Details about Paolo Giudici
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Short-id: pgi259
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Working Papers
2021
- Monitoring COVID-19 contagion growth
Post-Print, HAL View citations (3)
2020
- A Poisson autoregressive model to understand COVID-19 contagion dynamics
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (7)
See also Journal Article A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics, Risks, MDPI (2020) View citations (5) (2020)
- A rank graduation accuracy measure
DEM Working Papers Series, University of Pavia, Department of Economics and Management
- Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (2)
See also Journal Article Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers, Finance Research Letters, Elsevier (2022) View citations (8) (2022)
- Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (3)
- NetVIX - A Network Volatility Index of Financial Markets
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (2)
See also Journal Article NetVIX — A network volatility index of financial markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2022) View citations (6) (2022)
- Network VAR models to Measure Financial Contagion
DEM Working Papers Series, University of Pavia, Department of Economics and Management 
See also Journal Article Network VAR models to measure financial contagion, The North American Journal of Economics and Finance, Elsevier (2021) View citations (11) (2021)
- Operational and cyber risks in the financial sector
BIS Working Papers, Bank for International Settlements View citations (13)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (10)
- Tail Risk Measurement In Crypto-Asset Markets
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
See also Journal Article Tail risk measurement in crypto-asset markets, International Review of Financial Analysis, Elsevier (2021) View citations (22) (2021)
- Tail Risk Transmission: A Study of Iran Food Industry
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
See also Journal Article Tail Risk Transmission: A Study of the Iran Food Industry, Risks, MDPI (2020) View citations (1) (2020)
- The drivers of cyber risk
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (15)
Also in BIS Working Papers, Bank for International Settlements (2020) View citations (18)
See also Journal Article The drivers of cyber risk, Journal of Financial Stability, Elsevier (2022) View citations (18) (2022)
- Tree Networks to assess Financial Contagion
MPRA Paper, University Library of Munich, Germany View citations (13)
Also in MPRA Paper, University Library of Munich, Germany (2019) View citations (2)
See also Journal Article Tree networks to assess financial contagion, Economic Modelling, Elsevier (2020) View citations (13) (2020)
2019
- Factorial Network Models To Improve P2P Credit Risk Management
MPRA Paper, University Library of Munich, Germany View citations (3)
- Measuring contagion risk in international banking
BIS Working Papers, Bank for International Settlements View citations (34)
See also Journal Article Measuring contagion risk in international banking, Journal of Financial Stability, Elsevier (2019) View citations (31) (2019)
2018
- Latent Factor Models for Credit Scoring in P2P Systems
MPRA Paper, University Library of Munich, Germany View citations (1)
See also Journal Article Latent factor models for credit scoring in P2P systems, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) View citations (10) (2019)
- Trade Networks and Economic Fluctuations in Asia
ADBI Working Papers, Asian Development Bank Institute View citations (1)
2017
- Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (33)
See also Journal Article Heterogeneous market structure and systemic risk: Evidence from dual banking systems, Journal of Financial Stability, Elsevier (2017) View citations (33) (2017)
2016
- Bail in or Bail out? The Atlante example from a systemic risk perspective
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
- Big data models of bank risk contagion
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (2)
- CoRisk: measuring systemic risk through default probability contagion
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (4)
- The multivariate nature of systemic risk: direct and common exposures
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
2015
- A Bayesian h-index: how to measure research impact
DEM Working Papers Series, University of Pavia, Department of Economics and Management
- Modeling Systemic Risk with Correlated Stochastic Processes
DEM Working Papers Series, University of Pavia, Department of Economics and Management
- Monetary transmission models for bank interest rates
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
- Systemic risk of Islamic Banks
DEM Working Papers Series, University of Pavia, Department of Economics and Management
