Mauro Bernardi

University of Padova

Via 8 Febbraio

Padova, 2-35122

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

195

CITATIONS

4

Scholarly Papers (2)

1.

The Model Confidence Set Package for R

CEIS Working Paper No. 362
Number of pages: 23 Posted: 20 Nov 2015
Mauro Bernardi and Leopoldo Catania
University of Padova and Aarhus University - School of Business and Social Sciences
Downloads 133 (215,636)
Citation 5

Abstract:

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Hypothesis testing, Model Confidence Set, Value-at-Risk, VaR combination, ARCH-Models, R-CRAN

2.

High-Dimensional Sparse Financial Networks Through a Regularised Regression Model

SAFE Working Paper No. 244 (2019)
Number of pages: 51 Posted: 27 Feb 2019
Mauro Bernardi and Michele Costola
University of Padova and Goethe University Frankfurt - Research Center SAFE
Downloads 62 (349,078)

Abstract:

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VAR estimation, Financial Networks, Bayesian inference, Sparsity, Spike-and-Slab prior, Stochastic Search Variable Selection, Expectation-Maximisation