Publications

Casarin, R., Frattarolo, L., Radu, C., Robert, C. P. (2024), Living on the Edge: An Unified Approach to Antithetic Sampling, Statistical Science, 39(1), 115-136.

Billio, M., Casarin, R., Iacopini, M. (2024), Bayesian Markov-Switching Tensor Regression for Time-varying Networks,  Journal of the American Statistical Association (Theory & Methods), 119(545), 109-121.

Casarin, R., Costantini, M., Osuntuyi, A. (2024), Bayesian nonparametric panel Markov-switching GARCH models,  Journal of Business and Economic Statistics, 41(2), 135-146.

Ahelegbey, D. F., Billio, M., Casarin, R., (2024), Modeling Turning Points in the Global Equity Market, Econometrics and Statistics, 30, 60-75.

Ahelegbey, D. F., Casarin, R., Fianu E. S., Grossi, L. (2024), Structural Changes in Contagion Channels: The Impact of COVID-19 on the Italian Electricity Market, Annals of Operations Research, forthcoming.

Billio, M., Casarin, R., Costola, M. and Iacopini, M. (2024), COVID-19 spreading in financial networks: A semiparametric matrix regression model, Econometrics and Statistics, 29, 113-131.

Carallo, G., Casarin, R., Robert C. P. (2023), Generalized Poisson Difference Autoregressive Processes, International Journal of Forecasting, forthcoming (code).

Casarin, R., Peruzzi, A. (2023), A Dynamic Latent-Space Model for Asset Clustering, Studies in Nonlinear Dynamics and Econometrics, forthcoming (code).

Casarin, R., Grassi, S., Ravazzolo, F., van Dijk, H.K. (2023), A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods, Journal of Econometrics, 237(2), 1-12.

Baltodano, O., Bulfone, G., Casarin, R., Ravazzolo, F.  (2023), Modeling corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic, Studies in Nonlinear Dynamics and Econometrics, forthcoming.

Casarin, R., Galdi, G., Ferrari, D., Fezzi, C., Ravazzolo, F. (2023), Nowcasting industrial production using linear and non-linear models of electricity demand, Energy Economics, 126,1-11.

Billio, M., Casarin, R., Kaufmann, S., Iacopini, M. (2023), Bayesian Dynamic Tensor Regression Models,  Journal of Business and Economic Statistics, 41(2), 429-439.

Casarin, R., Maillet, B., Osuntuyi, A. (2022), Monte Carlo within Simulated Annealing for Integral Constrained Optimizations, Annals of Operations Research, forthcoming.

Agudze, K. M., Billio, M., Casarin, R., Ravazzolo, F. (2022), Markov Switching Panel with Endogenous Synchronization Effects, Journal of Econometrics, 230(2), 281-298.

Billio, M., Casarin, R., Corradin, F. (2022), Forecasting Economic Indicators with Robust Factor Models, National Accounting Review, 4(2),167-190.

Casarin, R., German, M., Ter Horst, E. (2022), A framework for information synthesis into sentiment indicators using text mining methods, Communications in Statistics (Theory and Methods), 51(15), 5265-5283.

Casarin, R., Costantini, M. and Paradiso, A. (2021), On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting, Economic Modelling, 105, 105644.

Billio, M., Casarin, R., Costola, M., Iacopini, M. (2021). A matrix-variate t model for networks, Frontiers in Artificial Intelligence, 4, 49.

Casarin, R., Correa, J. C., Camargo, J. E., Dakduk, S., German, M. and Ter Horst, E. (2021), What makes a tweet be retweeted? A Bayesian Trigram Analysis of Tweet Propagation during the 2015 Colombian Political Campaign, Journal of Information Science, 47(3), 297-305.

Bassetti, F., Casarin, R., Rossini, L. (2020), Hierarchical Species Sampling Models, Bayesian Analysis, 15(3), 809-838.

Bormetti, G., Casarin, R., Corsi, F. and Livieri, G. (2020), A stochastic volatility model with realized measures for option pricing, Journal of Business and Economic Statistics, 38(4), 856-871.

Casarin, R., Corradin, F., Ravazzolo, F. and Sartore, D. (2020), A scoring rule for factor and autoregressive models under misspecification, Advances in Decision Sciences, 24(2), 1-37.

Casarin, R., Iacopini, M., German, M., Ter Horst, E., Espinasa, R., Sucre, C. and Rigobon, R. (2020), Multilayer network analysis of oil linkages, Econometrics Journal, 23(2), 269-296.

