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CASARIN Roberto

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Venezia
Ricevimento:
Martedì ore 10-12
presso lo studio 25 S.Giobbe I° piano Dipartimento di Economia

 



Attività e competenze di ricerca

Settore Scientifico Disciplinare (SSD) di afferenza
Aree e linee di ricerca

Competenze di ricerca

Metodi di simulazione per la risoluzione di problemi complessi, che tipicamente si presentano nella stima di modelli statici e dinamici per economia e la finanza

Description
  • Simulation methods for the numerical numerical solution of complex problems, which naturally arise in the estimation of static and dynamic models for economics and finance
Parole Chiave
  • Econometrics, Computational models, Macroeconomics
Codice ATECO
  • [64.11] - attività delle banche centrali

Modelli dinamici per l'analisi dei fenomeni economici con particolare attenzione alla evoluzione delle fasi di recessione e di espansione del sistema e economico

Description
  • Dynamic models for the economic analysis with special emphasis to the recession and expansion phases of the economic system
Parole Chiave
  • Econometrics, Cyclical economics, Economic planning
Codice ATECO
  • [64.11] - attività delle banche centrali

Modelli a volatilitaa stocastica per la analisi delle fasi di turbolenza dei mercati finanziari

Description
  • Stochastic volatility models for the analysis of the financial instability
Parole Chiave
  • Private investment, Econometrics, Economics
Codice ATECO
  • [64.30.1] - fondi comuni di investimento (aperti e chiusi, immobiliari, di mercato mobiliare)

Ricerche sviluppate e in corso

Partilce Filter for Time Series Analysis

SSD
  • SECS-P/05
Altri membri del gruppo di ricerca

Interacting Generalized Metropolis-Hastings Algorithms

SSD
  • SECS-P/05

Business Cycle Analysis

SSD
  • SECS-P/05
Altri membri del gruppo di ricerca

Processi di Dirichlet, metodi di inferenza ed applicazione ai modelli per serie storiche

SSD
  • SECS-P/05

Modelli Beta autoregressive per l'analisi delle serie storiche e metodi di inferenza reversible jump MCMC

SSD
  • SECS-P/05

Finanziamenti

Modelli Statistici multivariati per la valutazione dei rischi

Ente finanziatore
  • MIUR
Tipologia
  • PRIN
Ruolo nel progetto
  • PT
Data inizio
  • Anno: 2011 Durata mesi: 36
Altri membri del gruppo di ricerca

SYstemic Risk TOmography: Signals, Measurements, Transmission Channels, and Policy Interventions

Ente finanziatore
  • Commissione Europea 7mo Programma Quadro
Tipologia
  • Collaborative Project
Ruolo nel progetto
  • PT
Sito di progetto
  • http://syrtoproject.eu/
Data inizio
  • Anno: 2013 Durata mesi: 36
Altri membri del gruppo di ricerca

Aree geografiche in cui si applica prevalentemente l'esperienza di ricerca

Internazionale: Europa, America Settentrionale

Lingue conosciute

  • Italiano (scritto: madrelingua, parlato: madrelingua)
  • Inglese (scritto: intermedio, parlato: intermedio)
  • Tedesco (scritto: base, parlato: base)
  • Francese (scritto: base, parlato: intermedio)

Partecipazione come referees di progetti di ricerca nazionali ed internazionali

Referee for the Social Sciences and Humanities Research Council (SSHRC) of Canada, for the Standard Research Grants Competition, 2008.

