← All authors Mauro Bernardi University of Padua (per OpenAlex) · ORCID · OpenAlex
35 papers in scope · 34 published · 2 on the econ.EM arXiv · 616 citations · h-index 13 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Xuewen Yu Joshua C. C. Chan Luis Gruber Yaling Qi Gregor Kastner Gary Koop Anastasios Panagiotelis Nicolás Bianco Daniele Bianchi Florian Huber Rubén Loaiza-Maya David T. Frazier Gael M. Martin Worapree Maneesoonthorn Florian Ziel Fei Shang Sylvia Frühwirth-Schnatter Didier Nibbering Dimitris Korobilis Tomasz Woźniak Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 35)
Non-Conjugate Variational Bayes for Pseudo-Likelihood Mixed Effect Models
published 2025 · Journal of Computational and Graphical Statistics · first circulated 2022
with Cristian Castiglione
Contributors for Volume 1
published 2024 · Hepatology
with Zaigham Abbas, Khalid Abdullah, Subrat Kumar Acharya, Gulnara Aghayeva, Jawad Ahmad, Sheikh Mohammad Fazle Akbar, Anil Arora, Patrik Asp, Meena B. Bansal, Essam Bedewy, David Bernstein, Umesha Boregowda, …
Bayesian dynamic quantile model averaging
published 2024 · Annals of Operations Research · 4 citations · first circulated 2016
PDE-regularised spatial quantile regression
published 2024 · Journal of Multivariate Analysis · 7 citations
with Cristian Castiglione, Eleonora Arnone, Alessio Farcomeni, Laura M. Sangalli
published 2023 · Journal of Business and Economic Statistics · 11 citations · first circulated 2022
working paper 2022 · arXiv · 4 citations
Locally Sparse Function-on-Function Regression
published 2022 · Journal of Computational and Graphical Statistics · 3 citations · first circulated 2021
with Antonio Canale, Marco Stefanucci
Robust estimation of time-dependent precision matrix with application to the cryptocurrency market
published 2022 · Financial Innovation · 5 citations
with Paola Stolfi, Davide Vergni
Sparse simulation-based estimator built on quantiles
published 2022 · Econometrics and Statistics · 3 citations
with Paola Stolfi, Lea Petrella
Point and Interval Forecasting of Zonal Electricity Prices and Demand Using Heteroscedastic Models: The IPEX Case
published 2020 · Energies · 9 citations
with Francesco Lisi
Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution
published 2020 · Statistical Methods & Applications · 5 citations
with Marco Bottone, Lea Petrella
Bayesian Econometrics
published 2020 · Journal of risk and financial management · 9 citations
A dominance test for measuring financial connectedness
published 2019 · European Journal of Finance · 6 citations
with Paola Stolfi
The Skew Normal multivariate risk measurement framework
published 2019 · Computational Management Science · 3 citations
Switching generalized autoregressive score copula models with application to systemic risk
published 2018 · Journal of Applied Econometrics · 62 citations
Portfolio optimisation under flexible dynamic dependence modelling
published 2018 · Journal of Empirical Finance · 21 citations · first circulated 2016
Bayesian quantile regression using the skew exponential power distribution
published 2018 · Computational Statistics & Data Analysis · 26 citations
with Marco Bottone, Lea Petrella
The sparse method of simulated quantiles: An application to portfolio optimization
published 2018 · Statistica Neerlandica · 5 citations
with Paola Stolfi, Lea Petrella
The model confidence set package for R
published 2018 · International Journal of Computational Economics and Econometrics · 79 citations · first circulated 2014
Conditional risk based on multivariate hazard scenarios
published 2017 · Stochastic Environmental Research and Risk Assessment · 21 citations
Multiple risk measures for multivariate dynamic heavy–tailed models
published 2017 · Journal of Empirical Finance · 43 citations
with Antonello Maruotti, Lea Petrella
On the L p -quantiles for the Student t distribution
published 2017 · Statistics & Probability Letters · 6 citations · first circulated 2016
with Valeria Bignozzi, Lea Petrella
CoVaR of families of copulas
published 2016 · Statistics & Probability Letters · 42 citations
Dynamic Model Averaging for Quantile Regression
published 2016 · 48th Scientific Meeting of the Italian Statistical Society · 3 citations
no link
Dynamic Quantile Lasso Regression
published 2016 · 48th Scientific Meeting of the Italian Statistical Society
with Fabrizio Poggioni, Lea Petrella
no link
The Switching Skew–GARCH Model
published 2016 · 48th Scientific Meeting of the Italian Statistical Society
with Matteo Soscia, Lea Petrella
no link
Comparison of Value-at-Risk models using the MCS approach
published 2016 · Computational Statistics · 52 citations
Are news important to predict the Value-at-Risk?
published 2016 · European Journal of Finance · 18 citations
Multiple seasonal cycles forecasting model: the Italian electricity demand
published 2015 · Statistical Methods & Applications · 18 citations
with Lea Petrella
Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors
published 2015 · Journal of risk and financial management · 22 citations · first circulated 2014
with Lea Petrella
Bayesian Tail Risk Interdependence Using Quantile Regression
published 2015 · Bayesian Analysis · 48 citations · first circulated 2013
with Ghislaine Gayraud, Lea Petrella
Risk measures for skew normal mixtures
published 2013 · Statistics & Probability Letters · 1 citations
A dynamic hurdle model for zeroinflated panel count data
published 2012 · Applied Economics Letters · 5 citations
with Filippo Belloc, Antonello Maruotti, Lea Petrella
Skew mixture models for loss distributions: A Bayesian approach
published 2012 · Insurance Mathematics and Economics · 71 citations
with Antonello Maruotti, Lea Petrella
Extracting the Cyclical Component in Hours Worked
published 2011 · Studies in Nonlinear Dynamics and Econometrics · 4 citations · first circulated 2008
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