Billio, M., Casarin, R., Rossini, L. (2019), Bayesian Nonparametric Sparse VAR Models, Journal of Econometrics, 212(1), 97-115.

Billio, M., Casarin, R., Costola, M., Frattarolo, L. (2019), Opinion Dynamics and Disagreements on Financial Networks, Advances in Decision Sciences, 23(4), 1-27.

Bianchi, D., Billio, M., Casarin, R., Guidolin, M. (2019), Modeling Systemic Risk with Markov Switching Graphical SUR Models, Journal of Econometrics, 210(1), 58-74.

Casarin, R., Molina, G., Ter Horst, E. (2019), A Bayesian Time-Varying Approach to Risk Neutral Density Estimation, Journal of the Royal Statistical Society, Series A, 182 (1), 165-195.

Casarin, R., Costola, M. (2019), Structural changes in large economic datasets: A nonparametric homogeneity test, Economics Letters, 176, 55-59.

Bassetti, F., Casarin, R., Ravazzolo, F. (2018), Bayesian Nonparametric Calibration and Combination of Predictive Distributions, Journal of the American Statistical Association (Theory & Methods), 113(522), 675-685.

Casarin, R., Foroni, C., Marcellino, M., Ravazzolo, F. (2018), Economic Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model, Annals of Applied Statistics, 12(4), 2559-2568.

Casarin, R., Sartore, D. and Tronzano, M. (2018), A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets, Journal of Business and Economic Statistics, 36(1), 101-114.

Billio, M., Casarin, R., Osuntuy A. (2018), Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets, Energy Economics, 70, 545-562.

Martino, L., Casarin, R., Leisen, F., Luengo, D. (2018), Adaptive Independent Sticky MCMC algorithms, EURASIP Journal on Advances in Signal Processing, 5, 1-28.

Racca, P., Casarin, R., Dondio, P., Squazzoni, F. (2018), Relating group size and posting activity of an online community of financial investors: regularities and seasonal patterns, Physica A: Statistical Mechanics and its Applications, 493, 458-466.

Ahelegbey D. F., Billio, M. and Casarin, R. (2016), Bayesian Graphical Models for Structural Vector Autoregressive Processes, Journal of Applied Econometrics, 31(2), 357-386.

Casarin, R., Craiu, R. and Leisen, F. (2016), Embarrassingly Parallel Sequential Markov-chain Monte Carlo for Large Sets of Time Series, Statistics and Its Interface, 9(4), 497-508.

Billio, M., Casarin, R., Ravazzolo, F. and van Dijk, H.K. (2016), Interconnections between Eurozone and US booms and busts using a Bayesian Panel Markov-Switching VAR model, Journal of Applied Econometrics, 31(7), 1352-1370.

Ahelegbey D. F., Billio, M., Casarin, R. (2016), Sparse Graphical Multivariate Autoregression: A Bayesian approach, Annals of Economics and Statistics,123/124, 1-30.

Racca, P., Casarin, R., Dondio, P. and Squazzoni, F. (2016), Resilience of an online financial community to market uncertainty shocks during the recent financial crisis, Journal of Computational Science,16, 190-199.

Billio, M., Casarin, R., Costola, M., Pasqualini, A. (2016), An entropy-based early warning indicator for systemic risk, Journal of International Financial Markets, Institutions and Money, 45, 42-59.

Billio, M., Casarin, R. and Osuntuy A. (2016), Efficient Gibbs Sampling for Markov Switching GARCH Models, Computational Statistics and Data Analysis, 100, 37-57.

Casarin, R., Mantoan, G., Ravazzolo, F. (2016), Bayesian Calibration of Generalized Pools of Predictive Distributions, Econometrics, 4(1), 1-17.

Basturk, N., Casarin, R., Ravazzolo, F. and Van Dijk, H.K. (2016), Computational Complexity and Parallelization in Bayesian Econometric Analysis, Econometrics, 4(1), 1-9.

Casarin, R., Leisen, F., Molina, G. and Ter Horst, E. (2015), Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities, Bayesian Analysis, 10(4), 791- 819.

Casnici, N., Dondio, P., Casarin, R. and Squazzoni, F. (2015), Decrypting financial markets through e-joint attention efforts: on-line adaptive networks of investors in periods of market uncertainty, Plos One, 10(9), 1-15.