Pubblicazioni per Anno

2013

  • CASARIN R., SQUAZZONI F. Being on the field when the game is still under way. The financial press and stock markets in times of crisis, in PLOS ONE, vol. 8, pp. 1-14 (ISSN 1932-6203) (Articolo su rivista)
  • CASARIN R., CRAIU R., LEISEN F. Interacting Multiple Try Algorithms with Different Proposal Distributions, in STATISTICS AND COMPUTING, vol. 23(2), pp. 185-200 (ISSN 0960-3174) Link DOI (Articolo su rivista)
  • CASARIN R.; CHANG C.-L.; JIMENEZ-MARTIN J.A.; MCALEER M.; PEREZ AMARAL T. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures, in MATHEMATICS AND COMPUTERS IN SIMULATION, vol. 94, pp. 183-204 (ISSN 0378-4754) Link DOI (Articolo su rivista)
  • Billio M., Casarin R., Ravazzolo F., Van Dijk H. Time-varying Combinations of Predictive Densities using Nonlinear Filtering, in JOURNAL OF ECONOMETRICS, vol. 177, pp. 213-232 (ISSN 0304-4076) Link DOI (Articolo su rivista)
  • CASARIN R., SARTORE D., TRONZANO M. A Bayesian Stochastic Correlation Model for Exchange Rates, Advances in Latent Variables, Vita e Pensiero, pp. 1-6 (ISBN 9788834325568) (Articolo su libro)
  • BILLIO M., CASARIN R., OSUNTUYI A. Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets, Advances in Latent Variables, Vita e Pensiero, pp. 1-6 (ISBN 9788834325568) (Articolo su libro)
  • Martino L., Casarin R., Leisen F., Luengo D. Adaptive Sticky Generalized Metropolis, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE (ISSN 1827-3580) (Working paper)
  • Casarin R., Sartore D., Tronzano M. Bayesian Markov Switching Stochastic Correlation Models, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, vol. 11/WP/2013 (ISSN 1827-3580) (Working paper)
  • Bassetti F., Casarin R., Leisen F. Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE (ISSN 1827-3580) (Working paper)
  • Billio M., Casarin R., Ravazzolo F., van Dijk H. K. Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model , in WORKING PAPER - NORGES BANK, vol. 2013/20 (ISBN 9788275536677) (ISSN 1502-8143) (Working paper)
  • Casarin R., Grassi S., Ravazzolo F., van Dijk H. K. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, in DISCUSSION PAPER - TINBERGEN INSTITUTE, vol. 2013-055/III (ISSN 0929-0834) (Working paper)
  • Casarin R., Grassi S., Ravazzolo F., van Dijk H.K. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox , in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, vol. 08/WP/2013 (ISSN 1827-3580) (Working paper)

2012

  • CASARIN R., DALLA VALLE L., LEISEN F. Bayesian Model Selection for Beta Autoregressive Processes, in BAYESIAN ANALYSIS, vol. 7, pp. 1-26 (ISSN 1936-0975) Link DOI (Articolo su rivista)
  • BILLIO M., CASARIN R., RAVAZZOLO F., VAN DIJK H.K. Combination Schemes for Turning Point Predictions, in THE QUARTERLY REVIEW OF ECONOMICS AND FINANCE: JOURNAL OF THE MIDWEST ECONOMICS ASSOCIATION, vol. 52, pp. 402-412 (ISSN 1062-9769) Link DOI (Articolo su rivista)
  • M. Billio, R. Casarin, HK Van Dijk, F. Ravazzolo Combination schemes for turning point prediction, 1512, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 1512, pp. 1-32 (ISSN 1827-3580) (Articolo su libro)
  • M. Billio, R. Casarin, H.K. van Dijk, F. Ravazzolo Combining predictive densities using Bayesian filtering with applications to US economics data, 1612, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 1612, pp. 1-39 (ISSN 1827-3580) (Articolo su libro)
  • CASARIN R.; SQUAZZONI F. Financial press and stock markets in times of crisis, WORKING PAPER DEPARTMENT OF ECONOMICS, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, in Working Papers, Dep. of Economics, University Ca' Foscari, Venice, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 04/WP/2012, pp. 1-27 (ISSN 1827-3580) (Articolo su libro)
  • CASARIN R.; CRAIU R.; LEISEN F. Interacting Multiple-Try Algorithms, Proceedings of the XLVI Scientific Meeting SIS, Padova, CLEUP, Convegno: Scientific Meeting SIS (ISBN 9788861298828) (Articolo in Atti di convegno)
  • Ahelegbey D.F., Billio M., Casarin R. Bayesian Graphical Models for Structural Vector Autoregressive Processes, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, vol. 36/WP/2012 (ISSN 1827-3580) (Working paper)
  • BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Combination schemes for turning point prediction, in Norges Bank, Research Department, Working Paper, vol. 2012/04 (ISBN 9788275536677) (Working paper)
  • Billio M., Casarin R., Osuntuyi A. Efficient Gibbs Sampling for Markov Switching GARCH Models, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, vol. 35/WP/2012 (ISSN 1827-3580) (Working paper)

