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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

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/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

Dynamic adaptive mixture models with an application to volatility and risk

Catania, Leopoldo - In: Journal of financial econometrics 19 (2021) 4, pp. 531-564

Persistent link: https://www.econbiz.de/10012654970

Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution

Bignozzi, Valeria; Merlo, Luca; Petrella, Lea - In: Insurance : mathematics and economics 116 (2024), pp. 44-50

Persistent link: https://www.econbiz.de/10015066778

Large deviations for risk measures in finite mixture models

Bignozzi, Valeria; Macci, Claudio; Petrella, Lea - In: Insurance / Mathematics & economics 80 (2018), pp. 84-92

Persistent link: https://www.econbiz.de/10011872915

Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation

Merlo, Luca; Petrella, Lea; Raponi, Valentina - In: Journal of banking & finance 133 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013256440

A dominance test for measuring financial connectedness

Bernardi, Mauro; Stolfi, Paola - In: The European journal of finance 26 (2020) 2/3, pp. 119-141

Persistent link: https://www.econbiz.de/10012207190

The Skew Normal multivariate risk measurement framework

Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Computational management science 17 (2020) 1, pp. 105-119

Persistent link: https://www.econbiz.de/10012206033

Forecasting cryptocurrencies under model and parameter instability

Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - In: International journal of forecasting 35 (2019) 2, pp. 485-501

Persistent link: https://www.econbiz.de/10012300691