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Structural Changes in Contagion Channels : the Impact of COVID-19 on the Italian Electricity Market
Ahelegbey, Daniel Felix; Casarin, Roberto; Fianu, … - 2022
Participants in electricity zonal markets are mostly concerned with two layers of value-chain in the production, investment, consumption of electricity and its derived products. On the other hand, achieving the goal of restructuring, policy regulations and transformation, requires accurately...
Persistent link: https://www.econbiz.de/10013310410
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Adaptive Sticky Generalized Metropolis
Leisen, Fabrizio; Casarin, Roberto; Luengo, David; … - Dipartimento di Economia, Università Ca' Foscari Venezia - 2013
-purpose simulation from a target probability distribution. The transition of the Metropolis chain is based on a multiple-try scheme and …
Persistent link: https://www.econbiz.de/10010735577
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Business Cycle and Stock Market Volatility: A Particle Filter Approach
Casarin, Roberto; Trecroci, Carmine - Université Paris-Dauphine (Paris IX) - 2006
The recent observed decline of business cycle variability suggests that broad macroeconomic risk may have fallen as well. This may in turn have some impact on equity risk premia. We investigate the latent structures in the volatilities of the business cycle and stock market valuations by...
Persistent link: https://www.econbiz.de/10011072864
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Bayesian Inference on Dynamic Models with Latent Factors
Billio, Monica; Casarin, Roberto; Sartore, Domenico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2007
simulation based approach to parameters estimation and latent factors filtering. The paper examines economic time series models … review some general univariate Bayesian dynamic models and discuss the simulation based techniques, such as Gibbs sampling …
Persistent link: https://www.econbiz.de/10005113373
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Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models
Casarin, Roberto - 2006
approach to filtering and estimation, focusing on recently developed simulation based filtering techniques, called Particle … Filters. Simulation based filters are recursive techniques, which are useful when assuming non-linear and non-Gaussian latent …
Persistent link: https://www.econbiz.de/10012735221
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Bayesian Monte Carlo Filtering for Stochastic Volatility Models
Casarin, Roberto - 2006
Bayesian approach is preferable since it allows to treat general state space models and makes easier the simulation based … Bayesian inference approaches for latent factor models. Moreover, we provide a review of simulation based filtering methods in …
Persistent link: https://www.econbiz.de/10012735226
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Bayesian Inference on Dynamic Models with Latent Factors
Billio, Monica - 2012
simulation based approach to parameters estimation and latent factors filtering. The paper examines economic time series models … review some general univariate Bayesian dynamic models and discuss the simulation based techniques, such as Gibbs sampling …
Persistent link: https://www.econbiz.de/10012712875
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Business Cycle and Stock Market Volatility : Are They Related?
Casarin, Roberto - 2008
We investigate the latent volatility structures of the fluctuations in the US business cycle and stock market valuations. The technical novelty of this work lies in the estimation of a Markov-switching stochastic-volatility model that allows for Bayesian sequential evaluation on both the...
Persistent link: https://www.econbiz.de/10012727190
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Bayesian Inference in Dynamic Models with Latent Factors
Billio, Monica; Casarin, Roberto; Sartore, Domenico - 2012
simulation based approach to parameters estimation and latent factors filtering. The paper examines economic time series models … review some general univariate Bayesian dynamic models and discuss the simulation based techniques, such as Gibbs sampling …
Persistent link: https://www.econbiz.de/10014067403
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Adaptive Sticky Generalized Metropolis
Martino, Luca - 2013
-purpose simulation from a target probability distribution. The transition of the Metropolis chain is based on a multiple-try scheme and …
Persistent link: https://www.econbiz.de/10013076660