Roberto                                      
Roberto Casarin 
 

Dept. of Economics 

University Ca' Foscari of Venice 

San Giobbe 873/b 

Room 25 

30121 Venezia, Italy 

Phone:  

+39 041.234.91.49  

Fax:  

+39 041.234.91.76  

E-mail:  

r.casarin@unive.it 

 

 

Positions    Education    Others   Research Interests    Publications    PhDs    Teaching    Consulting    Links   

Current Position
  2015-         

Associate Professor of Econometrics, University Ca' Foscari of Venice

     
Other Affiliations:  IMEF, Advanced School of Economics in Venice and GRETA Assoc..
Projects:  SYRTO, Systemic Risk Hub, Performance Measures.
Education
  2003-2007 

Ph.D. in Mathematics, CEREMADE, Dept. of Mathematics, University Paris Dauphine,
Thesis: "Simulation Methods for Bayesian Inference on Latent Variables Models".
Supervisor:  Christian P. Robert
Reviewers: M. F. J. Steel and M. Lubrano.
Committee: O. Cappe, G. Celeux, J.-M. Marin and J. Rousseau

  2000-2003 

Ph.D. in Economics, SSE, University of Venice,

 

Thesis: "Simulation Methods for Nonlinear and Non-Gaussian Models in Finance".
Supervisor: Monica Billio
Reviewers: C. P. Robert and P. Müller.
Committee: G. Calzolari, T. Jappelli and L. Lambertini.
Received the Italian Economics Society (SIE) Award as best PhD Thesis 2004.

  2001-2002 

M.Sc. in Applied Mathematics,  DEA MASE, University Paris Dauphine - ENSAE.  
Thesis: "Credit risk modelling in continuous and discrete time",
Supervised by:  Christian Gourieroux.

  1994-1998 

Graduate degree in Econometrics, University of Venice.  
Thesis:  "Econometric Analysis of the European Investment Styles",
Supervised by: Domenico Sartore.

     
Futher Education 
  2009 

33rd Finnish Summer School of Probability Theory, University of Tampere.

  2002 

Summer School of Mathematics, CIRM, University of Marseille.

  2000 

Summer School of Mathematics, SMI, University of Perugia.


Past Positions and Others
  2010-2015 

Assistant Professor of Econometrics, University Ca' Foscari of Venice

  2006-2010 

Assistant Professor of Econometrics, University of Brescia

  2013 

Visiting (1 week) at School of Mathematics, University of Kent.

  2013 

Visiting (1 week) at Norges Bank.

  2012 

Visiting (1 week) at Norges Bank.

  2008-2009 

Visiting (6 months) at School of Mathematics, University of Bristol.

  2008 

Visiting (1 month) at Dept. of Mathematics, University Paris Sud.

  2005-2006 

Research Assistant (18 months), University of Brescia.

  2004-2004 

Research Assistant (2 months), University of Padova.

  2002-2003 

Visiting (12 months) at CEREMADE, University Paris Dauphine.

  1999-2000 

Research Assistant (12 months), GRETA Ass., University of Venice.

  1998-1999 

Military Service, DB Designe by the Investigating Magistrate Office (GIP), Padova.  

  1998 

Stage (2 months), CDC Asset Management, Paris.


Current Research Interests
     

Financial and Computational Econometrics. In particular: Bayesian Inference, Monte Carlo Methods, Stochastic Processes; Performance Measures, Risk Measure, Portfolio Theory.


Publications
Current Research
  [2015] 

Casarin, R., Molina, G., Ter Horst, E. (2015), A Bayesian Time-Varying Approach to Risk Neutral Density Estimation, (submitted).

  [2015] 

Ahelegbey D. F., Billio, M., Casarin, R. (2015), Sparse Graphical Multivariate Autoregression: A Bayesian approach, (re-submitted).

  [2015] 

Billio, M., Casarin, R., Osuntuy A. (2015), Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets, (submitted).

  [2015] 

Bassetti, F., Casarin, R., Ravazzolo, F. (2015), Bayesian Nonparametric Calibration and Combination of Predictive Distributions, (re-submitted).

  [2015] 

Casarin, R., Grassi, S., Ravazzolo, F. and van Dijk, H.K. (2015), Dynamic Predictive Density Combinations for Large Datasets, (submitted).