Casarin, R., Grassi, S., Ravazzolo, F. and van Dijk, H.K. (2015), Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Journal of Statistical Software, 69, 1-30.

Casnici, N., Dondio, P., Casarin, R. and Squazzoni, F. (2015), Back to basics! The educational gap of online investors and the conundrum of virtual communities, Journal of Financial Management, Markets and Institutions, 3, 51-68.

Bassetti, F., Casarin, R. and Leisen, F. (2014), Beta-product Dependent Pitman-Yor Process Prior for Bayesian Inference, Journal of Econometrics, 180, 49-72.

Casarin, R. (2014), Comment on a Tractable State-Space Model for Symmetric Positive-Definite Matrices, Bayesian Analysis, 9(4), 793-804.

Billio, M. and Casarin, R., Ravazzolo, F. and Van Dijk, H.K. (2013), Time-varying Combinations of Predictive Densities using Nonlinear Filtering, Journal of Econometrics, 177(2), 213-232.

Casarin, R., Leisen, F. and Craiu, R. (2013), Interacting Multiple Try Algorithms with Different Proposal Distributions, Statistics and Computing, 23(2), 185-200.

Casarin, R., Chang C.-L., Jimenez-Martin, J.A., McAleer, M. and Perez Amaral, T.,(2013), Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures, Mathematics and Computer in Simulation, 94, 183-204.

Casarin, R. and Squazzoni, F. (2013), Being on the field when the game is still under way. The financial press and stock markets in times of crisis, Plos One, 8(7), 1-14.

Billio, M., Casarin, R., Ravazzolo, F. and van Dijk, H.K. (2012), Combination Schemes for Turning Point Predictions, Quarterly Review of Economics and Finance, 52, 402-412.

Casarin, R., Dalla Valle, L. and Leisen, F. (2012), Bayesian Model Selection for Beta Autoregressive Processes, Bayesian Analysis,7(1), 1-26.

Billio, M. and Casarin, R., (2011), Beta Autoregressive Transition Markov-switching Models for Business Cycle Analysis, Studies in Nonlinear Dynamics and Econometrics, 15(4), 1-32.

Billio, M. and Casarin, R., (2010), Identifying Business Cycle Turning Points with Sequential Monte Carlo: An Online and Real-Time Application to the Euro Area, Journal of Forecasting, 29, 145-167.

Casarin, R. and Marin, J.-M., (2009), Online data processing: Comparison of Bayesian regularized particle filters, Electronic Journal of Statistics, 3, 239-258.

Casarin, R., Pelizzon, L. and Piva, A., (2008), Italian Equity Funds: Efficiency and Performance Persistence, ICFAI Journal of Financial Economics, 6 (1), 7-28.

Casarin, R. and Billio, M. (2007), Stochastic Optimization for Allocation Problems with Shortfall Risk Constraint, Applied Stochastic Models in Business and Industry, 23, 247-271.

Casarin, R., Lazzarin, M., Pelizzon, L. and Sartore, D., (2005), Relative Benchmark Rating and Persistence Analysis: Evidence from Italian Equity Funds, The European Journal of Finance, 11 (4), 297-308.

Casarin, R. (2005), Simulation Methods for Nonlinear and Non-Gaussian Models in Finance (best Ph.D. thesis of the year), The Journal of the Italian Economic Association, 2, 341-345.

Del Negro, M., Bassetti, F., Casarin, R. (2023) Inference on Probabilistic Surveys in Macroeconomics with an Application to the Evolution of Uncertainty in the Survey of Professional Forecasters during the COVID Pandemic. In van der Klaauw, W., G. Topa, and R. Bachmann (Eds.), Handbook of Economic Expectations, Elsevier.

Billio, M., Casarin, R., Costola, M. and Iacopini, M. (2022), Matrix-variate Smooth Transition Models for Temporal Networks. In Andriette Bekker, Mohammad Arashi, and Din Chen, Johan Ferreira (eds) Innovations in Multivariate Statistical Modelling: Navigating Theoretical and Multidisciplinary Domains, Springer Emerging Topics in Statistics and Biostatistics, Springer Verlag.

Casarin, R. and Peruzzi, A. (2022), Time-Varying Assets Clustering via Identity-Link Latent-Space Infinite Mixture: An Application on DAX Components. ln Corazza, M., Perna, C., Pizzi, C., Sibillo, M. (eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer Verlag.

