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Details about Marco Bee

Workplace:Dipartimento di Economia e Management (Department of Economics and Management), Università degli Studi di Trento (University of Trento), (more information at EDIRC)

Access statistics for papers by Marco Bee.

Last updated 2019-08-16. Update your information in the RePEc Author Service.

Short-id: pbe243


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Working Papers

2019

  1. An improved approach for estimating large losses in insurance analytics and operational risk using the g-and-h distribution
    DEM Working Papers, Department of Economics and Management Downloads

2018

  1. Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
    DEM Working Papers, Department of Economics and Management Downloads View citations (1)
  2. Estimating the wrapped stable distribution via indirect inference
    DEM Working Papers, Department of Economics and Management Downloads

2017

  1. Likelihood-based Risk Estimation for Variance-Gamma Models
    DEM Working Papers, Department of Economics and Management Downloads
    See also Journal Article in Statistical Methods & Applications (2018)

2016

  1. An extreme value analysis of the last century crises across industries in the U.S. economy
    Working Papers, IMT Institute for Advanced Studies Lucca Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2017)

2015

  1. A Cross-Entropy approach to the estimation of Generalised Linear Multilevel Models
    DEM Working Papers, Department of Economics and Management Downloads View citations (1)
  2. An improved pairs trading strategy based on switching regime volatility
    DEM Discussion Papers, Department of Economics and Management Downloads View citations (1)
  3. Approximate likelihood inference for the Bingham distribution
    DEM Working Papers, Department of Economics and Management Downloads
  4. Powerless: gains from trade when firm productivity is not Pareto distributed
    Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) Downloads View citations (4)
    See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (2018)

2014

  1. Fitting Spatial Econometric Models through the Unilateral Approximation
    DEM Discussion Papers, Department of Economics and Management Downloads
  2. Where Gibrat meets Zipf: Scale and Scope of French Firms
    DEM Discussion Papers, Department of Economics and Management Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)

2013

  1. Approximate Maximum Likelihood Estimation of the Autologistic Model
    DEM Discussion Papers, Department of Economics and Management Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2015)

2012

  1. A Trick of the (Pareto) Tail
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads View citations (1)
  2. Statistical analysis of the Lognormal-Pareto distribution using Probability Weighted Moments and Maximum Likelihood
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads View citations (2)

2011

  1. Pareto versus lognormal: a maximum entropy test
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads View citations (10)

2010

  1. Dynamic VaR models and the Peaks over Threshold method for market risk measurement: an empirical investigation during a financial crisis
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads View citations (3)
  2. Simulating copula-based distributions and estimating tail probabilities by means of Adaptive Importance Sampling
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads

2009

  1. A note on maximum likelihood estimation of a Pareto mixture
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads
  2. Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
    DISA Working Papers, Department of Computer and Management Sciences, University of Trento, Italy Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2011)

2008

  1. A Monte Carlo EM Algorithm for the Estimation of a Logistic Auto-logistic Model with Missing Data
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads View citations (1)
    See also Journal Article in Letters in Spatial and Resource Sciences (2008)
  2. Mixture models for VaR and stress testing
    Alea Tech Reports, Department of Computer and Management Sciences, University of Trento, Italy Downloads View citations (3)
  3. Testing the Profitability of Simple Technical Trading Rules: A Bootstrap Analysis of the Italian Stock Market
    Alea Tech Reports, Department of Computer and Management Sciences, University of Trento, Italy Downloads
  4. Un modello per l'incorporazione del rischio specifico nel VaR
    Alea Tech Reports, Department of Computer and Management Sciences, University of Trento, Italy Downloads View citations (1)

2007

  1. A framework for cut-off sampling in business survey design
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads View citations (3)
  2. Aggregation of regional economic time series with different spatial correlation structures
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads View citations (4)
  3. Importance Sampling for Sums of Lognormal Distributions, with Applications to Operational Risk
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads
  4. Spatial models for flood risk assessment
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads View citations (1)
  5. The asymptotic loss distribution in a fat-tailed factor model of portfolio credit risk
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads

2005

  1. On maximum likelihood estimation of operational loss distributions
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads View citations (3)

2002

  1. Firms� bankruptcy and turnover in a macroeconomy
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia Downloads View citations (13)

Journal Articles

2018

  1. Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review
    Risks, 2018, 6, (2), 1-16 Downloads View citations (1)
  2. Likelihood-based risk estimation for variance-gamma models
    Statistical Methods & Applications, 2018, 27, (1), 69-89 Downloads
    See also Working Paper (2017)
  3. Powerless: gains from trade when firm productivity is not Pareto distributed
    Review of World Economics (Weltwirtschaftliches Archiv), 2018, 154, (1), 15-45 Downloads
    See also Working Paper (2015)
  4. Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements
    Journal of Applied Econometrics, 2018, 33, (3), 398-415 Downloads View citations (2)

2017

  1. An extreme value analysis of the last century crises across industries in the U.S. economy
    Journal of Economic Dynamics and Control, 2017, 81, (C), 65-78 Downloads
    See also Working Paper (2016)
  2. Approximate maximum likelihood estimation of the Bingham distribution
    Computational Statistics & Data Analysis, 2017, 108, (C), 84-96 Downloads
  3. Where Gibrat meets Zipf: Scale and scope of French firms
    Physica A: Statistical Mechanics and its Applications, 2017, 481, (C), 265-275 Downloads View citations (8)
    See also Working Paper (2014)

2016

  1. La sopravvivenza immediata delle start-up italiane del settore manifatturiero sanitario: un’analisi multilevel
    RIVISTA DI ECONOMIA E STATISTICA DEL TERRITORIO, 2016, 2016/3, (3), 49-59 Downloads
  2. Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective
    Journal of Empirical Finance, 2016, 36, (C), 86-99 Downloads View citations (3)
  3. US stock returns: are there seasons of excesses?
    Quantitative Finance, 2016, 16, (9), 1453-1464 Downloads View citations (1)

2015

  1. Approximate maximum likelihood estimation of the autologistic model
    Computational Statistics & Data Analysis, 2015, 84, (C), 14-26 Downloads View citations (1)
    See also Working Paper (2013)

2013

  1. Testing Isotropy in Spatial Econometric Models
    Spatial Economic Analysis, 2013, 8, (3), 228-240 Downloads View citations (2)
  2. The size distribution of US cities: Not Pareto, even in the tail
    Economics Letters, 2013, 120, (2), 232-237 Downloads View citations (11)

2011

  1. Adaptive Importance Sampling for simulating copula-based distributions
    Insurance: Mathematics and Economics, 2011, 48, (2), 237-245 Downloads View citations (1)
  2. Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
    Computational Statistics & Data Analysis, 2011, 55, (8), 2525-2539 Downloads View citations (7)
    See also Working Paper (2009)

2008

  1. A Monte Carlo EM algorithm for the estimation of a logistic auto-logistic model with missing data
    Letters in Spatial and Resource Sciences, 2008, 1, (1), 45-54 Downloads View citations (1)
    See also Working Paper (2008)

2005

  1. Estimating rating transition probabilites with missing data
    Statistical Methods & Applications, 2005, 14, (1), 127-141 Downloads

2004

  1. Modelling credit default swap spreads by means of normal mixtures and copulas
    Applied Mathematical Finance, 2004, 11, (2), 125-146 Downloads View citations (2)

2002

  1. A Problem of Dimensionality in Normal Mixture Analysis
    Scandinavian Journal of Statistics, 2002, 29, (3), 485-500 Downloads
 
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