  [2015] 

Bianchi, D., Billio, M., Casarin, R., Guidolin, M. (2015), Modeling Contagion and Systemic Risk, (submitted).

  [2015] 

Agudze,K. M., Billio, M., Casarin, R., Girardin, E. (2015), Growth-Cycle Phases in China's Provinces: A Panel Markov-Switching Approach, (submitted).

  [2015] 

Bernardi, M., Casarin, R., Maillet, B., Petrella, L. (2015), Dynamic Model Averaging for Bayesian Quantile Regression, (submitted).

  [2015] 

Martino, L., Casarin, R., Leisen, F. and Luengo, D. (2015), Adaptive Sticky Generalized Metropolis, (re-submitted).

Journals
  [2016] 

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.

  [2016] 

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, forthcoming.

  [2016] 

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, forthcoming.

  [2016] 

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, forthcoming.

  [2016] 

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, forthcoming.

  [2016] 

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

  [2016] 

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.

  [2016] 

Ahelegbey D. F., Billio, M. and Casarin, R. (2016), Bayesian Graphical Models for Structural Vector Autoregressive Processes, Journal of Applied Econometrics, 31(2), 357-3.

  [2015] 

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.

  [2015] 

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.

  [2015] 

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.

  [2015] 

Billio, M., Casarin, R. and Osuntuy A. (2015), Efficient Gibbs Sampling for Markov Switching GARCH Models, Computational Statistics and Data Analysis, forthcoming.

  [2015] 

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.

  [2014] 

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

  [2014] 

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

  [2013] 

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.

  [2013] 

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

  [2013] 

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.

  [2013] 

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.

  [2012] 

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.

  [2012] 

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

  [2011] 

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.

  [2011] 

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.

  [2010] 

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.

  [2009] 

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

  [2009] 

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.

  [2009] 

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.

  [2008] 

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

  [2007] 

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.

  [2005] 

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.

  [2005] 

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.

Book Chapters
  [2015] 

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

  [2015] 

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.

  [2015] 

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.

  [2013] 

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.

  [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.

  [2008] 

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

  [2007] 

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.

  [2005] 

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.

  [2000] 

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, Kluwer Academic Press, Dordrecht, 2000.

Proceedings
  [2014] 

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.

  [2012] 

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

  [2007] 

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.

  [2007] 

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.

  [2003] 

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.

  [2003] 

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.

  [2003] 

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.

  [2002] 

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.

Non-Technical Publications
  [2010] 

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

  [2008] 

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

Working Papers (a selection)
  [2014] 

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.

  [2014] 

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.

  [2014] 

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.

  [2014] 

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.

  [2013] 

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

  [2013] 

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.

  [2013] 

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.

  [2013] 

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.

  [2013] 

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.

  [2013] 

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.

  [2012] 

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.

  [2012] 

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.

  [2012] 

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.

  [2011] 

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.

  [2011] 

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.

  [2011] 

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.

  [2011] 

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.

  [2010] 

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

  [2010] 

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.

  [2010] 

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.

  [2010] 

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.

  [2008] 

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

  [2008] 

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

  [2007] 

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

  [2007] 

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

  [2006] 

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

  [2006] 

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

  [2005] 

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

  [2004] 

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

  [2004] 

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.

  [2004] 

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.

  [2004] 

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.

  [2003] 

Billio, M., Casarin, R. and Sartore, D., (2003), Bayesian inference in dynamic models with latent factors, Working Paper, EUROSTAT.

  [2002] 

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

  [2002] 

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

  [2002] 

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

  [2001] 

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.

  [2000] 

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

  [1999] 

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


Referring Activity
     

Journal of Econometrics, Journal of the American Statistical Association, Journal of Applied Econometrics, Computational Statistics and Data Analysis, Journal of Economics Dynamics and Control, Journal of Computational and Graphical Statistics, Journal of Statistical Planning and Inference, IEEE Signal Processing Letters, Chilean Journal of Statistics, Transaction on Modelling and Computer Simulation, European Journal of Finance, Revue Francoise de Finance, Research in Economics.