Billio, M., Casarin, R., Corradin, F. (2022), Understanding Economic Instability during the Pandemic: A Factor Model Approach. In Baltagi, B. H., Moscone, F., Tosetti, E. (Eds.) The Economics of COVID, (Contributions to Economic Analysis, Vol. 29), Emerald Publishing.

Carallo, G., Casarin, R., and Robert, C. (2022), A Bayesian Generalized Poisson Model for Cyber Risk Analysis. ln Corazza, M., Gilli, M., Perna, C., Pizzi, C., Sibillo, M. (Eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer Verlag.

Casarin, R., and Ravazzolo, F. (2021), Density calibration with consistent scoring functions. ln Perna, C., Salvati, N., Spagnolo, F. S. (Eds.), Book of Short Papers SIS 2021, Pearson, 293-297.

Casarin, R. and Baltodano Lòpez, O. (2021), A Dynamic Stochastic Block Model with infinite communities. In Perna, C., Salvati, N., Spagnolo, F. S. (Eds.), Book of Short Papers SIS 2021, Pearson, 991-996.

Casarin, R. and Veggente, V. (2021), Random Projection Methods in Economics and Finance. In Petr, H., Uddin, M.M., and Abedin, M. Z. (Eds.), The Essentials of Machine Learning in Finance and Accounting, Chapter 6, Routledge, Taylor & Francis.

Casarin, R., Facchinetti, A., Sorice, D. and Tonellato, S. (2021), Decision Trees and Random Forests. In Petr, H., Uddin, M.M., and Abedin, M. Z. (Eds.), The Essentials of Machine Learning in Finance and Accounting, Chapter 10, Routledge, Taylor & Francis.

Bassetti, F., Casarin, R. and Ravazzolo, F. (2020), Density Forecasting. In Fuleky, P. (ed), Macroeconomic Forecasting in the Era of Big Data, Springer Verlag, 483-507.

Billio, M., Casarin, R., Costola, M., and Frattarolo, L. (2019), Contagion Dynamics on Financial Networks. In Chevallier, J., Goutte, S., Guerreiro, D., Saglio, S. and Sanhaji, B. (Eds.), International Financial Markets, Vol. 1, Routledge, Taylor & Francis.

Billio, M., Casarin, R., Costola, M. and Frattarolo, L. (2018), Disagreement in Signed Financial Networks. ln Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (Eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer Verlag, 139-142. 

Billio, M., Casarin, R., and Rossini, L. (2018), Bayesian Nonparametric Sparse Vector Autoregressive Models. ln Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (Eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer Verlag, 155-160.

Billio, M., Casarin, R., and Iacopini, M. (2018), Bayesian Tensor Binary Regression. ln Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (Eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer Verlag, 143-147.

Billio, M., Casarin, R., and Iacopini, M. (2018), Bayesian Tensor Regression Models. ln Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (Eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer Verlag, 159-163.

Casarin, R., Sartore, D. and Tronzano, M. (2015), Sovereign Risk and Contagion Effects in the Eurozone: A Bayesian Stochastic Correlation Model. ln Morlini I., Minerva T., Vichi M. (Eds.), Advances in Statistical Models for Data Analysis, Studies in Classification, Data Analysis, Springer Verlag.

Billio, M., Casarin, R., Costola, M. and Pasqualini, A. (2015), Entropy and systemic risk measures. ln Crocetta C. (Eds.), Statistics and Demography: the Legacy of Corrado Gini, CLEUP, Treviso. 

Ahelegbey, D.F., Billio, M. and Casarin, R. (2015), Sparse BGVAR models for Systemic Risk Analysis. ln Crocetta C. (Eds.), Statistics and Demography: the Legacy of Corrado Gini, CLEUP, Treviso.

Billio, M., Casarin, R. and Osuntuyi, A. (2013), Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets, in Advances in Latent Variables, Eds. Brentari, E. and Carpita, M., Vita e Pensiero, Milan, 2013.

Casarin, R., Sartore, D. and Tronzano, M. (2013), A Bayesian Stochastic Correlation Model for Exchange Rates, in Advances in Latent Variables, Eds. Brentari, E. and Carpita, M., Vita e Pensiero, Milan, 2013.

Casarin, R., (2008), Solution Manual for Selected Problems, The Bayesian Choice, 2nd Ed. and Paperback Ed., C. P. Robert, Springer Verlag, 2006.

