6 citations · 35 across the 20 of their papers we have counts for
Showing 2013Show all
2 papers · 1 filter
stat.ME2013★ 6 cited
Multivariate Markov-Switching models and tail risk interdependence
Mauro Bernardi, Antonello Maruotti, Lea Petrella
Markov switching models are often used to analyze financial returns because of their ability to capture frequently observed stylized facts. In this paper we consider a multivariate…
stat.ME2013★ 4 cited
Bayesian inference for CoVaR
Mauro Bernardi, Ghislaine Gayraud, Lea Petrella
Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observe…