Details about Marco Bee

Access statistics for papers by Marco Bee.

Last updated 2023-12-06. Update your information in the RePEc Author Service.

Short-id: pbe243

Working Papers

2020

1. On discriminating between lognormal and Pareto tail: A mixture-based approach
   DEM Working Papers, Department of Economics and Management

2019

2. 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

2018

3. Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
   DEM Working Papers, Department of Economics and Management View citations (1)
   See also Journal Article Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach, Quantitative Finance, Taylor & Francis Journals (2019) View citations (2) (2019)
4. Estimating the wrapped stable distribution via indirect inference
   DEM Working Papers, Department of Economics and Management

2017

5. Likelihood-based Risk Estimation for Variance-Gamma Models
   DEM Working Papers, Department of Economics and Management View citations (1)
   See also Journal Article Likelihood-based risk estimation for variance-gamma models, Statistical Methods & Applications, Springer (2018) View citations (1) (2018)

2016

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

2015

7. A Cross-Entropy approach to the estimation of Generalised Linear Multilevel Models
   DEM Working Papers, Department of Economics and Management View citations (1)
8. An improved pairs trading strategy based on switching regime volatility
   DEM Discussion Papers, Department of Economics and Management View citations (2)
9. Approximate likelihood inference for the Bingham distribution
   DEM Working Papers, Department of Economics and Management
10. Powerless: gains from trade when firm productivity is not Pareto distributed
    Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) View citations (5)
    Also in Working Papers, HAL (2015) View citations (1)
    SciencePo Working papers Main, HAL (2015)
    See also Journal Article Powerless: gains from trade when firm productivity is not Pareto distributed, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2018) View citations (12) (2018)

2014

11. Fitting Spatial Econometric Models through the Unilateral Approximation
    DEM Discussion Papers, Department of Economics and Management
12. Where Gibrat meets Zipf: Scale and Scope of French Firms
    DEM Discussion Papers, Department of Economics and Management View citations (5)
    See also Journal Article Where Gibrat meets Zipf: Scale and scope of French firms, Physica A: Statistical Mechanics and its Applications, Elsevier (2017) View citations (26) (2017)

2013

13. Approximate Maximum Likelihood Estimation of the Autologistic Model
    DEM Discussion Papers, Department of Economics and Management
    See also Journal Article Approximate maximum likelihood estimation of the autologistic model, Computational Statistics & Data Analysis, Elsevier (2015) View citations (2) (2015)

2012

14. A Trick of the (Pareto) Tail
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (2)
15. 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 View citations (2)

2011

16. Pareto versus lognormal: a maximum entropy test
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (19)

2010

17. 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 View citations (5)
18. 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

2009

19. A note on maximum likelihood estimation of a Pareto mixture
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia
20. Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
    DISA Working Papers, Department of Computer and Management Sciences, University of Trento, Italy
    See also Journal Article Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models, Computational Statistics & Data Analysis, Elsevier (2011) View citations (10) (2011)

2008

21. 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 View citations (2)
    See also Journal Article A Monte Carlo EM algorithm for the estimation of a logistic auto-logistic model with missing data, Letters in Spatial and Resource Sciences, Springer (2008) View citations (2) (2008)
22. Mixture models for VaR and stress testing
    Alea Tech Reports, Department of Computer and Management Sciences, University of Trento, Italy View citations (3)
23. 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
24. Un modello per l'incorporazione del rischio specifico nel VaR
    Alea Tech Reports, Department of Computer and Management Sciences, University of Trento, Italy View citations (1)

2007

25. A framework for cut-off sampling in business survey design
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (3)
26. Aggregation of regional economic time series with different spatial correlation structures
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (4)
27. Importance Sampling for Sums of Lognormal Distributions, with Applications to Operational Risk
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia
28. Spatial models for flood risk assessment
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (1)
29. 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

2005

30. On maximum likelihood estimation of operational loss distributions
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (4)

2002

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

Journal Articles

2025

1. A parsimonious dynamic mixture for heavy-tailed distributions
   Mathematics and Computers in Simulation (MATCOM), 2025, 230, (C), 193-206

2024

2. Machine learning techniques for default prediction: an application to small Italian companies
   Risk Management, 2024, 26, (1), 1-23 View citations (1)
3. On discriminating between lognormal and Pareto tail: an unsupervised mixture-based approach
   Advances in Data Analysis and Classification, 2024, 18, (2), 251-269