2011

  • BILLIO M., CASARIN R., RAVAZZOLO F., VAN DIJK H.K. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index, in MEDIUM ECONOMETRISCHE TOEPASSINGEN, vol. 18(3), pp. 1-8 (ISSN 1389-9244) (Articolo su rivista)
  • BILLIO M., CASARIN R. Beta Autoregressive Transition Markov-switching Models for Business Cycle Analysis, in STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, vol. 15(4), pp. 1-32 (ISSN 1081-1826) Link DOI (Articolo su rivista)
  • BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index, Discussion Paper - Tinbergen Institute, in DISCUSSION PAPER - TINBERGEN INSTITUTE, in Tinbergen Institute Discussion Papers, Tinbergen Institute, vol. 11-082/4, pp. 1-25 (ISSN 0929-0834) (Articolo su libro)
  • BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Combination schemes for turning point prediction, Discussion Paper - Tinbergen Institute, in DISCUSSION PAPER - TINBERGEN INSTITUTE, in Tinbergen Institute Discussion Paper, Tinbergen Institute, vol. 11-123/4, pp. 1-25 (ISSN 0929-0834) (Articolo su libro)
  • CASARIN R.; CHANG C.-L.; JIMENEZ-MARTIN J.A.; MCALEER M.; PEREZ AMARAL T. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures, REPORT - ECONOMETRIC INSTITUTE, ERASMUS UNIVERSITY ROTTERDAM, in REPORT - ECONOMETRIC INSTITUTE, ERASMUS UNIVERSITY ROTTERDAM, in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute, vol. EI2011-29, pp. 1-30 (ISSN 1566-7294) (Articolo su libro)
  • CASARIN R.; CRAIU R.; LEISEN F. Interacting Multiple-Try Algorithms with Different Proposal Functions, Proceedings Applied Stochastic Models and Data Analysis, Pisa, ETS, Convegno: ASMDA Meeting 2011, Rome (ISBN 9788846730459) (Abstract in Atti di convegno)

2010

  • BILLIO M.; R. CASARIN Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods: an on-line and real time application to the Euro area, in JOURNAL OF FORECASTING, vol. 1-2, pp. 145-167 (ISSN 0277-6693) Link DOI (Articolo su rivista)
  • CASARIN R., VERGALLI S. Natural Disasters and International Insurance Market Stability, in EQUILIBRI, vol. 3, pp. 558-568 (ISSN 1594-7580) Link DOI (Articolo su rivista)
  • BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Combining predictive densities using Bayesian filtering with applications to US economics data, Norges Bank Working Papers, in NORGES BANK’S WORKING PAPERS, in Norges Bank, Research Department Working Paper, Norges Bank, vol. 2010/29, pp. 1-25 (ISBN 9788275536677) (Articolo su libro)

2009

  • CASARIN R., ROBERT C. P A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N., in JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, vol. 71(2), pp. 359-360 (ISSN 1369-7412) (Articolo su rivista)
  • MARIN J.-M,CASARIN R.,ROBERT C. P A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N., in JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, vol. 71(2), pp. 360-362 (ISSN 1369-7412) (Articolo su rivista)
  • CASARIN R., MARIN J.-M Online data processing: Comparison of Bayesian regularized particle filters, in ELECTRONIC JOURNAL OF STATISTICS, vol. 3, pp. 239-258 (ISSN 1935-7524) Link DOI (Articolo su rivista)