Billio, M., Casarin, R. and Sartore, D., (2007), Bayesian inference in dynamic models with latent factors, in Mazzi, G. L. and Savio, G., Growth and Cycle in the Eurozone, 25-44, Palgrave MacMillan, 2007.

Casarin, R., Joutard, C. and Tayeb, A., (2005), Solution Manual for Selected Problems, Monte Carlo Statistical Methods, 2nd Edition, Robert, C. P. and Casella, G., Springer Verlag, 2005.

Billio, M., Casarin, R., Mehu, C. and Sartore, D., (2000), Investment Styles in the European Equity Market, in C. Dunis, Advances in Quantitative Asset Management, Springer-Kluwer Academic Press, Dordrecht, 2000.

Billio, M., Casarin, R., Iacopini, M. (2017), Bayesian Tensor Regression Models, In Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: New challenges, new generations, Eds. Alessandra Petrucci and Rosanna Verde, Firenze University Press, 179-186.

Billio, M., Casarin, R., Rossini, L. (2017), Bayesian nonparametric sparse Vector Autoregressive models. In Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: New challenges, new generations, Eds. Alessandra Petrucci and Rosanna Verde, Firenze University Press, 187-192.

Bormetti, G., Casarin, R., Corsi, F, Livieri, G. (2017), A stochastic volatility framework with analytical filtering. In Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: New challenges, new generations, Eds. Alessandra Petrucci and Rosanna Verde, Firenze University Press, 205-209.

Billio, M., Casarin, R., Costola, M. and Frattarolo, L. (2016), Von Neumann entropy for financial interconnectedness and systemic risk. ln Corazza, M., Parpinel, F., Pizzi, C. (Eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, 39-40.

Ahelegbey D. F., Billio, M., Casarin, R. (2016), Sparse Graphical Multivariate Autoregression: A Bayesian approach, In JSM Proceedings, Risk Analysis Section. Alexandria, VA: American Statistical Association, 1789-1803.

Billio, M., Casarin, R., Costola, M. and Guindani, M. (2016), A Bayesian nonparametric approach to macroeconomic risk, in Proceedings of the XLVIII Scientific Meeting of the Italian Statistical Society, Salerno.

L. Martino, R. Casarin, and Luengo, D. (2016) Sticky proposal densities for adaptive MCMC methods. In Proceedings of the IEEE Statistical Signal Processing Workshop, Palma de Mallorca (Spain), 26-29 June 2016, 1-5.

Casarin, R., Gneiting T. and Ravazzolo, F. (2014), Probabilistic Calibration of Predictive Distributions. In Proceedings of the XLVII Scientific Meeting of the Italian Statistical Society, CUEC, Cagliari.

Casarin, R., Craiu R. and Leisen, F. (2012), Interacting Multiple-Try Algorithms. In Proceedings of the XLVI Scientific Meeting of the Italian Statistical Society, SIS, Rome.

Casarin, R. and Sartore, D. (2007), Matrix-state particle filters for Wishart stochastic volatility processes. In Proceedings SIS, 2007 Intermediate Conference, Risk and Prediction, 399-409, CLEUP Padova. 

Amisano, G. and Casarin, R. (2007), Particle filters for Markov Switching Stochastic Correlation Models. In Proceedings SIS, 2007 Intermediate Conference, Risk and Prediction, 305-316, CLEUP Padova.

Casarin, R. (2003), Bayesian Inference for Mixture of Stable Distributions. In Atti del Convegno Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, 4-6 Semptember 2003, Statistics Department, University of Venice. 

Billio, M. and Casarin, R. (2003), Extreme Returns in a Shortfall Risk Framework. In Atti della giornata di studio Metodi Numerici per la Finanza, 30 May 2003, Applied Mathematics Department, University of Venice.

Casarin, R., Pelizzon, L. and Piva, A. (2003), Italian Equity Funds: Efficiency and Performance Persistence. In Atti della giornata di studio Metodi Numerici per la Finanza, 30 May 2003, Applied Mathematics Department, University of Venice. 

Casarin, R. and Gobbo, M. (2002), Metodi Monte Carlo per la Valutazione di Opzioni Finanziarie. In Atti della Scuola Estiva in Finanza Quantitativa, 2002, Applied Mathematics Department, University of Venice.

Billio, M., Casarin, R., Ravazzolo, F. and van Dijk, H.K. (2011), Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index, Medium for Econometric Applications, 18(3), 1-8.

