Giudici : Citation Profile


Are you Giudici?

Università degli Studi di Pavia

6

H index

5

i10 index

188

Citations

RESEARCH PRODUCTION:

46

Articles

37

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (1998 - 2020). See details.
   Cites by year: 8
   Journals where Giudici has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 38 (16.81 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgi259
   Updated: 2021-03-01    RAS profile: 2021-01-06    
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Relations with other researchers


Works with:

Ahelegbey, Daniel Felix (11)

Parisi, Laura (5)

Gambacorta, Leonardo (3)

Aldasoro, Iñaki (3)

Avdjiev, Stefan (2)

Cerchiello, Paola (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 (12)

Corbet, Shaen (4)

Casarin, Roberto (3)

Billio, Monica (3)

lucey, brian (3)

Cerchiello, Paola (3)

Andrieș, Alin Marius (2)

Kohn, Robert (2)

Griffin, Jim (2)

Meyer-Gohde, Alexander (2)

Panagiotidis, Theodore (2)

Cites to:

Billio, Monica (35)

Ahelegbey, Daniel Felix (21)

Diebold, Francis (20)

Yilmaz, Kamil (19)

Casarin, Roberto (18)

Acharya, Viral (18)

Pelizzon, Loriana (17)

Lo, Andrew (17)

Brownlees, Christian (15)

Engle, Robert (14)

battiston, stefano (14)

Main data


Where Giudici has published?


Journals with more than one article published# docs
Risks7
Statistical Methods & Applications5
Statistics & Probability Letters3
Applied Stochastic Models in Business and Industry3
Physica A: Statistical Mechanics and its Applications3
Computational Statistics & Data Analysis2
Journal of the Operational Research Society2
Journal of the Royal Statistical Society Series B2
Journal of Financial Stability2

Working Papers Series with more than one paper published# docs
DEM Working Papers Series / University of Pavia, Department of Economics and Management28
MPRA Paper / University Library of Munich, Germany3
BIS Working Papers / Bank for International Settlements3

Recent works citing Giudici (2021 and 2020)


YearTitle of citing document
2020Systemic risk assessment through high order clustering coefficient. (2018). Cerqueti, Roy ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1810.13250.

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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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2021Robustness of the international oil trade network under targeted attacks to economies. (2021). W. -J. Xie, ; Wei, N ; W. -X. Zhou, ; W.-X. Zhou, . In: Papers. RePEc:arx:papers:2101.10679.

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2020Inside the regulatory sandbox: effects on fintech funding. (2020). Gambacorta, Leonardo ; Doerr, Sebastian ; Merrouche, Ouarda ; Cornelli, Giulio. In: BIS Working Papers. RePEc:bis:biswps:901.

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2020Assessing 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.

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2020Exchange rate shocks in multicurrency interbank markets. (2020). Siklos, Pierre L ; Stefan, Martin. In: CQE Working Papers. RePEc:cqe:wpaper:9220.

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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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2021Analysis of an aggregate loss model in a Markov renewal regime. (2021). Carrizosa, Emilio ; Ramirez-Cobo, Pepa ; Lillo, Rosa E. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:396:y:2021:i:c:s0096300320308225.

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2020Combining multiple probability predictions in the presence of class imbalance to discriminate between potential bad and good borrowers in the peer-to-peer lending market. (2020). Zanin, Luca. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635019302072.

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2020A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices. (2020). Annamalai, Balamurugan ; Chandrasekaran, Shabana ; Aggarwal, Divya. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635019302266.

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2020Quantile spillovers and dependence between Bitcoin, equities and strategic commodities. (2020). Chevallier, Julien ; Guesmi, Khaled ; Abid, Ilyes ; Urom, Christian. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:230-258.

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2021Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. (2021). Wang, Xunhong ; Li, Yiou ; Yuan, Ying. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:401-414.

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2021The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach. (2021). Racicot, François-Éric ; Theoret, Raymond ; Gregoriou, Greg N. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:843-872.

