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Are news important to predict the Value-at-Risk?

Bernardi, Mauro; Catania, Leopoldo; Petrella, Lea - In: The European journal of finance 23 (2017) 4/6, pp. 535-572

Persistent link: https://www.econbiz.de/10011736300

Interconnected risk contributions: A heavy-tail approach to analyze U.S. financial sectors

Bernardi, Mauro; Petrella, Lea - In: Journal of Risk and Financial Management 8 (2015) 2, pp. 198-226

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail risk interdependence measurement framework...

Persistent link: https://www.econbiz.de/10011843258

A dynamic hurdle model for zero-inflated panel count data

Belloc, Filippo; Bernardi, Mauro; Maruotti, Antonello; … - In: Applied economics letters 20 (2013) 7/9, pp. 837-841

Persistent link: https://www.econbiz.de/10009763288

Skew mixture models for loss distributions : a Bayesian approach

Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 617-623

Persistent link: https://www.econbiz.de/10009683205

Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors

Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226

Persistent link: https://www.econbiz.de/10011545172

Multiple risk measures for multivariate dynamic heavy-tailed models

Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32

Persistent link: https://www.econbiz.de/10011817885

Switching generalized autoregressive score copula models with application to systemic risk

Bernardi, Mauro; Catania, Leopoldo - In: Journal of Applied Econometrics 34 (2018) 1, pp. 43-65

Persistent link: https://www.econbiz.de/10012082798

The model confidence set package for R

Bernardi, Mauro; Catania, Leopoldo - In: International journal of computational economics and … 8 (2018) 2, pp. 144-158

Persistent link: https://www.econbiz.de/10011865276

Portfolio optimisation under flexible dynamic dependence modelling

Bernardi, Mauro; Catania, Leopoldo - In: Journal of empirical finance 48 (2018), pp. 1-18

Persistent link: https://www.econbiz.de/10012109219

The Model Confidence Set Package for R

Bernardi, Mauro - 2015

This paper presents the R package MCS which implements the Model Confidence Set (MCS) procedure recently developed by Hansen, Lunde, and Nason (2011). The Hansen's procedure consists on a sequence of tests which permits to construct a set of "superior" models, where the null hypothesis of Equal...

Persistent link: https://www.econbiz.de/10013011764