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Roberto Casarin

  • PhD
  • Associate Professor
  • University Ca' Foscari of Venice
  • 7h-indexImpact measure calculated using publication and citation counts. Updated daily.
  • 142CitationsNumber of citations received by Roberto's publications. Updated daily.

Other IDs

Research interests

Markov-chain Monte CarloSequential Monte CarloParticle FiltersForecastingBayesian NonparametricsTime seriesStochastic ProcessMonte Carlo Simulation MethodsBayesian EconometricsBayesian Inference

About

Roberto Casarin is currently Associate Professor of Econometrics in the Department of Economics at University Ca' Foscari of Venice. He got in 2014 the National Scientific Habilitation as Associate Professor in Econometrics, Statistics, and Time Series Analysis. His publications and current research are on Bayesian models and inference, Monte Carlo algorithms, and nonlinear time series models. He was previously assistant professor at University of Brescia. He received a Ph.D. in Mathematics (2007) from University Paris Dauphine, a Ph.D. in Economics (2003) from University Ca’ Foscari of Venice, a M.Sc. in Applied Mathematics from ENSAE-University Paris Dauphine, and a degree in Economics at University Ca’ Foscari of Venice. He has been visiting CEREMADE at University Paris Dauphine, the Department of Mathematics at University Paris Sud, and the School of Mathematics at University of Bristol. He received research fellowships from University of Brescia, University of Padova, and a PhD scholarship from University of Venice.

Co-authors (29)

Editorships

Econometrics

Associate Editor

2016 - Present

Publications (5)

  • Decrypting financial markets through e-joint attention efforts: On-line adaptive networks of investors in periods of market uncertainty

    • Casnici N
    • Dondio P
    • Casarin R
    • et al.
    N/AReaders
    5Citations
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  • Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox

    • Casarin R
    • Grassi S
    • Ravazzolo F
    • et al.
    N/AReaders
    3Citations
    Get full text
  • Sovereign risk and contagion effects in the eurozone: A Bayesian stochastic correlation model

    • Casarin R
    • Tronzano M
    • Sartore D
    N/AReaders
    0Citations
    Get full text
  • Interacting multiple try algorithms with different proposal distributions

    • Casarin R
    • Craiu R
    • Leisen F
    N/AReaders
    24Citations
    Get full text
  • Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures

    • Casarin R
    • Chang C
    • Jimenez-Martin J
    • et al.
    N/AReaders
    4Citations
    Get full text

Professional experience

Associate Professor

University Ca' Foscari of Venice

October 2015 - Present

Education history

PhD in Mathematics

Université Paris Dauphine

September 2003 - August 2007(4 years)

PhD in Economics

University Ca' Foscari of Venice

September 2000 - August 2003(3 years)