Giudici : Citation Profile


Are you Giudici?

Università degli Studi di Pavia

6

H index

3

i10 index

141

Citations

RESEARCH PRODUCTION:

42

Articles

34

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (1998 - 2020). See details.
   Cites by year: 6
   Journals where Giudici has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 35 (19.89 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgi259
   Updated: 2020-08-01    RAS profile: 2020-07-07    
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Relations with other researchers


Works with:

Ahelegbey, Daniel Felix (7)

Parisi, Laura (7)

Aldasoro, Iñaki (3)

Cerchiello, Paola (3)

Gambacorta, Leonardo (3)

Calabrese, Raffaella (2)

Avdjiev, Stefan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Giudici.

Is cited by:

Ahelegbey, Daniel Felix (6)

Corbet, Shaen (3)

Cerchiello, Paola (3)

lucey, brian (3)

Billio, Monica (3)

Casarin, Roberto (3)

Calabrese, Raffaella (2)

Schienle, Melanie (2)

Vravosinos, Orestis (2)

Andrieș, Alin Marius (2)

Faustino, Rui (2)

Cites to:

Billio, Monica (26)

Yilmaz, Kamil (16)

Diebold, Francis (16)

Lo, Andrew (15)

Pelizzon, Loriana (15)

Acharya, Viral (14)

battiston, stefano (13)

Brownlees, Christian (12)

Barigozzi, Matteo (12)

Ahelegbey, Daniel Felix (12)

Reyes, Javier (11)

Main data


Where Giudici has published?


Journals with more than one article published# docs
Statistical Methods & Applications5
Risks4
Physica A: Statistical Mechanics and its Applications3
Applied Stochastic Models in Business and Industry3
Statistics & Probability Letters3
Journal of the Operational Research Society2
Journal of Financial Stability2
Journal of the Royal Statistical Society Series B2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
DEM Working Papers Series / University of Pavia, Department of Economics and Management25
MPRA Paper / University Library of Munich, Germany3
BIS Working Papers / Bank for International Settlements3

Recent works citing Giudici (2020 and 2019)


YearTitle of citing document
2019The spread of a financial virus through Europe and beyond. (2019). , Delfim ; Rodrigues, Helena Sofia ; Kostylenko, Olena. In: Papers. RePEc:arx:papers:1901.07241.

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2019Smart network based portfolios. (2019). Hitaj, Asmerilda ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1907.01274.

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2020Communicability in the World Trade Network -- A new perspective for community detection. (2020). Grassi, Rosanna ; Clemente, Gian Paolo ; Bartesaghi, Paolo. In: Papers. RePEc:arx:papers:2001.06356.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020Evolving efficiency and robustness of global oil trade networks. (2020). Zhou, Wei-Xing ; Wei, NA ; Xie, Wen-Jie. In: Papers. RePEc:arx:papers:2004.05325.

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2020The interdependency structure in the Mexican stock exchange: A network approach. (2020). Aguilar, Erick Trevino . In: Papers. RePEc:arx:papers:2004.06676.

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2020Shallow or deep? Detecting anomalous flows in the Canadian Automated Clearing and Settlement System using an autoencoder. (2020). Heijmans, Ronald ; Sabetti, Leonard. In: DNB Working Papers. RePEc:dnb:dnbwpp:681.

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2019Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches. (2019). Mensi, Walid ; Ur, Mobeen ; Al-Yahyaee, Khamis Hamed ; Wanas, Idries Mohammad. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:47-56.

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2020A new method to verify Bitcoin bubbles: Based on the production cost. (2020). Zhao, Lei ; Liu, Qing ; Xiong, Jinwu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303602.

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2019A new approach to measure systemic risk: A bivariate copula model for dependent censored data. (2019). Osmetti, Silvia Angela ; Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:3:p:1053-1064.

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2020An 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.

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2019Cryptocurrencies as a financial asset: A systematic analysis. (2019). Yarovaya, Larisa ; Urquhart, Andrew ; Lucey, Brian ; Corbet, Shaen. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:182-199.