Casarin, R. and Vergalli, S. (2010), Natural Disasters and International Insurance Market Stability, Equilibri,3/2010, Il Mulino.

Casarin, R. (2008), Simulation Methods for Bayesian Inference on Latent Variable Models, The ISBA Bulletin, Vol. 15, N. 1.

Bassetti, F., Casarin, R., Iacopini, M. (2023), A Spatiotemporal Gamma Shot Noise Cox Process, ArXiv preprint arXiV: 2308.08481.

Casarin, R., Peruzzi, A., Steel, FJ. (2023), Media Bias and Polarization through the Lens of a Markov Switching Latent Space Network Model, ArXiv preprint arXiV: 2306:07939.

Bjørnland, H.C., Casarin, R., Lorusso, M. and Ravazzolo, F. (2023), Fiscal Policy Regimes in Resource-Rich Economies, CAMP Working Paper 13/2023

Del Negro, M., Casarin, R., Bassetti, F. (2022), A Bayesian Approach for Inference on Probabilistic Surveys, Federal Reserve Bank of New York Staff Reports, no. 1025.

Bassetti, F., Carallo, G., Casarin, R. (2022), First-order integer-valued autoregressive processes with Generalized Katz innovations, ArXiv preprint arXiV: 2202.02029.

Casarin, R., Frattarolo, L., Radu, C., Robert, C. P. (2022), Living on the Edge: An Unified Approach to Antithetic Sampling, Arxiv preprint arXiV: 2110.15124.

Baltodano López, O., Casarin, R. (2022), A Dynamic Stochastic Block Model for Multi-Layer Networks, ArXiv preprint arXiV: 2209.09354.

Bulfone, G., Casarin, R., and Ravazzolo, F. (2021), Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model. RCEA WP N. 21-09.

Casarin, R., Costantini, M., Osuntuyi, A. (2020), Bayesian nonparametric panel Markov-switching GARCH models, Arxiv preprint arXiV: 2012.10124.

Carallo, G., Casarin, R., Robert, C.P., (2020), Generalized Poisson Difference Autoregressive Processes, Arxiv preprint arXiv:2002.04470.

Bjørnland, H.C., Casarin, R., Lorusso, M. and Ravazzolo, F (2020), Oil and Fiscal Policy Regimes, CAMP Working Paper Series No 11/2020

Buccellato, T., Busin, R., Casarin, R., Corò G., (2020), Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective, Working Paper N. 25:2020, Dept. of Economics, University Ca' Foscari of Venice.

Ahelegbey, D. F., Billio, M., Casarin, R., (2020), Modeling Turning Points In Global Equity Market. SSRN Working Paper.

Casarin, R., Grassi, S., Ravazzolo, F., van Dijk, H.K., (2020), A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance, Rimini Centre for Economic Analysis, Working Paper Series, WP 20-27.

Billio, M., Casarin, R., Iacopini, M. and Kauffman, S., (2019), Bayesian Dynamic Tensor Regression, Arxiv preprint arXiv: 1709.09606.

Billio, M., Casarin, R., Iacopini, M., (2019), Bayesian Markov Switching Tensor Regression for Time-varying Networks, Arxiv preprint arXiv: 1711.00097.

Agudze, K. M., Billio, M., Casarin, R., Ravazzolo, F. (2018), Markov Switching Panel with Network Interaction Effects, CAMP Working Paper Series No 1/2018.

Casarin, R., Costola, M., Yenerdag, E., (2018), Financial Bridges and Network Communities, SAFE Working Paper No. 208.

Casarin, R., Foroni, C. , Marcellino M. and Ravazzolo, F., (2017), Uncertainty Through the Lenses of a Mixed-Frequency Bayesian Panel Markov Switching Model, CEPR Discussion Paper No. DP12339.

Billio, M., Casarin, R., Mazzi, G. L., Ravazzolo, F. and van Dijk, H.K., (2016),  Turning point detection with Bayesian panel Markov-Switching VAR, Eurostat Statistical WP 16-06.

Bassetti, F., Casarin, R., and Ravazzolo, F., (2015), Bayesian Nonparametric Calibration and Combination of Predictive Distributions, Working Paper N. 04/WP/2015, Dept. of Economics, University Ca' Foscari of Venice.

Bassetti, F., Casarin, R., and Ravazzolo, F., (2015), Bayesian Nonparametric Calibration and Combination of Predictive Distributions, Working Paper N. 3/2015, Norges Banks WP Series.

