Short Bio: I am currently Associate Professor of Econometrics at University Ca' Foscari of Venice. I was previously assistant professor at University Ca' Foscari, University of Brescia, and research fellow at GRETA Associates. I received a Ph.D. in Mathematics, from University Paris Dauphine, a Ph.D. in Economics from University Ca' Foscari of Venice, and a M.Sc. in Applied Mathematics from ENSAE-University Paris Dauphine. I have been visiting University Paris Sud, University of Bristol and University Paris Dauphine. I am researching in time series analysis, Bayesian analysis, Monte Carlo methods and stochastic filtering.
Master IMEF, Advanced School of Economics in Venice and GRETA.
ISBA, IMS, Econometric Society.
EABCN, ENBIS, SYRTO, Systemic Risk Hub, Performance Measures.
Bassetti, F., Casarin, R., Ravazzolo, F. (2017), Bayesian Nonparametric Calibration and Combination of Predictive Distributions,
Journal of the American Statistical Association, forthcoming.
Casarin, R., Sartore, D. and Tronzano, M. (2016), A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets,
Journal of Business and Economic Statistics, forthcoming.
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., 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.
Bassetti, F., Casarin, R. and Leisen, F. (2014), Pitman-Yor Process Prior for Bayesian Inference,
Journal of Econometrics, 180, 49-72.
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.