Browsing Articles - Economics and Management by Author "Casarin R"

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Bayesian Nonparametric Calibration and Combination of Predictive Distributions

Bassetti F; Casarin R; 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

Casarin R; Ravazzolo F (2016)

In the practice of point prediction, it is desirable that forecasters receive a directive in the form of a statistical functional. For example, forecasters might be asked to report the mean or a quantile of their predictive ...
Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model

Billio M; Casarin R; Ravazzolo F; van Dijk HK (2016)

The proposed panel Markov-switching VAR model accommodates changes in low and high data frequencies and incorporates endogenous time-varying transition matrices of country-specific Markov chains, allowing for interconnections. ...
Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model

Casarin R; Foroni C; Marcellino M; Ravazzolo F (2019)

We propose a Bayesian panel model for mixed frequency data, where parameters can change over time according to a Markov process. Our model allows for both structural instability and random effects. To estimate the model, ...