2008

  • CASARIN R. Solution Manual for Selected Problems, The Bayesian Choice, 2nd Ed. and Paperback Ed., C. P. Robert.Springer Verlag, in Statistics, Springer Verlag (ISBN 9780387715988) (Monografia o trattato scientifico)
  • CASARIN R; PIVA A; PELIZZON L. Italian Equity Funds: Efficiency and Performance Persistence, in THE ICFAI JOURNAL OF FINANCIAL ECONOMICS, vol. 6, pp. 7-28 (ISSN 0972-9151) (Articolo su rivista)
  • CASARIN R; PIVA A; PELIZZON L. Italian Equity Funds: Efficiency and Performance Persistence, WORKING PAPER, DEPARTMENT OF ECONOMICS, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, in Department of Economics, Ca' Foscari University of Venice, Working Paper, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 12/WP/2008, pp. 1-23 (ISSN 1827-3580) (Articolo su libro)

2007

  • CASARIN R.; BILLIO M. Stochastic Optimisation for Allocation Problem with Shortfall Risk Constraints, in APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, vol. 23/3, pp. 247-271 (ISSN 1524-1904) Link DOI (Articolo su rivista)
  • BILLIO M; CASARIN R; SARTORE D. Bayesian Inference on Dynamic Models with Latent Factors in MAZZI G L; SAVIO G, Growth and Cycle in the Euro-zone, BASINGSTOKE, HANTS, Palgrave Macmillan, vol. 1, pp. 25-44 (ISBN 9780230007901) (Articolo su libro)
  • BILLIO M.; CASARIN R.; SARTORE D. Bayesian inference in dynamic models with latent factors, WORKING PAPER DEPARTMENT OF ECONOMICS, in WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, in Department of Economics, Ca' Foscari University of Venice, Working Paper, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 34/WP/2007, pp. 1-30 (ISSN 1827-3580) (Articolo su libro)
  • CASARIN R.; MARIN J.-M. Online data processing: Comparison of Bayesian regularized particle filters, Rapports de recherche INRIA, in RAPPORTS DE RECHERCHE - INRIA, in INRIA Research Report, INRIA, vol. 6153, pp. 1-25 (ISSN 0249-6399) (Articolo su libro)
  • CASARIN R.,SARTORE D. Matrix-state particle filters for Wishart stochastic volatility processes, Proceedings SIS, 2007 Intermediate Conference, Risk and Prediction, PADOVA, CLEUP Padova, vol. UNICO, pp. 399-409, Convegno: SIS, 2007 (ISBN 9788861290938) (Articolo in Atti di convegno)
  • AMISANO G.,CASARIN R. Particle Filters for Markov Switching Stochastic Correlation Models, Proceedings of the SIS 2007 Intermediate Conference "Risk and Prediction", PADOVA, Cleup, vol. UNICO, pp. 305-316, Convegno: SIS, 2007-6-8 Giugno (ISBN 9788861290938) (Articolo in Atti di convegno)
  • CASARIN R; SARTORE D. Matrix-State Particle Filter for Wishart Stochastic Volatility Processes, Working paper Dipartimento di Scienze Economiche, Università di Venezia, vol. 30/WP/2007 (Working paper)

2006

  • CASARIN R.; TRECROCI C. Business Cycle and Stock Market Volatility: A Particle Filter Approach, Cahier du CEREMADE, in WORKING PAPERS - CENTRE DE RECHERCHES EN MATHÉMATIQUES DE LA DECISION, Universitè Paris Dauphine, vol. Cahiers du CEREMADE, N. 0610, pp. 1-36 (Articolo su libro)

