2 citations · 3 across the 3 of their papers we have counts for
3 papers
q-fin.MF2016★ 1 cited
Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall
Bernardi Mauro, Roy Cerqueti, Arsen Palestini
The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk…
stat.AP2014
Extracting the Italian output gap: a Bayesian approach
Mauro Bernardi, Antonio Di Ruggiero
During the last decades particular effort has been directed towards understanding and predicting the relevant state of the business cycle with the objective of decomposing permanen…
stat.CO2014★ 2 cited
The Model Confidence Set package for R
Mauro Bernardi, Leopoldo Catania
This paper presents the R package MCS which implements the Model Confidence Set (MCS) procedure recently developed by Hansen et al. (2011). The Hansen's procedure consists on a seq…