Search Results - "Roberto Casarin"

Bayesian Graphical Models for STructural Vector Autoregressive Processes by Ahelegbey, Daniel Felix, Billio, Monica, Casarin, Roberto

“…This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the…”
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Time-varying combinations of predictive densities using nonlinear filtering by Billio, Monica, Casarin, Roberto, Ravazzolo, Francesco, van Dijk, Herman K.

“…We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the…”
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Being on the field when the game is still under way. The financial press and stock markets in times of crisis by Casarin, Roberto, Squazzoni, Flaminio

“…This paper looks at the relationship between negative news and stock markets in times of global crisis, such as the 2008/2009 period. We analysed one year of…”
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Measuring daily tourism mobility spillover at the intra-metropolis level with mobile positioning data by Camatti, Nicola, Carallo, Giulia, Casarin, Roberto, Feng, Xiang

“…Although tourism mobility spillover continues to be a key indicator for tourism management, more innovative research must be conducted at the micro level and…”
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Forecasting Economic Indicators with Robust Factor Models by Corradin, Fausto, Billio, Monica, Casarin, Roberto

“…Outliers can cause significant errors in forecasting, and it is essential to reduce their impact without losing the information they store. Information loss…”
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Adaptive independent sticky MCMC algorithms by Martino, Luca, Casarin, Roberto, Leisen, Fabrizio, Luengo, David

“…Monte Carlo methods have become essential tools to solve complex Bayesian inference problems in different fields, such as computational statistics, machine…”
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Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox by Casarin, Roberto, Grassi, Stefano, Ravazzolo, Francesco, van Dijk, Herman K.

“…This paper presents the MATLAB package DeCo (density combination) which is based on the paper by Billio, Casarin, Ravazzolo, and van Dijk (2013) where a…”
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What makes a tweet be retweeted? A Bayesian trigram analysis of tweet propagation during the 2015 Colombian political campaign by Casarin, Roberto, Correa, Juan C, Camargo, Jorge E, Dakduk, Silvana, ter Horst, Enrique, Molina, German

“…This article proposes the use of computationally efficient inverse regression Bayesian method for analysis of tweet propagation of political messages. Our…”
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Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty by Casnici, Niccolò, Dondio, Pierpaolo, Casarin, Roberto, Squazzoni, Flaminio

“…This paper looks at 800,000 messages on the Unicredit stock, exchanged by 7,500 investors in the Finanzaonline.com forum, between 2005 and 2012 and measured…”
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A Matrix-Variate t Model for Networks by Billio, Monica, Casarin, Roberto, Costola, Michele, Iacopini, Matteo

“…Networks represent a useful tool to describe relationships among financial firms and network analysis has been extensively used in recent years to study…”
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Correction: Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty by Casnici, Niccolò, Dondio, Pierpaolo, Casarin, Roberto, Squazzoni, Flaminio

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Bayesian calibration of generalized pools of predictive distributions by Casarin, Roberto, Mantoan, Giulia, Ravazzolo, Francesco

“…Decision-makers often consult different experts to build reliable forecasts on variables of interest. Combining more opinions and calibrating them to maximize…”
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Replacing animal fat with gels of psyllium fiber and combined linseed oil-psyllium fiber in salamis: impacts on technological, nutritional, oxidative, and sensory properties by Jovanovichs, Marcos Roberto Casarin, Pinton, Mariana Basso, Correa, Leticia Pereira, Pedro, Douglas, Mallmann, Carlos Augusto, Wagner, Roger, Cichoski, Alexandre José, Lorenzo, José M., Teixeira, Alfredo, Campagnol, Paulo C.B., Santos, Bibiana Alves dos

“…This study produced two gels: one solely using psyllium fiber (GP) and another combining this fiber with linseed oil (GL+P). Both gels replaced 15% and 30% of…”
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Sparse Graphical Vector Autoregression: A Bayesian Approach by Daniel Felix Ahelegbey, Monica Billio, Roberto Casarin

“…This paper considers a sparsity approach for inference in large vector autoregressive (VAR) models. The approach is based on a Bayesian procedure and a…”
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Bayesian Nonparametric Calibration and Combination of Predictive Distributions by Bassetti, Federico, Casarin, Roberto, Ravazzolo, Francesco

“…We introduce a Bayesian approach to predictive density calibration and combination that accounts for parameter uncertainty and model set incompleteness through…”
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Bayesian Markov-Switching Tensor Regression for Time-Varying Networks by Billio, Monica, Casarin, Roberto, Iacopini, Matteo

“…Modeling time series of multilayer network data is challenging due to the peculiar characteristics of real-world networks, such as sparsity and abrupt…”
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Computational complexity and parallelization in Bayesian econometric analysis by Baştürk, Nalan, Casarin, Roberto, Ravazzolo, Francesco, van Dijk, Herman K

“…Challenging statements have appeared in recent years in the literature on advances in computational procedures.[...]…”
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Bayesian nonparametric sparse VAR models by Billio, Monica, Casarin, Roberto, Rossini, Luca

“…High dimensional vector autoregressive (VAR) models require a large number of parameters to be estimated and may suffer of inferential problems. We propose a…”
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Markov switching GARCH models for Bayesian hedging on energy futures markets by Billio, Monica, Casarin, Roberto, Osuntuyi, Anthony

“…Effective hedging strategies on oil spot and future markets are relevant in reducing price volatility for investors, energy traders and companies operating in…”
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Generalized Poisson difference autoregressive processes by Carallo, Giulia, Casarin, Roberto, Robert, Christian P.

“…This paper introduces a novel stochastic process with signed integer values. Its autoregressive dynamics effectively captures persistence in conditional…”
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