Mauro Bernardi

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Leopoldo CataniaAssociate Professor, Aarhus University and CREATESVerified email at econ.au.dk
Fabrizio DuranteDipartimento di Matematica e Fisica "Ennio De Giorgi", Università del SalentoVerified email at unisalento.it
GIANFAUSTO SALVADORIUniversità del Salento, Dipartimento di Matematica e Fisica, Lecce (Italy)Verified email at unisalento.it
Antonello MaruottiLibera Università Maria Ss. AssuntaVerified email at lumsa.it
Carlo De MichelePolitecnico di MilanoVerified email at polimi.it
Emanuele BizziInternal Medicine, Fatebenefratelli Hospital, Milan, ItalyVerified email at asst-fbf-sacco.it
Roy CerquetiSapienza University of RomeVerified email at uniroma1.it
Arsen PalestiniMEMOTEF Sapienza University of RomeVerified email at uniroma1.it
Bruno LaganaRicercatore Medicina 1, Immunologia Clinica, Sapienza Roma Facoltà di Medicina e PsicologiaVerified email at uniroma1.it
Colin Gerard EganCE Medical WritingVerified email at ce-medicalwriting.com
Roberto CASARINCa' Foscari University of VeniceVerified email at unive.it
Valeria BignozziSenior researcher at University of Milano-Bicocca, Department of Statistics and Quantitative MethodsVerified email at unimib.it
Antonio CanaleAssociate professor, University of PadovaVerified email at stat.unipd.it
Tommaso ProiettiUniversity of Rome Tor Vergata, Dipartimento di Economia e FinanzaVerified email at uniroma2.it
Marco StefanucciUniversity of Rome Tor VergataVerified email at uniroma2.it
Nicolas BiancoPostdoc researcher, Methods for Big Data, Karlsruhe Institute of TechnologyVerified email at kit.edu
Francesco RavazzoloBI Norwegian Business School and Free University of Bozen-BolzanoVerified email at unibz.it
Roberto TrottaProfessor in Astrostatistics, Imperial College LondonVerified email at imperial.ac.uk
David A. van DykProfessor of Statistics, Imperial College LondonVerified email at imperial.ac.uk
Andrea SottosantiAssistant Professor of Statistics, University of Padova - ItalyVerified email at unipd.it

Mauro Bernardi

Associate Professor, Department of Statistical Sciences, University of Padova

Verified email at unipd.it

Bayesian statistics risk measures time series analysis quantile methods sport statistics


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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	242	2016
The model confidence set package for R M Bernardi, L Catania International Journal of Computational Economics and Econometrics 8 (2), 144-158, 2018	152	2018
Switching Generalised Autoregressive Score Copula Models with Application to Systemic Risk L Bernardi, M., Catania Journal of Applied Econometrics, 2018	84*	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	80	2012
Bayesian tail risk interdependence using quantile regression M Bernardi, G Gayraud, L Petrella	63	2015
CoVaR of families of copulas M Bernardi, F Durante, P Jaworski Statistics & Probability Letters 120, 8-17, 2017	56	2017
Comparison of Value-at-Risk models using the MCS approach M Bernardi, L Catania Computational Statistics 31 (2), 579-608, 2016	54	2016
Multiple risk measures for multivariate dynamic heavy–tailed models M Bernardi, A Maruotti, L Petrella Journal of Empirical Finance 43, 1-32, 2017	48	2017
Risk measures for skew normal mixtures M Bernardi Statistics & Probability Letters 83 (8), 1819-1824, 2013	40	2013
Portfolio Optimisation Under Flexible Dynamic Dependence Modelling L Bernardi, M., Catania Journal of Empirical Finance, 2018	38	2018
MCS: Model confidence set procedure L Catania, M Bernardi R package version 0.1 3, 2017	32	2017
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	29	2018
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	26	2015
Multiple seasonal cycles forecasting model: the Italian electricity demand M Bernardi, L Petrella Statistical Methods & Applications 24, 671-695, 2015	24	2015
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	22	2018
Multivariate Markov-Switching models and tail risk interdependence M Bernardi, A Maruotti, L Petrella arXiv preprint arXiv:1312.6407, 2013	22	2013
Bayesian inference for CoVaR M Bernardi, G Gayraud, L Petrella arXiv preprint arXiv:1306.2834, 2013	21	2013
Indirect comparison between subcutaneous biologic agents in ankylosing spondylitis A Migliore, E Bizzi, M Bernardi, A Picchianti Diamanti, B Laganà, ... Clinical drug investigation 35, 23-29, 2015	19	2015
Are news important to predict the Value-at-Risk? M Bernardi, L Catania, L Petrella The European Journal of Finance 23 (6), 535-572, 2017	18	2017
Bayesian Quantile Regression using the Skew Exponential Power Distribution PL Bernardi M., Bottone, M. Computational Statistics & Data Analysis 126, 99-111, 2018	16*	2018

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