In this paper we propose a novel approach to measure risks, when the data available are expressed in an ordinal scale. As a result we obtain a new index of risk bounded between 0 and 1, that leads to a risk ordering that is consistent with a stochastic dominance approach. The proposed measure,...

Model uncertainty remains a challenge to researchers in different applications. When many competing models are available for estimation, and without enough guidance from theory, model averaging represents an alternative to model selection. Despite model averaging approaches have been present in...

Twitter text data may be very useful to predict financial tangibles, such as share prices, as well as intangible assets, such as company reputation. While twitter data are becoming widely available to researchers, methods aimed at selecting which twitter data are reliable are, to our knowledge,...

The measurement of the quality of academic research is a rather controversial issue. Recently Hirsch has proposed a measure that has the advantage of summarizing in a single summary statistics all the information that is contained in the citation counts of each scientist. From that seminal...

In this contribution we aim at improving ordinal variable selection in the context of causal models. In this regard, we propose an approach that provides a formal inferential tool to compare the explanatory power of each covariate, and, therefore, to select an effective model for classification...

The late-2000s financial crisis has stressed the need of understanding the world financial system as a network of countries, where cross-border financial linkages play a fundamental role in the spread of systemic risks. Financial network models, that take into account the complex...

In this contribution we aim at improving ordinal variable selection in the context of causal models. In this regard, we propose an approach that provides a formal inferential tool to compare the explanatory power of each covariate, and, therefore, to select an effective model for classification...

The latest financial crisis has stressed the need of understanding the world financial system as a network of interconnected institutions, where financial linkages play a fundamental role in the spread of systemic risks. In this paper we propose to enrich the topological perspective of network...

This paper considers the joint role of macroeconomic and bankspecific factors in explaining the occurrence of bank failures. As bank failures are, fortunately, rare, we apply a regression model, based on extreme value theory, that turns out to be more effective than classical logistic regression...

Financial network models are a useful tool to model interconnectedness and systemic risks in financial systems. They are essentially descriptive, and based on highly correlated networks. In this paper we embed them in a stochastic framework, aimed at a more parsimonious and more realistic...