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2021Returns and volume: Frequency connectedness in cryptocurrency markets. (2021). Tzaferi, Dimitra ; Fousekis, Panos. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:13-20.

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2021A model-based index for systemic risk contribution measurement in financial networks. (2021). Zhang, Ziqing ; Deng, Yang ; Zhu, LI. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:35-48.

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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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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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2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040.

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2020A novel two-stage approach for cryptocurrency analysis. (2020). Sun, Yuying ; Yang, Boyu ; Wang, Shouyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302118.

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2020Credit risk and financial integration: An application of network analysis. (2020). Inekwe, John Nkwoma ; Bhattacharya, Mita ; Valenzuela, Maria Rebecca. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302325.

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2020Female board representation, risk-taking and performance: Evidence from dual banking systems. (2020). Abedifar, Pejman ; Hassan, Arshad ; Fraz, Ahmad ; Khan, Mushtaq Hussain. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612320303044.

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2020The contribution of shadow insurance to systemic risk. (2020). Urga, Giovanni ; Pellegrini, Carlo Bellavite ; Leong, Soon Heng. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300772.

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2020The prevalence of price overreactions in the cryptocurrency market. (2020). Czudaj, Robert ; Borgards, Oliver. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300780.

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2020How informative are stock prices of Islamic Banks?. (2020). Song, Liang ; Hashem, Shatha Qamhieh ; Bouslah, Kais ; Abedifar, Pejman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300871.

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2020Tail behavior of Bitcoin, the dollar, gold and the stock market index. (2020). Ho, JI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s104244312030086x.

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2020Solvency II and sovereign credit risk: Additional empirical evidence and some thoughts about implications for regulators and lawmakers. (2020). Basse, Tobias. In: International Review of Law and Economics. RePEc:eee:irlaec:v:64:y:2020:i:c:s0144818820301460.

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2021Information flow between bitcoin and other financial assets. (2021). Yang, Jae-Suk ; Jang, Kwahngsoo ; Park, Sang Jin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s037843712030902x.

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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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2020Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach. (2020). Sensoy, Ahmet ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Maitra, Debasish ; Ur, Mobeen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919307822.

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2021Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution. (2021). Tiwari, Aviral ; Aikins, Emmanuel Joel ; Le, Tn-Lan. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:162:y:2021:i:c:s0040162520312087.

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2020Information 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.

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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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2020The Bayesian Approach to Capital Allocation at Operational Risk: A Combination of Statistical Data and Expert Opinion. (2020). Benbachir, Saad ; Habachi, Mohamed. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:1:p:9-:d:320948.

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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). AndrieÈ™, 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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2020First Quarter Chronicle of COVID-19: An Attempt to Measure Governments’ Responses. (2020). Constantinescu, Corina ; del Carmen, Maria ; Ahin, Ule ; Zhu, Wei ; Wang, Jing ; Henshaw, Kira ; Eisenberg, Julia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:115-:d:439377.

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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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2020Applying a Bayesian Network to VaR Calculations. (2020). Apps, Emma. In: Working Papers. RePEc:liv:livedp:202024.

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2020Cybersecurity hazards and financial system vulnerability: a synthesis of literature. (2020). Hassan, Mohammad Kabir ; Ali, Md Hakim ; Uddin, Md Hamid. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:4:d:10.1057_s41283-020-00063-2.

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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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2020Modeling Risk Contagion in the Italian Zonal Electricity Market. (2020). Ahelegbey, Daniel Felix ; Fianu, Emmanuel Senyo ; Grossi, Luigi. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0182.

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2021Network Based Evidence of the Financial Impact of Covid-19 Pandemic. (2021). Ahelegbey, Daniel Felix ; Scaramozzino, Roberta ; Cerchiello, Paola. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0198.

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2020The interdependency structure in the Mexican stock exchange: A network approach. (2020). Aguilar, Erick Trevio . In: PLOS ONE. RePEc:plo:pone00:0238731.