Alehegbey, D. F., Billio, M. and Casarin, R., (2014), Sparse Graphical Vector Autoregression: A Bayesian Approach, Working Paper N. 24/WP/2014, Dept. of Economics, University Ca' Foscari of Venice.

Agudze, M.K., Billio, M., Casarin, R. and Girardin, E., (2014), Growth-cycle phases in China’s provinces: A panel Markov-switching approach, Working Paper N. 19/WP/2014, Dept. of Economics, University Ca' Foscari of Venice.

Casarin, R., Leisen, F., Molina, G. and Ter Horst, E., (2014), A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities, Working Paper N. 23/WP/2014, Dept. of Economics, University Ca' Foscari of Venice.

Casarin, R. (2014), A Note Tractable State-Space Models for Symmetric Positive-Definite Matrices, Working Paper N. 22/WP/2014, Dept. of Economics, University Ca' Foscari of Venice.

Martino, L., Casarin, R., Leisen, F. and Luengo, D., (2013), Adaptive Sticky Generalized Metropolis, Arxiv preprint arXiv:1308.3779.

Billio, M., Casarin, R., Ravazzolo, F. and van Dijk, H.K., (2013), Interactions between Eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model, Noregs Bank WP N. 2013/20.

Billio, M., Casarin, R., Ravazzolo, F. and van Dijk, H.K., (2013), Interactions between Eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model, Tinbergen Institute Discussion Paper No. 2013/142/III, Tinbergen Institute.

Bassetti, F., Casarin, R., and Leisen F., (2013), Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference, Working Paper N. 13/WP/2013, Dept. of Economics, University Ca' Foscari of Venice.

Casarin, R., Sartore, D. and Tronzano, M., (2013), Bayesian Markov Switching Stochastic Correlation Models, Working Paper N. 11/WP/2013, Dept. of Economics, University Ca' Foscari of Venice.

Casarin, R., Grassi, S., Ravazzolo, F. and van Dijk, H.K., (2013), Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Working Paper N. 08/WP/2013, Dept. of Economics, University Ca' Foscari of Venice.

Casarin, R., Grassi, S., Ravazzolo, F. and van Dijk, H.K., (2013), Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Tinbergen Institute Discussion Paper No. 2013-055/III, Tinbergen Institute.

Billio, M., Casarin, R., Ravazzolo, F. and van Dijk, H.K., (2012), Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering, Tinbergen Institute Discussion Paper No. 12-118/III, Tinbergen Institute.

Ahelegbey, D. F., Billio, M., Casarin, R., (2012), Bayesian Graphical Models for Structural Vector Autoregressive Processes, Working Paper N. 36, Dept. of Economics, University Ca' Foscari of Venice.

Billio, M., Casarin, R., Osuntuy A., (2012), Efficient Gibbs Sampling for Markov Switching GARCH Models, Working Paper N. 35 , Dept. of Economics, University Ca' Foscari of Venice.

Casarin, R. and Squazzoni, F., (2012), Stock Markets and Financial Press in Time of Crisis, Working Paper N. 04/WP/2012, Dept. of Economics, University Ca' Foscari of Venice.

Bassetti, F., Casarin, R., Leisen, F., (2011), Beta-product Poisson-Dirichlet Processes, Working Paper 11-30, Statistics and Econometrics Series 23, Universidad Carlos III de Madrid.

Casarin, R., Chang C.-L., Jimenez-Martin, J.A., McAleer, M., Perez Amaral, T., (2011), Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures, Econometric Institute Report EI2011-29, Erasmus University Rotterdam, Econometric Institute.

Billio, M., Casarin, R., Ravazzolo, F. and van Dijk, H.K. (2011), Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index, Tinbergen Institute Discussion Papers 11-082/4, Tinbergen Institute.

Billio, M., Casarin, R., Ravazzolo, F. and van Dijk, H.K. (2011), Combination Schemes for Turning Point Predictions, Tinbergen Institute Discussion Paper No. 11-123/4, Tinbergen Institute.

Casarin, R., Dalla Valle, L., Leisen, F. (2010), Bayesian Model Selection for Beta Autoregressive Processes, Arxiv preprint arXiv10080121.

Billio, M., Casarin, R., Ravazzolo, F. and van Dijk, H.K. (2010), Combining predictive densities using Bayesian filtering with applications to US economics data, Technical Report No. 2010/29, Research Department, Norges Bank.

