Details about Marco Bee
Access statistics for papers by Marco Bee.
Last updated 20191222. Update your information in the RePEc Author Service.
Shortid: pbe243
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Working Papers
2019
 An improved approach for estimating large losses in insurance analytics and operational risk using the gandh distribution
DEM Working Papers, Department of Economics and Management
2018
 Estimating ValueatRisk for the gandh distribution: an indirect inference approach
DEM Working Papers, Department of Economics and Management View citations (1)
 Estimating the wrapped stable distribution via indirect inference
DEM Working Papers, Department of Economics and Management
2017
 Likelihoodbased Risk Estimation for VarianceGamma Models
DEM Working Papers, Department of Economics and Management
See also Journal Article in Statistical Methods & Applications (2018)
2016
 An extreme value analysis of the last century crises across industries in the U.S. economy
Working Papers, IMT Institute for Advanced Studies Lucca
See also Journal Article in Journal of Economic Dynamics and Control (2017)
2015
 A CrossEntropy approach to the estimation of Generalised Linear Multilevel Models
DEM Working Papers, Department of Economics and Management View citations (1)
 An improved pairs trading strategy based on switching regime volatility
DEM Discussion Papers, Department of Economics and Management View citations (1)
 Approximate likelihood inference for the Bingham distribution
DEM Working Papers, Department of Economics and Management
 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 (4)
See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (2018)
2014
 Fitting Spatial Econometric Models through the Unilateral Approximation
DEM Discussion Papers, Department of Economics and Management
 Where Gibrat meets Zipf: Scale and Scope of French Firms
DEM Discussion Papers, Department of Economics and Management
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)
2013
 Approximate Maximum Likelihood Estimation of the Autologistic Model
DEM Discussion Papers, Department of Economics and Management
See also Journal Article in Computational Statistics & Data Analysis (2015)
2012
 A Trick of the (Pareto) Tail
Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (1)
 Statistical analysis of the LognormalPareto distribution using Probability Weighted Moments and Maximum Likelihood
Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (2)
2011
 Pareto versus lognormal: a maximum entropy test
Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (10)
2010
 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 (3)
 Simulating copulabased distributions and estimating tail probabilities by means of Adaptive Importance Sampling
Department of Economics Working Papers, Department of Economics, University of Trento, Italia
2009
 A note on maximum likelihood estimation of a Pareto mixture
Department of Economics Working Papers, Department of Economics, University of Trento, Italia
 Characteristic function estimation of OrnsteinUhlenbeckbased stochastic volatility models
DISA Working Papers, Department of Computer and Management Sciences, University of Trento, Italy
See also Journal Article in Computational Statistics & Data Analysis (2011)
2008
 A Monte Carlo EM Algorithm for the Estimation of a Logistic Autologistic Model with Missing Data
Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (1)
See also Journal Article in Letters in Spatial and Resource Sciences (2008)
 Mixture models for VaR and stress testing
Alea Tech Reports, Department of Computer and Management Sciences, University of Trento, Italy View citations (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
 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
 A framework for cutoff sampling in business survey design
Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (3)
 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)
 Importance Sampling for Sums of Lognormal Distributions, with Applications to Operational Risk
Department of Economics Working Papers, Department of Economics, University of Trento, Italia
 Spatial models for flood risk assessment
Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (1)
 The asymptotic loss distribution in a fattailed factor model of portfolio credit risk
Department of Economics Working Papers, Department of Economics, University of Trento, Italia
2005
 On maximum likelihood estimation of operational loss distributions
Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (3)
2002
 Firmsï¿½ bankruptcy and turnover in a macroeconomy
Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (13)
Journal Articles
2018
 Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review
Risks, 2018, 6, (2), 116 View citations (1)
 Likelihoodbased risk estimation for variancegamma models
Statistical Methods & Applications, 2018, 27, (1), 6989
See also Working Paper (2017)
 Powerless: gains from trade when firm productivity is not Pareto distributed
Review of World Economics (Weltwirtschaftliches Archiv), 2018, 154, (1), 1545 View citations (2)
See also Working Paper (2015)
 Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements
Journal of Applied Econometrics, 2018, 33, (3), 398415 View citations (2)
2017
 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), 6578
See also Working Paper (2016)
 Approximate maximum likelihood estimation of the Bingham distribution
Computational Statistics & Data Analysis, 2017, 108, (C), 8496
 Where Gibrat meets Zipf: Scale and scope of French firms
Physica A: Statistical Mechanics and its Applications, 2017, 481, (C), 265275 View citations (8)
See also Working Paper (2014)
2016
 La sopravvivenza immediata delle startup italiane del settore manifatturiero sanitario: un’analisi multilevel
RIVISTA DI ECONOMIA E STATISTICA DEL TERRITORIO, 2016, 2016/3, (3), 4959
 Realizing the extremes: Estimation of tailrisk measures from a highfrequency perspective
Journal of Empirical Finance, 2016, 36, (C), 8699 View citations (3)
 US stock returns: are there seasons of excesses?
Quantitative Finance, 2016, 16, (9), 14531464 View citations (1)
2015
 Approximate maximum likelihood estimation of the autologistic model
Computational Statistics & Data Analysis, 2015, 84, (C), 1426 View citations (1)
See also Working Paper (2013)
2013
 Testing Isotropy in Spatial Econometric Models
Spatial Economic Analysis, 2013, 8, (3), 228240 View citations (2)
 The size distribution of US cities: Not Pareto, even in the tail
Economics Letters, 2013, 120, (2), 232237 View citations (12)
2011
 Adaptive Importance Sampling for simulating copulabased distributions
Insurance: Mathematics and Economics, 2011, 48, (2), 237245 View citations (1)
 Characteristic function estimation of OrnsteinUhlenbeckbased stochastic volatility models
Computational Statistics & Data Analysis, 2011, 55, (8), 25252539 View citations (7)
See also Working Paper (2009)
2008
 A Monte Carlo EM algorithm for the estimation of a logistic autologistic model with missing data
Letters in Spatial and Resource Sciences, 2008, 1, (1), 4554 View citations (1)
See also Working Paper (2008)
2005
 Estimating rating transition probabilites with missing data
Statistical Methods & Applications, 2005, 14, (1), 127141
2004
 Modelling credit default swap spreads by means of normal mixtures and copulas
Applied Mathematical Finance, 2004, 11, (2), 125146 View citations (2)
2002
 A Problem of Dimensionality in Normal Mixture Analysis
Scandinavian Journal of Statistics, 2002, 29, (3), 485500

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