2014
- Conditional graphical models for systemic risk measurement
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (4)
- Financial big data analysis for the estimation of systemic risks
DEM Working Papers Series, University of Pavia, Department of Economics and Management
- Hierarchical Graphical Models, With Application to Systemic Risk
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
- How to measure the quality of financial tweets
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (5)
- Measuring Bank Contagion in Europe Using Binary Spatial Regression Models
DEM Working Papers Series, University of Pavia, Department of Economics and Management 
See also Journal Article Measuring bank contagion in Europe using binary spatial regression models, Journal of the Operational Research Society, Palgrave Macmillan (2017) View citations (9) (2017)
2013
- Bayesian Credit Ratings (new version)
DEM Working Papers Series, University of Pavia, Department of Economics and Management
- Bayesian operational risk models
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
- Credit risk predictions with Bayesian model averaging
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
- Estimating bank default with generalised extreme value models
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (4)
- Graphical network models for international financial flows
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (7)
See also Journal Article Graphical Network Models for International Financial Flows, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (61) (2016)
- H Index: A Statistical Proposal
DEM Working Papers Series, University of Pavia, Department of Economics and Management
- Measuring risk with ordinal variables
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (3)
Journal Articles
2023
- A network based fintech inclusion platform
Socio-Economic Planning Sciences, 2023, 87, (PB) View citations (1)
- Credit Scoring for Peer-to-Peer Lending
Risks, 2023, 11, (7), 1-8
- Cyber Risk Contagion
Risks, 2023, 11, (9), 1-10
- Explainable FinTech lending
Journal of Economics and Business, 2023, 125-126 View citations (3)
- Machine Learning Classification Model Comparison
Socio-Economic Planning Sciences, 2023, 87, (PB) View citations (1)
- SAFE Artificial Intelligence in finance
Finance Research Letters, 2023, 56, (C) View citations (2)
2022
- A New Interactive Tool to Visualize and Analyze COVID-19 Data: The PERISCOPE Atlas
IJERPH, 2022, 19, (15), 1-16 View citations (4)
- Crypto Asset Portfolio Selection
FinTech, 2022, 1, (1), 1-9
- Explainable artificial intelligence for crypto asset allocation
Finance Research Letters, 2022, 47, (PB) View citations (12)
- Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers
Finance Research Letters, 2022, 44, (C) View citations (8)
See also Working Paper Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers, DEM Working Papers Series (2020) View citations (2) (2020)
- NetVIX — A network volatility index of financial markets
Physica A: Statistical Mechanics and its Applications, 2022, 594, (C) View citations (6)
See also Working Paper NetVIX - A Network Volatility Index of Financial Markets, DEM Working Papers Series (2020) View citations (2) (2020)
- Network centrality effects in peer to peer lending
Physica A: Statistical Mechanics and its Applications, 2022, 600, (C) View citations (8)
- Network models to improve robot advisory portfolios
Annals of Operations Research, 2022, 313, (2), 965-989 View citations (1)
- Shapley Feature Selection
FinTech, 2022, 1, (1), 1-9
- The drivers of cyber risk
Journal of Financial Stability, 2022, 60, (C) View citations (18)
See also Working Paper The drivers of cyber risk, CEPR Discussion Papers (2020) View citations (15) (2020)
2021
- Crypto price discovery through correlation networks
Annals of Operations Research, 2021, 299, (1), 443-457 View citations (30)
- Cyber risk ordering with rank-based statistical models
AStA Advances in Statistical Analysis, 2021, 105, (3), 469-484 View citations (1)
- Explainable Machine Learning in Credit Risk Management
Computational Economics, 2021, 57, (1), 203-216 View citations (41)
- Financial contagion through space-time point processes
Statistical Methods & Applications, 2021, 30, (2), 665-688 View citations (2)
- Network VAR models to measure financial contagion
The North American Journal of Economics and Finance, 2021, 55, (C) View citations (11)
See also Working Paper Network VAR models to Measure Financial Contagion, DEM Working Papers Series (2020) (2020)
- Tail risk measurement in crypto-asset markets
International Review of Financial Analysis, 2021, 73, (C) View citations (22)
See also Working Paper Tail Risk Measurement In Crypto-Asset Markets, DEM Working Papers Series (2020) View citations (1) (2020)
2020
- A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics
Risks, 2020, 8, (3), 1-8 View citations (5)
