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Are news important to predict the Value-at-Risk?

Bernardi, Mauro; Catania, Leopoldo; Petrella, Lea - In: The European journal of finance 23 (2017) 4/6, pp. 535-572

Persistent link: https://www.econbiz.de/10011736300

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

The model confidence set package for R

Bernardi, Mauro; Catania, Leopoldo - In: International journal of computational economics and … 8 (2018) 2, pp. 144-158

Persistent link: https://www.econbiz.de/10011865276

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

Selection of value at risk models for energy commodities

Laporta, Alessandro G.; Merlo, Luca; Petrella, Lea - In: Energy economics 74 (2018), pp. 628-643

Persistent link: https://www.econbiz.de/10011972948

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

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

Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall

Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Journal of the Operational Research Society 72 (2021) 3, pp. 628-641

Persistent link: https://www.econbiz.de/10012500976

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