2023

4. Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
   International Review of Financial Analysis, 2023, 89, (C) View citations (2)
5. Unsupervised mixture estimation via approximate maximum likelihood based on the Cramér - von Mises distance
   Computational Statistics & Data Analysis, 2023, 185, (C)

2022

6. Machine Learning Models and Data-Balancing Techniques for Credit Scoring: What Is the Best Combination?
   Risks, 2022, 10, (9), 1-22 View citations (4)
7. Some analytical results on bivariate stable distributions with an application in operational risk
   Quantitative Finance, 2022, 22, (7), 1355-1369
8. The truncated g-and-h distribution: estimation and application to loss modeling
   Computational Statistics, 2022, 37, (4), 1771-1794

2021

9. Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
   Quantitative Finance, 2021, 21, (7), 1207-1221 View citations (4)
10. Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach
    Computational Statistics, 2021, 36, (3), 2177-2200

2019

11. Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
    Quantitative Finance, 2019, 19, (8), 1255-1266 View citations (2)
    See also Working Paper Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach, DEM Working Papers (2018) View citations (1) (2018)

2018

12. A characteristic function-based approach to approximate maximum likelihood estimation
    Communications in Statistics - Theory and Methods, 2018, 47, (13), 3138-3160 View citations (2)
13. Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review
    Risks, 2018, 6, (2), 1-16 View citations (3)
14. Fitting spatial regressions to large datasets using unilateral approximations
    Communications in Statistics - Theory and Methods, 2018, 47, (1), 222-238
15. Likelihood-based risk estimation for variance-gamma models
    Statistical Methods & Applications, 2018, 27, (1), 69-89 View citations (1)
    See also Working Paper Likelihood-based Risk Estimation for Variance-Gamma Models, DEM Working Papers (2017) View citations (1) (2017)
16. Powerless: gains from trade when firm productivity is not Pareto distributed
    Review of World Economics (Weltwirtschaftliches Archiv), 2018, 154, (1), 15-45 View citations (12)
    See also Working Paper Powerless: gains from trade when firm productivity is not Pareto distributed, Documents de Travail de l'OFCE (2015) View citations (5) (2015)
17. 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 View citations (5)

2017

18. 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
    See also Working Paper An extreme value analysis of the last century crises across industries in the U.S. economy, Working Papers (2016) (2016)
19. Approximate maximum likelihood estimation of the Bingham distribution
    Computational Statistics & Data Analysis, 2017, 108, (C), 84-96
20. Where Gibrat meets Zipf: Scale and scope of French firms
    Physica A: Statistical Mechanics and its Applications, 2017, 481, (C), 265-275 View citations (26)
    See also Working Paper Where Gibrat meets Zipf: Scale and Scope of French Firms, DEM Discussion Papers (2014) View citations (5) (2014)

2016

21. 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
22. Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective
    Journal of Empirical Finance, 2016, 36, (C), 86-99 View citations (21)
23. US stock returns: are there seasons of excesses?
    Quantitative Finance, 2016, 16, (9), 1453-1464 View citations (3)

2015

24. Approximate maximum likelihood estimation of the autologistic model
    Computational Statistics & Data Analysis, 2015, 84, (C), 14-26 View citations (2)
    See also Working Paper Approximate Maximum Likelihood Estimation of the Autologistic Model, DEM Discussion Papers (2013) (2013)

2013

25. Testing Isotropy in Spatial Econometric Models
    Spatial Economic Analysis, 2013, 8, (3), 228-240 View citations (4)
26. The size distribution of US cities: Not Pareto, even in the tail
    Economics Letters, 2013, 120, (2), 232-237 View citations (28)

2011

27. Adaptive Importance Sampling for simulating copula-based distributions
    Insurance: Mathematics and Economics, 2011, 48, (2), 237-245 View citations (1)
28. Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
    Computational Statistics & Data Analysis, 2011, 55, (8), 2525-2539 View citations (10)
    See also Working Paper Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models, DISA Working Papers (2009) (2009)

2008

29. 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 View citations (2)
    See also Working Paper A Monte Carlo EM Algorithm for the Estimation of a Logistic Auto-logistic Model with Missing Data, Department of Economics Working Papers (2008) View citations (2) (2008)

2005

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

2004

31. Modelling credit default swap spreads by means of normal mixtures and copulas
    Applied Mathematical Finance, 2004, 11, (2), 125-146 View citations (3)

2002

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

Undated

33. Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement: an empirical investigation during a financial crisis
    Journal of Risk Model Validation
34. Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
    Journal of Operational Risk