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2019The effects of markets, uncertainty and search intensity on bitcoin returns. (2019). Stengos, Thanasis ; Panagiotidis, Theodore ; Vravosinos, Orestis. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:220-242.

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2019The effectiveness of technical trading rules in cryptocurrency markets. (2019). Sensoy, Ahmet ; lucey, brian ; Eraslan, Veysel ; Corbet, Shaen. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:32-37.

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2019From financial markets to Bitcoin markets: A fresh look at the contagion effect. (2019). Matkovskyy, Roman ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:93-97.

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2019High frequency volatility co-movements in cryptocurrency markets. (2019). Corbet, Shaen ; Katsiampa, Paraskevi ; Lucey, Brian. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:35-52.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2019Weak convergence and optimal tuning of the reversible jump algorithm. (2019). Desgagne, Alain ; Bedard, Mylene ; Gagnon, Philippe. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:161:y:2019:i:c:p:32-51.

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2019Double correlation model for operational risk: Evidence from Chinese commercial banks. (2019). Xu, Chi ; Wang, Nuan ; Ji, Jingru ; Zheng, Chunling. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:327-339.

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2019Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model. (2019). Tiwari, Aviral ; Kang, Sanghoon ; Raheem, Ibrahim Dolapo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313159.

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2019Islamic banks and political risk: International evidence. (2019). Hassan, M. Kabir ; Soumare, Issouf ; Grira, Jocelyn ; Belkhir, Mohamed. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:74:y:2019:i:c:p:39-55.

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2019News and subjective beliefs: A Bayesian approach to Bitcoin investments. (2019). Flori, Andrea. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:336-356.

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2020On the investment credentials of Bitcoin: A cross-currency perspective. (2020). Bedi, Prateek ; Nashier, Tripti. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301722.

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2020Are Corporate Bond Defaults Contagious across Sectors?. (2020). Ellis, Colin. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:1:p:1-:d:305922.

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2019Practice Oriented and Monte Carlo Based Estimation of the Value-at-Risk for Operational Risk Measurement. (2019). Zitikis, Riardas ; Piacenza, Fabio ; Greselin, Francesca. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:50-:d:227534.

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2019The Time-Spatial Dimension of Eurozone Banking Systemic Risk. (2019). Angelini, Eliana ; Foglia, Matteo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:75-:d:246287.

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2019An Urn-Based Nonparametric Modeling of the Dependence between PD and LGD with an Application to Mortgages. (2019). Cirillo, Pasquale ; Cheng, Dan. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:76-:d:246367.

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2019Aggregation of Incidence and Intensity Risk Variables to Achieve Reconciliation. (2019). Taplin, Ross ; Hunt, Clive. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:107-:d:280192.

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2020The Leaders, the Laggers, and the “Vulnerables”. (2020). Arakelian, Veni ; Hashem, Shatha Qamhieh. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:26-:d:331532.

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2020Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model. (2020). Andrieș, Alin Marius ; Galasan, Elena ; Andries, Alin Marius . In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:5-:d:307357.

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2020Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market. (2020). Cafferata, Alessia ; Agosto, Arianna. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:34-:d:343546.

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2020Technical Analysis on the Bitcoin Market: Trading Opportunities or Investors’ Pitfall?. (2020). de Giuli, Maria Elena ; DeGiuli, Maria Elena ; Pagnottoni, Paolo ; Resta, Marina. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:44-:d:354452.

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2020A 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.

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2020A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series. (2020). Ahelegbey, Daniel Felix ; Carvalho, Luis ; Kolaczyk, Eric D. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0181.

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2019Association of attitudes towards genetically modified food among young adults and their referent persons. (2019). Brosig, Stephan ; Bavorova, Miroslava. In: PLOS ONE. RePEc:plo:pone00:0211879.

