Mauro Bernardi

发表

Switching generalized autoregressive score copula models with application to systemic risk

Leopoldo Catania, Mauro Bernardi, Leopoldo Catania, 2018, Journal of Applied Econometrics.

Comparison of Value-at-Risk models using the MCS approach

Leopoldo Catania, Mauro Bernardi, Leopoldo Catania, 2016, Comput. Stat..

Switching-GAS Copula Models for Systemic Risk Assessment

Leopoldo Catania, Mauro Bernardi, Leopoldo Catania, 2015 .

Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution

Lea Petrella, Mauro Bernardi, Marco Bottone, 2019, Statistical Methods & Applications.

A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities

Fabrizio Durante, Lea Petrella, Mauro Bernardi, 2016 .

Sparse Networks Through Regularised Regressions

Mauro Bernardi, Michele Costola, M. Bernardi, 2018 .

Robust Time-Varying Undirected Graphs

Mauro Bernardi, Paola Stolfi, 2018 .

The Model Conﬁdence Set package for R

Leopoldo Catania, Mauro Bernardi, Leopoldo Catania, 2019 .

Approximate EM Algorithm for Sparse Estimation of Multivariate Location–Scale Mixture of Normals

Mauro Bernardi, Paola Stolfi, 2018 .

The Skew Normal multivariate risk measurement framework

Roy Cerqueti, Mauro Bernardi, Arsen Palestini, 2020, Comput. Manag. Sci..

Mining signals of astronomical sources via Bayesian nonparametric mixture modelling

Andrea Sottosanti, Alessandra Rosalba Brazzale, Mauro Bernardi, 2018 .

Bayesian quantile regression using the skew exponential power distribution

Mauro Bernardi, Marco Bottone, Lea Petrella, 2017, Comput. Stat. Data Anal..

Parallel Adaptive Markov chain Monte Carlo with applications

Mauro Bernardi, Lea Petrella, 2012 .

Bayesian Ensemble of Quantile Trees for Sales Prediction

Mauro Bernardi, Paola Stolfi, 2018 .

Bayesian Support Vector Machine Quantile Regression

Andrea Sottosanti, Mauro Bernardi, Emanuele Degani, 2018 .

Extracting the Cyclical Component in Hours Worked: a Bayesian Approach

Tommaso Proietti, Giuseppe Della Corte, Mauro Bernardi, 2008 .

Portfolio optimisation under flexible dynamic dependence modelling

Leopoldo Catania, Mauro Bernardi, Leopoldo Catania, 2016, Journal of Empirical Finance.

Locally Sparse Function-on-Function Regression

Antonio Canale, Mauro Bernardi, Marco Stefanucci, 2021, Journal of Computational and Graphical Statistics.

Identification of high-energy astrophysical point sources via hierarchical Bayesian nonparametric clustering

Alessandra R. Brazzale, Andrea Sottosanti, Mauro Bernardi, 2021, 2104.11492.

Bayesian inference for CoVaR

Mauro Bernardi, Ghislaine Gayraud, Lea Petrella, 2013, 1306.2834.

Risk measures for Skew Normal mixtures

Mauro Bernardi, M. Bernardi, 2013 .

Extracting the Cyclical Component in Hours Worked

Tommaso Proietti, Mauro Bernardi, Giuseppe Della Corte, 2011 .

Multiple risk measures for multivariate dynamic heavy–tailed models

Antonello Maruotti, Mauro Bernardi, Lea Petrella, 2017 .

A dynamic hurdle model for zeroinflated panel count data

Antonello Maruotti, Mauro Bernardi, Lea Petrella, 2013 .

Bayesian Tail Risk Interdependence Using Quantile Regression

Mauro Bernardi, Ghislaine Gayraud, Lea Petrella, 2015 .

Are news important to predict large losses

Leopoldo Catania, Mauro Bernardi, Lea Petrella, 2014, 1410.6898.

Conditional risk based on multivariate hazard scenarios

Fabrizio Durante, Mauro Bernardi, Piotr Jaworski, 2017, Stochastic Environmental Research and Risk Assessment.