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~person:"Casarin, Roberto"
~subject:"Estimation"
~subject:"Monte-Carlo-Simulation"
~subject:"Volatility"
~type_genre:"Amtliche Publikation"
~type_genre:"Aufsatz in Zeitschrift"
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Casarin, Roberto
Tsionas, Efthymios G.
37
Koop, Gary
18
Chan, Joshua
17
Li, Yong
15
Joshi, Mark S.
14
Koopman, Siem Jan
13
Chib, Siddhartha
12
Gupta, Rangan
12
Lesage, James P.
12
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11
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11
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11
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10
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10
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10
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9
Dijk, Herman K. van
9
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9
Frühwirth-Schnatter, Sylvia
9
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9
Huber, Florian
9
Ravazzolo, Francesco
9
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9
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9
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8
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8
Clark, Todd E.
8
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8
Fu, Michael
8
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8
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8
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8
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8
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8
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8
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8
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7
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
2
Economics letters
1
Energy economics
1
Journal of applied econometrics
1
Journal of forecasting
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ECONIS (ZBW)
8
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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 graphical models for structural vector autoregressive processes
Ahelegbey, Daniel Felix
;
Billio, Monica
;
Casarin, Roberto
- In:
Journal of applied econometrics
31
(
2016
)
2
,
pp. 357-386
Persistent link: https://www.econbiz.de/10011644349
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Identifying business cycle turning points with sequential Monte
Carlo
methods : an online and real-time application to the euro area
Billio, Monica
;
Casarin, Roberto
- In:
Journal of forecasting
29
(
2010
)
1/2
,
pp. 145-167
Persistent link: https://www.econbiz.de/10003951826
Saved in:
6
Structural changes in large economic datasets : a nonparametric homogeneity test
Casarin, Roberto
;
Costola, Michele
- In:
Economics letters
176
(
2019
),
pp. 55-59
Persistent link: https://www.econbiz.de/10012121230
Saved in:
7
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
Saved in:
8
A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto
;
Sartore, Domenico
;
Tronzano, Marco
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
Saved in:
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