34 citations · 92 across the 18 of their papers we have counts for
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q-fin.ST2014★ 4 cited
Are news important to predict large losses?
Mauro Bernardi, Leopoldo Catania, Lea Petrella
In this paper we investigate the impact of news to predict extreme financial returns using high frequency data. We consider several model specifications differing for the dynamic p…
q-fin.RM2014★ 5 cited
Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors
M. Bernardi, L. Petrella
In this paper we consider a multivariate model-based approach to measure the dynamic evolution of tail risk interdependence among US banks, financial services and insurance sectors…