2005

  • CASARIN R., JOUTARD C, TAYEB A Solution Manual for Selected Problems, Monte Carlo Statistical Methods, 2nd Edition, Christian P. Robert and George Casella, in Statistics, Springer Verlag (ISBN 0387212396) (Monografia o trattato scientifico)
  • CASARIN R; LAZZARIN M; PELIZZON L; SARTORE D. Relative benchmark rating and persistence analysis: Evidence from Italian equity funds, in EUROPEAN JOURNAL OF FINANCE, vol. 11/4, pp. 297-308 (ISSN 1351-847X) (Articolo su rivista)
  • CASARIN R. Simulation Methods for Nonlinear and Non-Gaussian Models in Finance, Premio SIE, in RIVISTA ITALIANA DEGLI ECONOMISTI, vol. 2, pp. 341-345 (ISSN 1593-8662) Link DOI (Articolo su rivista)
  • BILLIO M.; CASARIN R Stochastic Optimisation for Allocation Problem with Shortfall Risk Constraints (Altro)

2004

  • CASARIN R. Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models, Cahiers du CEREMADE, in WORKING PAPERS - CENTRE DE RECHERCHES EN MATHÉMATIQUES DE LA DECISION, CEREMADE, Universitè Paris Dauphine, vol. Cahier du CEREMADE N. 0414, pp. 1-35 (Articolo su libro)
  • CASARIN R. Bayesian Inference for Mixture of Stable Distributions, Cahiers du CEREMADE, in WORKING PAPERS - CENTRE DE RECHERCHES EN MATHÉMATIQUES DE LA DECISION, CEREMADE, Universitè Paris Dauphine, vol. Cahier du CEREMADE N. 0428, pp. 1-40 (Articolo su libro)
  • CASARIN R. Bayesian Monte Carlo Filtering for Stochastic Volatility Models, Cahier du CEREMADE, in WORKING PAPERS - CENTRE DE RECHERCHES EN MATHÉMATIQUES DE LA DECISION, CEREMADE, Universitè Paris Dauphine, vol. Cahier du CEREMADE N. 0415, pp. 1-27 (Articolo su libro)
  • BILLIO M.; CASARIN R.; SARTORE D. Bayesian inference in dynamic models with latent factors (Altro)

2003

  • CASARIN R.; PELIZZON L.; PIVA A. Italian Equity Funds: Efficiency and Performance Persistence in BASSO A.; PIANCA F., Rendiconti per gli Studi Economici Quantitativi (Articolo su libro)
  • CASARIN R. Bayesian Inference for Mixture of Stable Distributions, Atti del Convegno Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, Statistics Department, University of Venice, vol. UNICO, Convegno: Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, 2003-4-6 Semptember (Articolo in Atti di convegno)
  • BILLIO M.,CASARIN R. Extreme Returns in a Shortfall Risk Framework, Atti della giornata di studio Metodi Numerici per la Finanza, Venice, Applied Mathematics Department, University of Veni, vol. UNICO, Convegno: giornata di studio Metodi Numerici per la Finanza, 2003-30 Maggio (ISBN 9788888037066) (Articolo in Atti di convegno)
  • CASARIN R.,PELIZZON L.,PIVA A. Italian Equity Funds: Efficiency and Performance Persistence, Atti della giornata di studio Metodi Numerici per la Finanza, Applied Mathematics Department, University of Venice, vol. UNICO, Convegno: giornata di studio Metodi Numerici per la Finanza, 2003-30 Maggio (ISBN 9788888037066) (Articolo in Atti di convegno)
  • BILLIO M.; CASARIN R.; SARTORE D. Bayesian inference in dynamic models with latent factors, in Working Paper, EUROSTAT, Office for Official Publications of the European Communities (ISBN 9289468343) (Working paper)
  • CASARIN R; LAZZARIN M; PELIZZON L.; SARTORE D Relative Benchmark Rating and Persistence Analysis: Evidence from Italian Equity Funds, pp. 1-24 (Working paper)

2002

  • CASARIN R.,GOBBO M. Metodi Monte Carlo per la Valutazione di Opzioni Finanziarie, Atti della Scuola Estiva in Finanza Quantitativa, Applied Mathematics Department, University of Venice, vol. UNICO, Convegno: Scuola Estiva in Finanza Quantitativa, 2002 (ISBN 9788888037004) (Articolo in Atti di convegno)
  • BILLIO M.; CASARIN R; TONIOLO G Extreme returns in a shortfall risk framework (Altro)

