4 citations · 6 across the 5 of their papers we have counts for
5 papers
Probability Based Independence Sampler for Bayesian Quantitative Learning in Graphical Log-Linear Marginal Models
Ioannis Ntzoufras, Claudia Tarantola, Monia Lupparelli
Bayesian methods for graphical log-linear marginal models have not been developed in the same extent as traditional frequentist approaches. In this work, we introduce a novel Bayes…
Default Probability Estimation via Pair Copula Constructions
Luciana Dalla Valle, Maria Elena De Giuli, Claudia Tarantola +1
In this paper we present a novel approach for firm default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula constructions.…
Bayesian Analysis of Value-at-Risk with Product Partition Models
Giacomo Bormetti, Maria Elena De Giuli, Danilo Delpini +1
In this paper we propose a novel Bayesian methodology for Value-at-Risk computation based on parametric Product Partition Models. Value-at-Risk is a standard tool to measure and co…
Bayesian Analysis of Marginal Log-Linear Graphical Models for Three Way Contingency Tables
Ioannis Ntzoufras, Claudia Tarantola
This paper deals with the Bayesian analysis of graphical models of marginal independence for three way contingency tables. We use a marginal log-linear parametrization, under which…
Bayesian outlier detection in Capital Asset Pricing Model
Maria Elena De Giuli, Mario Alessandro Maggi, Claudia Tarantola
We propose a novel Bayesian optimisation procedure for outlier detection in the Capital Asset Pricing Model. We use a parametric product partition model to robustly estimate the sy…