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2020On the use of growth models to understand epidemic outbreaks with application to COVID-19 data. (2020). Kakai, Romain Glele ; Lokonon, Bruno Enagnon ; Tovissode, Chenangnon Frederic. In: PLOS ONE. RePEc:plo:pone00:0240578.

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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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2021Are bank risk disclosures informative? Evidence from debt markets. (2021). Ntim, Collins G ; Elamer, Ahmed A ; Awad, Awad Elsayed ; Elmagrhi, Mohamed ; Owusu, Andrews ; Abdou, Hussein A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1270-1298.

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Works by Giudici:


YearTitleTypeCited
2019Measuring contagion risk in international banking In: BIS Working Papers.
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paper3
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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2020Operational and cyber risks in the financial sector.(2020) In: CEPR Discussion Papers.
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2020The drivers of cyber risk In: BIS Working Papers.
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paper2
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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article10
2020Tree networks to assess financial contagion In: Economic Modelling.
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article2
2019Tree Networks to Assess Financial Contagion.(2019) In: MPRA Paper.
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2019Trade networks and economic fluctuations in Asian countries In: Economic Systems.
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article2
2019What determines bitcoin exchange prices? A network VAR approach In: Finance Research Letters.
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article26
2017Heterogeneous market structure and systemic risk: Evidence from dual banking systems In: Journal of Financial Stability.
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article5
2017Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems.(2017) In: DEM Working Papers Series.
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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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article3
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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2012On the distribution of functionals of discrete ordinal variables In: Statistics & Probability Letters.
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2014Bayesian Selection of Systemic Risk Networks In: Advances in Econometrics.
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chapter4
2018CoRisk: Credit Risk Contagion with Correlation Network Models In: Risks.
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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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2020Lead Behaviour in Bitcoin Markets In: Risks.
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2020A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics In: Risks.
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2020A Poisson autoregressive model to understand COVID-19 contagion dynamics.(2020) In: DEM Working Papers Series.
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2020Tail Risk Transmission: A Study of the Iran Food Industry In: Risks.
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2020Tail Risk Transmission: A Study of Iran Food Industry.(2020) In: DEM Working Papers Series.
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2020Why to Buy Insurance? An Explainable Artificial Intelligence Approach 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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2017Measuring bank contagion in Europe using binary spatial regression models In: Journal of the Operational Research Society.
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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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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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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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2014Financial big data analysis for the estimation of systemic risks In: DEM Working Papers Series.
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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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2016Graphical Network Models for International Financial Flows.(2016) In: Journal of Business & Economic Statistics.
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2015Monetary transmission models for bank interest rates In: DEM Working Papers Series.
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2015Modeling Systemic Risk with Correlated Stochastic Processes In: DEM Working Papers Series.
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2016CoRisk: measuring systemic risk through default probability contagion In: DEM Working Papers Series.
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paper1
2016Big data models of bank risk contagion In: DEM Working Papers Series.
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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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2020Network VAR models to Measure Financial Contagion In: DEM Working Papers Series.
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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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2020Tail Risk Measurement In Crypto-Asset Markets In: DEM Working Papers Series.
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2020Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises In: DEM Working Papers Series.
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2020NetVIX - A Network Volatility Index of Financial 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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2020COVID-19 contagion and digital finance In: Digital Finance.
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2020Lorenz Model Selection In: Journal of Classification.
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2001Bayesian inference for graphical factor analysis models In: Psychometrika.
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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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2004Markov Chain Monte Carlo model selection for DAG models In: Statistical Methods & Applications.
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2009Statistical models for e-learning data In: Statistical Methods & Applications.
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2020Cyber risk measurement with ordinal data In: Statistical Methods & Applications.
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1998Markov chain Monte Carlo methods for probabilistic network model determination In: Statistical Methods & Applications.
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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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In: .
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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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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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2020Vector error correction models to measure connectedness of Bitcoin exchange markets In: Applied Stochastic Models in Business and Industry.
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