2000

  • BILLIO M.; CASARIN R.; MEHU C.; SARTORE D. Investment Styles in the European Equity Market in C. DUNIS (EDITOR), Advances in Quantitative Asset Management, DORDRECHT, Kluwer Academic P., pp. 61-88 (ISBN 9780792377788) (Articolo su libro)

Curriculum di Roberto CASARIN

CURRICULUM VITAE OF ROBERTO CASARIN
Born March 05, 1975; Married, one children.
Email r.casarin@unive.it
http://venus.unive.it/r.casarin

Education
Laurea in Economics, University Ca’ Foscari of Venice, Italy (1994-1998)
M.Sc. in Applied Mathematics, University Paris IX Dauphine, France (2001-2002)
Ph.D. in Economics, University Ca’ Foscari of Venice, Italy (2000-2003)
Ph.D. in Mathematics, University Paris IX Dauphine, France (2004-2007)

Professional experience
Assistant Professor of Econometrics (since 2010), Dep. of Economics, Università Ca’ Foscari Venezia
Assistant Professor of Econometrics (2007-2010), Dep. of Economics, University of Brescia
Visiting at Dep. of Mathematics (2008-2009), University of Bristol.
Visiting at Dep. of Mathematics (2009), University Paris Sud.
Research Assistant (2006-2007), Dep. of Economics, University of Brescia
Research Assistant (2006-2006), Dep. of Economics, University of Padova
Reseacher at CEREMDADE Laboratory (Paris IX Dauphine) (2001-2007),
Research Assistant at Caisse Autonome de Refinancement (Groupe Caisse des Depôts et des Consignations) (1998-1998)
Researcher and consultant at GRETA Associati (since 2000), Venezia.

