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Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - In: Journal of econometrics 217 (2020) 2, pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
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Forecast density combinations of dynamic models and data driven portfolio strategies
Baştürk, N.; Borowska, A.; Grassi, S.; Hoogerheide, … - In: Journal of econometrics 210 (2019) 1, pp. 170-186
Persistent link: https://www.econbiz.de/10012303391
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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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An entropy-based early warning indicator for systemic risk
Billio, Monica; Casarin, Roberto; Costola, Michele; … - In: Journal of international financial markets, … 45 (2016), pp. 42-59
Persistent link: https://www.econbiz.de/10011690432
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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
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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 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
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Combined density nowcasting in an uncertain economic environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 131-145
Persistent link: https://www.econbiz.de/10011894481
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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
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Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model
Casarin, Roberto; Foroni, Claudia; Marcellino, Massimiliano - 2017
Persistent link: https://www.econbiz.de/10011741654