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2019Estimation and testing of multiplicative models for frequency data. (2019). Forcina, Antonoio. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:82:y:2019:i:7:d:10.1007_s00184-019-00709-6.

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2019Single index quantile regression for censored data. (2019). Akritas, Michael G ; Christou, Eliana . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:28:y:2019:i:4:d:10.1007_s10260-019-00450-4.

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2020Contagion or interdependence? Comparing signed and unsigned spillovers. (2020). Volkov, Vladimir ; Islam, Raisul. In: Working Papers. RePEc:tas:wpaper:33214.

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2019CRYPTOCURRENCIES IN FINANCE: REVIEW AND APPLICATIONS. (2019). Flori, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:05:n:s0219024919500201.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: Working Paper Series in Economics. RePEc:zbw:kitwps:123.

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Works by Giudici:


YearTitleTypeCited
2019Measuring contagion risk in international banking In: BIS Working Papers.
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paper1
2019Measuring contagion risk in international banking.(2019) In: Journal of Financial Stability.
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article
2020Operational and cyber risks in the financial sector In: BIS Working Papers.
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paper0
2020Operational and cyber risks in the financial sector.(2020) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2020The drivers of cyber risk In: BIS Working Papers.
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paper0
2000Likelihood-Ratio Tests for Hidden Markov Models In: Biometrics.
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article6
2003Efficient construction of reversible jump Markov chain Monte Carlo proposal distributions In: Journal of the Royal Statistical Society Series B.
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article32
2003Discussion on the paper by Brooks, Giudici and Roberts In: Journal of the Royal Statistical Society Series B.
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article0
2002Data mining of association structures to model consumer behaviour In: Computational Statistics & Data Analysis.
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article3
2008A Bayesian approach to estimate the marginal loss distributions in operational risk management In: Computational Statistics & Data Analysis.
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article8
2020Tree networks to assess financial contagion In: Economic Modelling.
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article0
2019Tree Networks to Assess Financial Contagion.(2019) In: MPRA Paper.
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paper
2019Trade networks and economic fluctuations in Asian countries In: Economic Systems.
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article1
2019What determines bitcoin exchange prices? A network VAR approach In: Finance Research Letters.
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article15
2017Heterogeneous market structure and systemic risk: Evidence from dual banking systems In: Journal of Financial Stability.
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article1
2017Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems.(2017) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 1
paper
2004Statistical models for operational risk management In: Physica A: Statistical Mechanics and its Applications.
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article7
2007Bayesian Networks for enterprise risk assessment In: Physica A: Statistical Mechanics and its Applications.
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article2
2019Latent factor models for credit scoring in P2P systems In: Physica A: Statistical Mechanics and its Applications.
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2018Latent Factor Models for Credit Scoring in P2P Systems.(2018) In: MPRA Paper.
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2018Financial data science In: Statistics & Probability Letters.
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article1
2011On the Gini measure decomposition In: Statistics & Probability Letters.
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article0
2012On the distribution of functionals of discrete ordinal variables In: Statistics & Probability Letters.
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article2
2014Bayesian Selection of Systemic Risk Networks In: Advances in Econometrics.
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chapter3
2018CoRisk: Credit Risk Contagion with Correlation Network Models In: Risks.
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article4
2019Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution In: Risks.
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2019High Frequency Price Change Spillovers in Bitcoin Markets In: Risks.
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article2
2020Lead Behaviour in Bitcoin Markets In: Risks.
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2015Scorecard models for operations management In: International Journal of Data Science.
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2015Estimating bank default with generalised extreme value regression models In: Journal of the Operational Research Society.
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article8
2017Measuring bank contagion in Europe using binary spatial regression models In: Journal of the Operational Research Society.
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article3
2014Measuring Bank Contagion in Europe Using Binary Spatial Regression Models.(2014) In: DEM Working Papers Series.
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2013Bayesian Credit Ratings (new version) In: DEM Working Papers Series.
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2013Measuring risk with ordinal variables In: DEM Working Papers Series.
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paper2
2013Credit risk predictions with Bayesian model averaging In: DEM Working Papers Series.
