Blar i Publikasjoner fra CRIStin - BI på forfatter "Casarin, Roberto"

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    • A flexible predictive density combination for large financial data sets in regular and crisis periods 

      Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Journal article; Peer reviewed, 2023)
      A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive ...

    • Modeling Corporate CDS Spreads Using Markov Switching Regressions 

      Baltodano López, Ovielt; Bulfone, Giacomo; Casarin, Roberto; Ravazzolo, Francesco (Journal article; Peer reviewed, 2023)
      This paper investigates the determinants of the European iTraxx corporate CDS index considering a large set of explanatory variables within a Markov switching model framework. The influence of financial and economic variables ...