Roberto Casarin 

  • Dept. of Economics 
  • University Ca' Foscari of Venice 
  • San Giobbe 873/b 
  • 30121 Venezia, Italy 
  • Office: Room A125  
  • Phone: +39  
  • Fax:     +39  
  • E-mail: 

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, dynamic panel, latent variable modelling, Bayesian analysis, Monte Carlo methods.

Other my affiliations are: IMEF, SSE, VICCS, SCSCF and GRETA. I am member of the following scientific societies:  ISBA, IMS, ES, SIS and of the following projects:  EABCN, ENBIS, SYRTO, Systemic Risk Hub, Performance Measures, SCSCF.

Publications in Journals: 

Bassetti, F., Casarin, R., Ravazzolo, F. (2018), Bayesian Nonparametric Calibration and Combination of Predictive Distributions, Journal of the American Statistical Association, forthcoming.


Bianchi, D., Billio, M., Casarin, R., Guidolin, M. (2018), Modeling Systemic Risk with Markov Switching Graphical SUR Models, Journal of Econometrics, forthcoming.


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.


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, forthcoming.


Casarin, R., Molina, G., Ter Horst, E. (2018), A Bayesian Time-Varying Approach to Risk Neutral Density Estimation, Journal of the Royal Statistical Society, Series A, forthcoming.


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


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.


Casarin, R., Tonellato, S. (2018), Bayesian Cluster Analysis: Point Estimation and Credible Balls by Wade and Ghahramani, Bayesian Analysis, 53-53.


Casarin, R., Iacopini, M. and Rossini, L., (2017), A discussion on: Sparse graphs using exchangeable random measures by F. Caron and E. B. Fox, Journal of the Royal Statistical Society, Series B, 79(5), 51-53.


Casarin, R., Frattarolo, L. and Rossini, L., (2017), A discussion on: Random-projection ensemble classification by T. Cannings and R. Samworth, Journal of the Royal Statistical Society, Series B, 79(4), 1008-1008.


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.


Casarin, R. and Ravazzolo, F., (2016), A discussion on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Ranking, by W. Ehm, T. Gneiting, A. Jordan, and A. Krueger, Journal of the Royal Statistical Society, Series B, 78(3), 538-539.


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), 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., 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.


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.


Marin, J.-M., Casarin, R. and Robert, C. P., (2009), A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N., Journal of the Royal Statistical Society, Series B, 71 (2), 360-362.


Casarin, R. and Robert, C. P., (2009), A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N., Journal of the Royal Statistical Society, Series B, 71 (2), 359-360.


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


Billio, M. and Casarin, R., (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.