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2013Estimating bank default with generalised extreme value models In: DEM Working Papers Series.
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paper3
2013H Index: A Statistical Proposal In: DEM Working Papers Series.
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2014How to measure the quality of financial tweets In: DEM Working Papers Series.
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paper4
2014Financial big data analysis for the estimation of systemic risks In: DEM Working Papers Series.
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paper0
2014Conditional graphical models for systemic risk measurement In: DEM Working Papers Series.
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2015A Bayesian h-index: how to measure research impact In: DEM Working Papers Series.
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2015Systemic risk of Islamic Banks In: DEM Working Papers Series.
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2013Bayesian operational risk models In: DEM Working Papers Series.
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2013Graphical network models for international financial flows In: DEM Working Papers Series.
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paper15
2016Graphical Network Models for International Financial Flows.(2016) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 15
article
2015Monetary transmission models for bank interest rates In: DEM Working Papers Series.
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paper1
2015Modeling Systemic Risk with Correlated Stochastic Processes In: DEM Working Papers Series.
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paper0
2016CoRisk: measuring systemic risk through default probability contagion In: DEM Working Papers Series.
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2016Big data models of bank risk contagion In: DEM Working Papers Series.
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paper1
2016The multivariate nature of systemic risk: direct and common exposures In: DEM Working Papers Series.
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2016Bail in or Bail out? The Atlante example from a systemic risk perspective In: DEM Working Papers Series.
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paper1
2020Network VAR models to Measure Financial Contagion In: DEM Working Papers Series.
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paper0
2020A rank graduation accuracy measure In: DEM Working Papers Series.
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2020Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers In: DEM Working Papers Series.
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2020A Poisson autoregressive model to understand COVID-19 contagion dynamics In: DEM Working Papers Series.
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2020Tail Risk Measurement In Crypto-Asset Markets In: DEM Working Papers Series.
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2019Factorial Network Models To Improve P2P Credit Risk Management In: MPRA Paper.
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2018Trade Networks and Economic Fluctuations in Asia In: ADBI Working Papers.
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2012Non parametric statistical models for on-line text classification In: Advances in Data Analysis and Classification.
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article0
Crypto price discovery through correlation networks In: Annals of Operations Research.
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article0
COVID-19 contagion and digital finance In: Digital Finance.
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2001Bayesian inference for graphical factor analysis models In: Psychometrika.
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article1
2017Categorical network models for systemic risk measurement In: Quality & Quantity: International Journal of Methodology.
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2014On a statistical h index In: Scientometrics.
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article1
2004Markov Chain Monte Carlo model selection for DAG models In: Statistical Methods & Applications.
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article5
2009Statistical models for e-learning data In: Statistical Methods & Applications.
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article0
2020Cyber risk measurement with ordinal data In: Statistical Methods & Applications.
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article0
1998Markov chain Monte Carlo methods for probabilistic network model determination In: Statistical Methods & Applications.
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article0
1999Monte Carlo methods for nonparametric survival model determination In: Statistical Methods & Applications.
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article1
2011Paolo Giudici and Silvia Figini: Applied data mining for business and industry (Second Edition) In: Statistical Papers.
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1998Nonparametric estimation of survival functions by means of partial exchangeability structures In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2010A threshold based approach to merge data in financial risk management In: Journal of Applied Statistics.
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article3
2017Sovereign risk in the Euro area: a multivariate stochastic process approach In: Quantitative Finance.
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2014Hierarchical Graphical Models, With Application to Systemic Risk In: Working Papers.
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paper1
2001Editorial In: Applied Stochastic Models in Business and Industry.
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2001Bayesian data mining, with application to benchmarking and credit scoring In: Applied Stochastic Models in Business and Industry.
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article3
2020Vector error correction models to measure connectedness of Bitcoin exchange markets In: Applied Stochastic Models in Business and Industry.
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