PhDs
  [2014] 

Anthony Osuntuyi, thesis on Bayesian Markov-switching GARCH (co-supervised with Monica Billio), current position: Lecturer at Department of Mathematics, Obafemi Awolowo University, Ile-Ife, Nigeria

  [2015] 

Daniel Felix Ahelegbey, thesis on Bayesian Graphical Models (co-supervised with Monica Billio), current position: Post-doc at Dep. of Mathematics and Statistics, Boston University

  [2016] 

Komla Mawulom Agudze, thesis on Panel Markov-Switching Models (co-supervised with Monica Billio), current position: PhD student, Dep. of Economics, University of Venice

  [2016] 

Luca Rossini, thesis on Bayesian nonparametric models (co-supervised with Monica Billio), current position: PhD student, Dep. of Economics, University of Venice


Teaching
Post-Graduate
     

"Econometrics", PhD in Economics, University of Venice, 2015.
"Bayesian Methods in Economics and Finance", CIdE Summer School, 2011-2015.
"Bayesian Stochastic Volatility Models", Ph.D. Business Statistics, University Roma Tre, 2013.
"Problems in Econometrics", PhD in Economics, Venice, 2011.
"Statistics for Linguistic", Ph.D. in Linguistic, University of Venice, 2009.

Master and Graduate
     

"Nonlinear Models and Financial Econometrics", Quantitative Economics Master, University of Venice, 2011-2016.
"Applied Econometrics", Master in Economics, University of Venice, 2012,2015.
"Risk Measurement", Quantitative Economics Master, University of Venice, 2015.
"Risk and Insurance", International Master in Economics and Finance, University of Venice, 2011-2016.
"Numerical Methods", International Master in Economics and Finance, University of Venice, 2011-2016.
"Econometrics", Quantitative Economics Master, University of Venice, 2013,2014.
"Financial Economics", Economics and Finance, University of Trieste, 2013,2014.
"Financial Econometrics", University of Brescia, 2010,2011.
"Problems in Financial Econometrics", University of Brescia, 2010.
"Applied Econometrics I-II", University of Brescia, 2010.
"Problems in Applied Econometrics I-II", University of Brescia, 2010.
"Applied Econometrics", University of Brescia, 2009.
"Problems in Applied Econometrics", University of Brescia, 2009.
"Currency Risk and Capital Markets", University of Brescia, 2008, 2009.
"Finance of Insurance and Social Security", University of Brescia, 2006-2009.
"Numerical Methods in Econometrics and Finance, FSE", University of Brescia, 2007.
"Forecasting Methods I", University of Venice, 2006,2007.
"Stochastic Filtering", University of Venice, 2006-2008.
"Introduction to Stochastic Calculus", M.Sc. IMEF, Venice International University, 2004-2006.
"Stochastic Volatility Models", University of Venice, 2006.
"Simulation Methods in Econometrics", University of Venice, 2005.
"Simulation Methods in Bayesian Inference", University of Venice, 2003.
"Monte Carlo Simulation Methods", University of Venice, 2002.

Undergraduate
     

"Introduction to Econometrics", Economics, University of Venice, 2015.
"Introduction to Econometrics", Ca' Foscari Summer School, Venice, 2012.
"Problems in Econometrics", Economics and Management, University of Venice, 2011-2014.
"Problems in Econometrics", Economics, University of Venice, 2011-2014.

Training
     

"Multivariate Stochastic Process Simulation Methods", NEXTRA, Milan, 2002.
"Performance Evaluation and Attribution", Arthur Andersen MBA, Milan, 2001.
"Stochastic Process Simulation Methods", Arthur Andersen MBA, Milan, 2001.
"Monte Carlo Simulation Methods", Arthur Andersen MBA, Milan, 2000.
"Portfolio Theory and Asset Allocation", Arthur Andersen MBA, Milan, 2000.


Consulting Activities
     

NEXTRA, Unicredit, Arthur Andersen MBA, Eurostat, Unioncamere del Veneto, UBI Banca, IntesaSanPaolo.


Links
Laboratories and related links
     

GRETA Ass., CEREMADE, University Paris Dauphine, CREST, Paris INSEE, CIRM, University of Marseille, Luminy, SMI, University of Perugia, Statistical Laboratory at the University of Cambridge, MCMC Preprint Service, Bayesian Statistics Personal Web Pages.

Software Archives
     

GAUSS, Numerical Recepies in C/C++.

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