Research activity – Funded projects, awards and fellowships
- SYRTO-SYstemic Risk TOmography: Signals, Measurements, Transmission Channels, and Policy Interventions, FP7-SSH-2012-2, 2013, 36 months
- Research Grant, Italian National Research Council (PRIN), project "Modelli statistici multivariati per la valutazione dei rischi", University of Venice, 2012, 24
months.
- EUROSTAT, Euro-indicators, “Advanced statistical and econometric techniques for PEEIS- Transmission of shocks and cyclical fluctuations in the Euro Arera, member states and main economic partners”, 2010-2011; Supervisor.
- GRETA, State Matrix Kalman Filtering, 2009; Supervisor.
- French National Research Council (ANR), Adaptive Monte Carlo Methods (ADAP'MC) 2005-2008, CEREMADE, University Paris Dauphine, 2008; member.
- French National Research Council (ANR) Grant, SELECT, INRIA, University Paris Sud, (2008); member.
- Research Fellowship, "Business Cycle and Financial Markets", Università di Brescia, (2006-2007).
- Research Fellowship, "Strategic Asset Allocation", Università di Padova, 2006.
- Research Grant, Italian National Research Council (CNR), "Contagion and interdependence between financial markets", Università di Venezia; member.
- Italian Economics Society (SIE) award for the best PhD tesi 2004.
Università Ca’ Foscari, Venezia, Italia: PhD Fellowship, 2000-2003.
Research activity – Project Supervision
- University Ca’ Foscari, research grant, “Bayesian Forecasting Methods in Macroeconomics”, 2012-2013; Supervisor.
- University of Brescia, research grant, “Markov-switching GARCH models”, 2011; Supervisor.
- EUROSTAT, Euro-indicators, “Advanced statistical and econometric techniques for PEEIS- Transmission of shocks and cyclical fluctuations in the Euro Area, member states and main economic partners”, 2010-2011; Supervisor.
- GRETA, State Matrix Kalman Filtering, 2009; Supervisor.
Research activity – Main recent talks as invited speaker
• Sequential Monte Carlo methods, August 2013: Norges Bank, invited talk
• Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, June 2013: 7th Rimini Bayesian Econometrics Workshop
• A Bayesian Markov-switching Stochastic Correlation Model, June 2013: SIS meeting on Advances in Latent Variables, Brescia, August 2013: ESOBE Meeting, Oslo
• Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model, August 2013: ESOBE Meeting, Oslo
• Beta Product Poisson-Dirichlet Processes, June 2013: December 2012: CSDA-CFE Meeting, Oviedo, November 2011: Statistics Seminars Series, University of Trieste
• Slice Sampling Vectors of Beta Product Poisson-Dirichlet Processes. 2011: ISBA Meeting on Bayesian Learning, Yetepee University, Istanbul
• Combining Turning Point Forecasts. 2011: 31st International Symposium of Forecasting, Prague
• Interacting Multiple-Try Algorithms. 2011: Statistics Seminars, Dep. of Statistics, University of Madrid III, ASMDA Meeting, University La Sapienza, Rome
• Bayesian Model Selection for Beta Autoregressive Processes. 2011: ISBA Meeting on Bayesian Learning, Yetepee University, Istanbul. 2010: Norges Bank Seminar Series, Oslo.
• Combining Predictive Densities using Bayesian Filtering. 2011: ISBA Meeting on Bayesian Learning, Yetepee University, Istanbul. 2010: European Seminar on Bayesian Econometrics, Rotterdam, 4th CSDA International Conference on Computational and Financial Econometrics, London.
• Stochastic-Correlation Models. 2009: Statistics seminars, University of Navarra, Pamplona.
• Sequential Monte Carlo for complex sampling problems. 2009: EPSRC Symposium Workshop on Markov Chain-Monte Carlo, Warwick Mathematics Institute, Warwick.
• Discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by H. Rue, S. Martino, and N. Chopin. 2008: Royal Statistical Society, Ordinary Meeting, London
• Self-avoiding Sequential Monte Carlo Samplers. 2008: Computational Economics Meeting, Paris.
• Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods. 2008: 5th Colloquium on Modern Tools for Business Cycle Analysis, Luxembourg, Workshop on Emerging Methods in Bayesian Econometrics, Rotterdam (invited lecture), 1st Workshop of the ERCIM Working Group on Computing & Statistics, Neuchâtel Switzerland. 2006: 26th International Symposium on Forecasting, Santander Spain
• Sequential Monte Carlo and Stochastic Volatility Models. 2007: CREST, Option Formation par la Recherche, Paris (invited lecture).
• Inference on Business Cycle and Stock Market Volatility. 2007: CSDA Meeting, Limassol
• Inference on Diffusion Processes by Population Monte Carlo method. 2005: Group de Travaille en Finance-Stat, CREST-INSEE, Paris, MCMC’Ski Meeting, Bormio, Italy, Young Stastistician Meeting, University Trinity College, Dublin, Premieres recontres des jeunes statisticiens Aussois
• Bayesian Inference for Stochastic Volatility Models. 2004: Forecasting Financial Markets, Paris
• Bayesian inference in dynamic models with latent factors. 2004: ISBA Meeting, Valparaiso, Chile. 2003: Colloquium on modern tools for business cycle analysis, Luxembourg (invited lecture)
• Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models
2003: 4th International Workshop on Objective Bayesian Methodology, CNRS, Aussois
• Bayesian Inference for Mixture of Stable Distributions
2003: Young Statistician Meeting, Cambridge.
• Extreme returns in a shortfall risk frame work. 2002: Forecasting Financial Markets, London
• Italian Equity Funds: Efficiency and Performance Persistence. 2001: European Financial Management Association (EFMA), Lugano

Research activity – Main conferences as leading organiser
− Organized session on Bayesian Nonlinear Econometrics, CSDA-CFE meeting, 2011, 2012, 2013.
− Organizing committee of the Workshop on New Tools in Macro-Econometrics, University Ca’ Foscari, 25th March 2013, Venice.
− Organizing committee of the Workshop on Probability Methods in Econometrics, University Ca’ Foscari, 27th September 2011, Venice.
− Organizing committee of the Workshop on Density Forecasting, University Ca’ Foscari, 20th May 2011, Venice.
− Organizing committee of the: First PhD Students Workshop Financial Econometrics and Quantitative Finance, 2009, University of Brescia.
− Organizing committee of the: Third Japanese-European Bayesian Econometrics and Statistics Meeting, (JEuBES 2008), 2008, University of Brescia.
− Organizing committee of the Worskshop on Non-linear Models for Business Cycle Analysis, 2007, Ecole Normal Superior-Cachan, Paris.

