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Mauro Bernardi
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A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities
G Salvadori, F Durante, C De Michele, M Bernardi, L Petrella
Water Resources Research 52 (5), 3701-3721, 2016
2102016
The model confidence set package for R
M Bernardi, L Catania
International Journal of Computational Economics and Econometrics 8 (2), 144-158, 2018
1342018
Switching Generalised Autoregressive Score Copula Models with Application to Systemic Risk
L Bernardi, M., Catania
Journal of Applied Econometrics, 2018
72*2018
Skew mixture models for loss distributions: a Bayesian approach
M Bernardi, A Maruotti, L Petrella
Insurance: Mathematics and Economics 51 (3), 617-623, 2012
712012
Bayesian tail risk interdependence using quantile regression
M Bernardi, G Gayraud, L Petrella
592015
Comparison of Value-at-Risk models using the MCS approach
M Bernardi, L Catania
Computational Statistics 31 (2), 579-608, 2016
532016
CoVaR of families of copulas
M Bernardi, F Durante, P Jaworski
Statistics & Probability Letters 120, 8-17, 2017
492017
Multiple risk measures for multivariate dynamic heavy–tailed models
M Bernardi, A Maruotti, L Petrella
Journal of Empirical Finance 43, 1-32, 2017
422017
Risk measures for skew normal mixtures
M Bernardi
Statistics & Probability Letters 83 (8), 1819-1824, 2013
372013
Portfolio Optimisation Under Flexible Dynamic Dependence Modelling
L Bernardi, M., Catania
Journal of Empirical Finance, 2018
332018
MCS: Model confidence set procedure
L Catania, M Bernardi
Computer software manual]. https://CRAN. R-project. org/package= MCS, 2017
292017
Conditional risk based on multivariate hazard scenarios
M Bernardi, F Durante, P Jaworski, L Petrella, G Salvadori
Stochastic Environmental Research and Risk Assessment 32, 203-211, 2018
252018
Multiple seasonal cycles forecasting model: the Italian electricity demand
M Bernardi, L Petrella
Statistical Methods & Applications 24, 671-695, 2015
232015
Interconnected risk contributions: A heavy-tail approach to analyze US financial sectors
M Bernardi, L Petrella
Journal of Risk and Financial Management 8 (2), 198-226, 2015
232015
Multivariate Markov-Switching models and tail risk interdependence
M Bernardi, A Maruotti, L Petrella
arXiv preprint arXiv:1312.6407, 2013
222013
Bayesian inference for CoVaR
M Bernardi, G Gayraud, L Petrella
arXiv preprint arXiv:1306.2834, 2013
212013
Hazard assessment under multivariate distributional change-points: Guidelines and a flood case study
G Salvadori, F Durante, C De Michele, M Bernardi
Water 10 (6), 751, 2018
192018
Indirect comparison between subcutaneous biologic agents in ankylosing spondylitis
A Migliore, E Bizzi, M Bernardi, A Picchianti Diamanti, B Laganą, ...
Clinical drug investigation 35, 23-29, 2015
182015
Efficacy of biological agents administered as monotherapy in rheumatoid arthritis: a Bayesian mixed-treatment comparison analysis
A Migliore, E Bizzi, CG Egan, M Bernardi, L Petrella
Therapeutics and Clinical Risk Management, 1325-1335, 2015
152015
Bayesian Quantile Regression using the Skew Exponential Power Distribution
PL Bernardi M., Bottone, M.
Computational Statistics & Data Analysis 126, 99-111, 2018
14*2018
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