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Mauro Bernardi · Study

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Mauro Bernardi

9 works· latest 2018· 2 institutionscluster: provisionalORCID 0000-0001-5759-9892

h-index9

i109

Citations709

Works here9

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18

Most cited in this library

A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities2016 · 276 citations
The model confidence set package for R2018 · 82 citations
Skew mixture models for loss distributions: A Bayesian approach2012 · 69 citations
Switching generalized autoregressive score copula models with application to systemic risk2018 · 62 citations
Comparison of Value-at-Risk models using the MCS approach2016 · 52 citations

Works

9 shown

Switching generalized autoregressive score copula models with application to systemic risk

Journal of Applied Econometrics·2018·2 authors·Open access

62citations

The model confidence set package for R

International Journal of Computational Economics and Econometrics·2018·2 authors·Open access

82citations

Multiple risk measures for multivariate dynamic heavy–tailed models

Journal of Empirical Finance·2017·3 authors·Open access

44citations

CoVaR of families of copulas

Statistics & Probability Letters·2016·3 authors·Open access

42citations

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

Water Resources Research·2016·5 authors·Open access

276citations

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

Computational Statistics·2016·2 authors

52citations

Bayesian Tail Risk Interdependence Using Quantile Regression

Bayesian Analysis·2015·3 authors·Open access

46citations

The Model Confidence Set Package for R

SSRN Electronic Journal·2015·2 authors·preprint·Open access

36citations

Skew mixture models for loss distributions: A Bayesian approach

Insurance Mathematics and Economics·2012·3 authors

69citations