7
H index
7
i10 index
157
Citations
University of Essex | 7 H index 7 i10 index 157 Citations RESEARCH PRODUCTION: 16 Articles 13 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Raffaella Calabrese. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of the Operational Research Society | 3 |
European Journal of Operational Research | 3 |
Journal of Applied Statistics | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Geary Institute, University College Dublin | 9 |
Papers / arXiv.org | 2 |
DEM Working Papers Series / University of Pavia, Department of Economics and Management | 2 |
Year | Title of citing document |
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2020 | Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets. (2020). Sarris, Alexandros ; Dotsis, George ; Triantafyllou, Athanasios. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:71:y:2020:i:3:p:631-651. Full description at Econpapers || Download paper |
2020 | Financial ratios as a powerful instrument to predict insolvency; a study using boosting algorithms in Colombian firms.. (2020). Correa-Mejia, Diego Andres ; Lopera-Castao, Mauricio. In: Estudios Gerenciales. RePEc:col:000129:018340. Full description at Econpapers || Download paper |
2020 | The cohabitation of institutional investors with the government: A case study of the TARP–CPP program. (2020). Wang, Daphne ; Ngo, Thanh ; Jory, Surendranath R. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020300216. Full description at Econpapers || Download paper |
2020 | An ordinal classification framework for bank failure prediction: Methodology and empirical evidence for US banks. (2020). Galariotis, Emilios ; Zopounidis, Constantin ; Doumpos, Michalis ; Manthoulis, Georgios. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:2:p:786-801. Full description at Econpapers || Download paper |
2020 | Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients. (2020). Crook, Jonathan ; Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:749-761. Full description at Econpapers || Download paper |
2020 | Predicting loss given default in leasing: A closer look at models and variable selection. (2020). Loderbusch, Matthias ; Kriebel, Johannes ; Kaposty, Florian. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:248-266. Full description at Econpapers || Download paper |
2020 | Predicting LGD distributions with mixed continuous and discrete ordinal outcomes. (2020). Yu, Kaizhi ; Chu, Chih-Kang ; Hwang, Ruey-Ching. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1003-1022. Full description at Econpapers || Download paper |
2020 | Bayesian loss given default estimation for European sovereign bonds. (2020). Rosch, Daniel ; Kellner, Ralf ; Jobst, Rainer . In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1073-1091. Full description at Econpapers || Download paper |
2020 | Borrower distress and the efficiency of relationship banking. (2020). Shao, Pei ; Ng, Alex ; Donker, Han. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617303011. Full description at Econpapers || Download paper |
2020 | Information network modeling for U.S. banking systemic risk. (2020). Cerchiello, Paola ; Nicola, Giancarlo ; Aste, Tomaso. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:107563. Full description at Econpapers || Download paper |
2020 | The Changing Dynamics of Board Independence: A Copula Based Quantile Regression Approach. (2020). Jun, Chulhee ; Cho, Chanho ; Kim, Jong-Min. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:254-:d:435902. Full description at Econpapers || Download paper |
2020 | The Leaders, the Laggers, and the “Vulnerablesâ€. (2020). Arakelian, Veni ; Hashem, Shatha Qamhieh. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:26-:d:331532. Full description at Econpapers || Download paper |
2020 | A Dynamic Credit Index System for TSMEs in China Using the Delphi and Analytic Hierarchy Process (AHP) Methods. (2020). Jia, Zhuoqiang ; Yu, AO ; Herrera, Francisco ; Deng, KE ; Zhang, Weike. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:1715-:d:324916. Full description at Econpapers || Download paper |
2020 | Comparison study of two-step LGD estimation model with probability machines. (2020). Tanoue, Yuta ; Nagahata, Hideaki ; Yamashita, Satoshi. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:3:d:10.1057_s41283-020-00059-y. Full description at Econpapers || Download paper |
2020 | Unexpected Effects of Bank Bailouts:Depositors Need Not Apply and Need Not Run. (2020). Lamers, Martien ; Berger, Allen N ; Schoors, Koen ; Roman, Raluca A. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:20/1005. Full description at Econpapers || Download paper |
