiu, Fabrizio Leisen
Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty
published 2015 · PLoS ONE · 18 citations
with Niccolò Casnici, Pierpaolo Dondio, Flaminio Squazzoni
A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
published 2015 · Bayesian Analysis · 15 citations · first circulated 2014
with Fabrizio Leisen, Germán Molina, Enrique ter Horst
Bayesian Graphical Models for STructural Vector Autoregressive Processes
published 2015 · Journal of Applied Econometrics · 205 citations · first circulated 2012
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
published 2015 · Journal of Statistical Software · 32 citations · first circulated 2013
Comment on Article by Windle and Carvalho
published 2014 · Bayesian Analysis · 1 citations
Efficient Gibbs sampling for Markov switching GARCH models
published 2014 · Computational Statistics & Data Analysis · 36 citations · first circulated 2012
Beta-product dependent Pitman–Yor processes for Bayesian inference
published 2014 · Journal of Econometrics · 11 citations · first circulated 2013
Probabilistic Calibration of Predictive Distributions
published 2014 · View
no link
Comment on a Tractable State-Space Model for Symmetric Positive-Definite Matrices
published 2014 · Bayesian Analysis · 1 citations
Being on the Field When the Game Is Still Under Way. The Financial Press and Stock Markets in Times of Crisis
published 2013 · PLoS ONE · 36 citations · first circulated 2012
with Flaminio Squazzoni
Time-varying combinations of predictive densities using nonlinear filtering
published 2013 · Journal of Econometrics · 155 citations · first circulated 2012
Combination schemes for turning point predictions
published 2012 · The Quarterly Review of Economics and Finance · 46 citations · first circulated 2011
Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
published 2012 · Mathematics and Computers in Simulation · 19 citations · first circulated 2011
with Chia-Lin Chang, Juan-Ángel Jiménez-Martín, Michael McAleer, Teodosio Pérez-Amaral
Bayesian Model Selection for Beta Autoregressive Processes
published 2012 · Bayesian Analysis · 32 citations · first circulated 2010
with Luciana Dalla Valle, Fabrizio Leisen
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
published 2011 · Studies in Nonlinear Dynamics and Econometrics · 19 citations
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real‐time application to the Euro area
published 2009 · Journal of Forecasting · 25 citations · first circulated 2008
Online data processing: Comparison of Bayesian regularized particle filters
published 2009 · Electronic Journal of Statistics · 51 citations · first circulated 2008
with Jean-Michel Marin
A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N.
published 2009 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1 citations
with J. Miguel Marín, Christian P. Robert
no link
Stochastic optimization for allocation problems with shortfall risk constraints
published 2007 · Applied Stochastic Models in Business and Industry · 21 citations · first circulated 2006
Relative benchmark rating and persistence analysis: Evidence from Italian equity funds
published 2005 · European Journal of Finance · 27 citations
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