Casarin, R., Craiu, R. and Leisen, F., (2010), Interacting Multiple Try Algorithms with Different Proposal Distributions, Technical Report No. 1009, Dept. of Statistics, University of Toronto.

Billio, M. and Casarin, R., (2010), Bayesian Estimation of Stochastic-transition Markov-switching Models for Business Cycle Analysis, Discussion Paper N.1002, University of Brescia. 

Amisano, G. and Casarin, R., (2008), Particle filters for Markov-switching stochastic-correlation models, Discussion Paper N. 0814, University of Brescia.

Billio, M. and Casarin, R., (2008), Identifying business cycle turning points with sequential Monte Carlo methods, Discussion Paper N. 0815, University of Brescia.

Casarin, R. and Sartore, D., (2008), Matrix-State particle filter for Wishart stochastic volatility processes, Discussion Paper N. 0816, University of Brescia. 

Casarin, R. and Marin, J.-M., (2007), Online data processing: Comparison of Bayesian regularized particle filters, Research Report N. 6153, INRIA. 

Billio, M. and Casarin, R., (2006), Stochastic Optimization for Allocation Problems with Shortfall Risk Constraint, Working Paper, University of Venice.

Casarin, R., Trecroci C., (2006), Business Cycle and Stock Market Volatility: A Particle Filter Approach, Cahier du CEREMADE N. 0610, University Paris Dauphine.

Casarin, R. (2005), Stochastic Processes in Credit Risk Modelling, Discussion Paper N.0505, University of Brescia.

Casarin, R., (2004), Bayesian Monte Carlo Filtering for Stochastic Volatility Models, Cahier du CEREMADE N. 0415, University Paris Dauphine.

Casarin, R., (2004), Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models, Cahier du CEREMADE N. 0414, University Paris Dauphine. Presented at the 4th International Workshop on Objective Bayesian Methodology, CNRS, Aussois, 15-20 June 2003. It received the Springer's award as best poster session.

Casarin, R., (2004), Bayesian Inference for Mixture of Stable Distributions, Cahier du CEREMADE N. 0428, University Paris Dauphine. Presented at Young Statistician Meeting, Cambridge 14-15 April 2003.

Bresolin, F. and Casarin, R., (2004), Investimenti e ciclo economico in Veneto, costruzione di indicatori di previsione e verifica della loro validità, Quaderno di Ricerca N. 3, Centro Studi C.C.I.A.A. del Veneto, 2004.

Billio, M., Casarin, R. and Sartore, D., (2003), Bayesian inference in dynamic models with latent factors, Working Paper, EUROSTAT N. KS-AN-03-041-EN-N.

Billio, M., Casarin, R. and Toniolo, G., (2002), Extreme Returns in a Shortfall Risk Framework, Working Paper GRETA N. 0204, Venice.

Casarin, R., Lazzarin, M. and Sartore, D., (2002), Performance, Style and Persistence of Italian Equity Funds, Working Paper GRETA N. 0203, Venice.

Casarin, R. and Gobbo, M., (2002), Metodi Monte Carlo per la Valutazione di Opzioni Finanziarie, Working Paper GRETA N. 0205, Venice.

Casarin, R. and Guderzo, P., (2001), Un Modello Econometrico Mensile per la Previsione dell'Indice COMIT nel Mercato Azionario Italiano, Working Paper GRETA N. 0107, Venice.

Casarin, R., Pelizzon, L. and Piva, A., (2000), Performances and Performance Persistence of Italian Equity Funds, Working Paper GRETA N. 0006, Venice.

Billio, M., Casarin, R., Mehu, C. and Sartore, D., (1999), Gli Stili di Investimento nel Mercato Azionario Europeo, Working Paper GRETA N. 9908, Venice.

Casarin, R., Cradu, R., Frattarolo, L., Robert, C.P. (2024), Living on the Edge, CODE Ocean.

Casarin, R., Robert, C.P., Carallo, G. (2023), Generalized Poisson Difference Autoregressive Processes, CODE Ocean. 

Peruzzi,  A. Casarin, R. (2023), A Dynamic Latent Space Model for Asset Clustering, CODE Ocean.

Bantodano, O., Casarin, R., Costantini, M. (2024), Heterogenous Strength Corrected Dynamic Stochastic Block Models, CODE Ocean.