2020 | I found a better job opportunity! Voluntary job mobility of employees and temporary contracts before and after the great recession in France, Italy and Spain. (2020). Zanin, Luca ; Mussida, Chiara. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01622-7. Full description at Econpapers || Download paper |
2020 | Lorenz Model Selection. (2020). Giudici, Paolo ; Raffinetti, Emanuela. In: Journal of Classification. RePEc:spr:jclass:v:37:y:2020:i:3:d:10.1007_s00357-019-09358-w. Full description at Econpapers || Download paper |
2020 | Determinants of the Choice of Job Search Channels by the Unemployed Using a Multivariate Probit Model. (2020). Mussida, Chiara ; Zanin, Luca. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:152:y:2020:i:1:d:10.1007_s11205-020-02439-z. Full description at Econpapers || Download paper |
2020 | Cyber risk measurement with ordinal data. (2020). Giudici, Paolo ; Osmetti, Silvia Angela ; Facchinetti, Silvia. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:1:d:10.1007_s10260-019-00470-0. Full description at Econpapers || Download paper |
2020 | Contagion or interdependence? Comparing signed and unsigned spillovers. (2020). Volkov, Vladimir ; Islam, Raisul. In: Working Papers. RePEc:tas:wpaper:33214. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2014 | Modelling cross-border systemic risk in the European banking sector: a copula approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models In: Papers. [Full Text][Citation analysis] | paper | 4 |
2016 | A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models.(2016) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2014 | ESTIMATORS OF BINARY SPATIAL AUTOREGRESSIVE MODELS: A MONTE CARLO STUDY In: Journal of Regional Science. [Full Text][Citation analysis] | article | 11 |
2012 | Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2013 | A probabilistic scheme with uniform correlation structure In: Statistics in Transition new series. [Full Text][Citation analysis] | article | 0 |
2014 | Downturn Loss Given Default: Mixture distribution estimation In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 14 |
2017 | The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 11 |
2010 | Bank loan recovery rates: Measuring and nonparametric density estimation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 49 |
2013 | Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
2012 | Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2016 | Estimating Binary Spatial Autoregressive Models for Rare Events In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 2 |
2015 | Estimating bank default with generalised extreme value regression models In: Journal of the Operational Research Society. [Full Text][Citation analysis] | article | 17 |
2016 | Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model In: Journal of the Operational Research Society. [Full Text][Citation analysis] | article | 6 |
2017 | Measuring bank contagion in Europe using binary spatial regression models In: Journal of the Operational Research Society. [Full Text][Citation analysis] | article | 3 |
2014 | Measuring Bank Contagion in Europe Using Binary Spatial Regression Models.(2014) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2013 | Estimating bank default with generalised extreme value models In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
2017 | Interaction effects of region-level GDP per capita and age on labour market transition rates in Italy In: IZA Journal of Labor Economics. [Full Text][Citation analysis] | article | 3 |
2013 | Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 11 |
2014 | Optimal cut-off for rare events and unbalanced misclassification costs In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 1 |
2011 | Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2011 | Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Improving Classifier Performance Assessment of Credit Scoring Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Regression Model for Proportions with Probability Masses at Zero and One In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Single-name concentration risk in credit portfolios: a comparison of concentration indices In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2012 | Estimating bank loans loss given default by generalized additive models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Modelling Downturn Loss Given Default In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Predicting bank loan recovery rates with a mixed continuousâ€discrete model In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 11 |
2015 | Improving Forecast of Binary Rare Events Data: A GAMâ€Based Approach In: Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2019 | “Birds of a Feather†Fail Together: Exploring the Nature of Dependency in SME Defaults In: Risk Analysis. [Full Text][Citation analysis] | article | 3 |
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