68 citations · 98 across the 10 of their papers we have counts for
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stat.ME2015★ 3 cited
Switching-GAS Copula Models With Application to Systemic Risk
Mauro Bernardi, Leopoldo Catania
Recent financial disasters have emphasised the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial market…
stat.CO2015★ 1 cited
Comparison of Value-at-Risk models: the MCS package
Mauro Bernardi, Leopoldo Catania
This paper compares the Value--at--Risk (VaR) forecasts delivered by alternative model specifications using the Model Confidence Set (MCS) procedure recently developed by Hansen et…