Research activity – Main publications
Main research interest are Bayesian inference methods, Monte Carlo simulation algorithms for inference, nonlinear filtering methods, dynamic models with latent factors, stochastic volatility and correlation models, Markov-switching models.

Dynamic latent factor models; Simulation based inference techniques; Volatility and risk modelling; Switching regime models; Volatility transmission and contagion; Business cycle analysis; Hedge funds; Systemic risk.
The research activity has lead to scientific publications on international peer-review journals.
Research activity - Refereeing Journal
Journal of Econometrics, Journal of the American Statistical Association, Journal of Statistical Planning and Inference, Signal Processing Letters, Journal of Economics Dynamics and Control, The European Journal of Finance, Research in Economics, Computational Statistics and Data Analysis, Journal of Forecasting.
Other
- Referee for the Social Sciences and Humanities Research Council (SSHRC) of Canada, for the Standard Research Grants Competition, 2008.
- Referee for the Social Sciences and Humanities Research Council (SSHRC) of Canada, for the Standard Research Grants Competition, 2009.
- Thirteenth International Conference on Artificial Intelligence and Statistics, 2010, Italy.
- Fourteenth International Conference on Artificial Intelligence and Statistics, 2011.
Teaching activity
− Applied Econometrics (30h), University Ca' Foscari, Venice, 2012/2013
− Financial and Nonlinear Econometrics (30h), University Ca' Foscari, Venice, 2012/2013
− Econometrics (30h), University Ca' Foscari, Venice, 2012/2013
− TA Introduction to Econometrics (30h), University Ca’ Foscari, Venice, 2010/2011, 2011/2012, 2012/2013
− Financial and Nonlinear Econometrics (30h), Quantitative Economic Master, University Ca’ Foscari, Venice, 2010/2011, 2011/2012.
− Risk process and Insurance (6h), International Master in Economics and Finance, University Ca’ Foscari, Venice, 2010/2011, 2011/2012.
− Numerical Methods for Option Pricing (6h), International Master in Economics and Finance, University Ca’ Foscari, Venice, 2010/2011, 2011/2012.
− Applied Econometrics II (advanced) (30h), University of Brescia, 2008/2009, 2009/2010.
− Applied Econometrics I (basic) (30h), University of Brescia, 2009/2010.
− TA Applied Econometrics II (20h), University of Brescia, 2008/2009.
− TA Applied Econometrics I (20h), University of Brescia, 2009/2010.
− Statistics for Linguistic (PhD Programme, 12h), University of Venice, 2008/2009.
− Financial Econometrics (30h), University of Brescia, 2009/2010.
− Problems in Financial Econometrics (20h), University of Brescia, 2009/2010.
− Finance of Insurance and Social Security (30h), University of Brescia,  2005/2006, 2006/2007, 2007/2008, 2008/2009.
− Currency Risk and Capital Markets (30h), 2007/2008, 2008/2009.
− Numerical Methods in Econometrics and Finance (20h), University of Brescia, 2007/2008.
− Stochastic Calculus (M.Sc. Programme, 6h), International Venice University, 2004/2005, 2005/2006.
− Forecasting Methods I (30h), University of Venice, 2006/2007, 2007/2008.
− TA Microeconomics (15h), University of Venice, Teaching Assistant, 2002/2003.
− TA Macroeconomics (15h), University of Venice, Teaching Assistant, 2002/2003.

© Ca'Foscari 2014