4 citations · 6 across the 5 of their papers we have counts for
3 papers · 1 filter
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…