See also Working Paper A Poisson autoregressive model to understand COVID-19 contagion dynamics, DEM Working Papers Series (2020) View citations (7) (2020)
- COVID-19 contagion and digital finance
Digital Finance, 2020, 2, (1), 159-167 View citations (1)
- Cyber risk measurement with ordinal data
Statistical Methods & Applications, 2020, 29, (1), 173-185 View citations (1)
- Lead Behaviour in Bitcoin Markets
Risks, 2020, 8, (1), 1-14 View citations (3)
- Lorenz Model Selection
Journal of Classification, 2020, 37, (3), 754-768 View citations (3)
- Tail Risk Transmission: A Study of the Iran Food Industry
Risks, 2020, 8, (3), 1-17 View citations (1)
See also Working Paper Tail Risk Transmission: A Study of Iran Food Industry, DEM Working Papers Series (2020) View citations (1) (2020)
- Tree networks to assess financial contagion
Economic Modelling, 2020, 85, (C), 349-366 View citations (13)
See also Working Paper Tree Networks to assess Financial Contagion, MPRA Paper (2020) View citations (13) (2020)
- Vector error correction models to measure connectedness of Bitcoin exchange markets
Applied Stochastic Models in Business and Industry, 2020, 36, (1), 95-109 View citations (28)
- Why to Buy Insurance? An Explainable Artificial Intelligence Approach
Risks, 2020, 8, (4), 1-9 View citations (7)
2019
- Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution
Risks, 2019, 7, (1), 1-25 View citations (3)
- High Frequency Price Change Spillovers in Bitcoin Markets
Risks, 2019, 7, (4), 1-18 View citations (32)
- Latent factor models for credit scoring in P2P systems
Physica A: Statistical Mechanics and its Applications, 2019, 522, (C), 112-121 View citations (10)
See also Working Paper Latent Factor Models for Credit Scoring in P2P Systems, MPRA Paper (2018) View citations (1) (2018)
- Measuring contagion risk in international banking
Journal of Financial Stability, 2019, 42, (C), 36-51 View citations (31)
See also Working Paper Measuring contagion risk in international banking, BIS Working Papers (2019) View citations (34) (2019)
- Trade networks and economic fluctuations in Asian countries
Economic Systems, 2019, 43, (2), - View citations (6)
- What determines bitcoin exchange prices? A network VAR approach
Finance Research Letters, 2019, 28, (C), 309-318 View citations (71)
2018
- CoRisk: Credit Risk Contagion with Correlation Network Models
Risks, 2018, 6, (3), 1-19 View citations (14)
- Financial data science
Statistics & Probability Letters, 2018, 136, (C), 160-164 View citations (3)
- P2P lending scoring models: Do they predict default?
Journal of Digital Banking, 2018, 2, (4), 353-368
2017
- Categorical network models for systemic risk measurement
Quality & Quantity: International Journal of Methodology, 2017, 51, (4), 1593-1609
- Credit risk assessment with Bayesian model averaging
Communications in Statistics - Theory and Methods, 2017, 46, (19), 9507-9517 View citations (2)
- Heterogeneous market structure and systemic risk: Evidence from dual banking systems
Journal of Financial Stability, 2017, 33, (C), 96-119 View citations (33)
See also Working Paper Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems, DEM Working Papers Series (2017) View citations (33) (2017)
- Measuring bank contagion in Europe using binary spatial regression models
Journal of the Operational Research Society, 2017, 68, (12), 1503-1511 View citations (9)
See also Working Paper Measuring Bank Contagion in Europe Using Binary Spatial Regression Models, DEM Working Papers Series (2014) (2014)
- Sovereign risk in the Euro area: a multivariate stochastic process approach
Quantitative Finance, 2017, 17, (12), 1995-2008 View citations (8)
2016
- Graphical Network Models for International Financial Flows
Journal of Business & Economic Statistics, 2016, 34, (1), 128-138 View citations (61)
See also Working Paper Graphical network models for international financial flows, DEM Working Papers Series (2013) View citations (7) (2013)
2015
- Estimating bank default with generalised extreme value regression models
Journal of the Operational Research Society, 2015, 66, (11), 1783-1792 View citations (25)
- Scorecard models for operations management
International Journal of Data Science, 2015, 1, (1), 96-101
2014
- On a statistical h index
Scientometrics, 2014, 99, (2), 299-312 View citations (1)
2012
- Non parametric statistical models for on-line text classification
Advances in Data Analysis and Classification, 2012, 6, (4), 277-288 View citations (2)
- On the distribution of functionals of discrete ordinal variables
Statistics & Probability Letters, 2012, 82, (11), 2044-2049 View citations (6)
2011
- On the Gini measure decomposition
Statistics & Probability Letters, 2011, 81, (1), 133-139 View citations (2)
- Paolo Giudici and Silvia Figini: Applied data mining for business and industry (Second Edition)
Statistical Papers, 2011, 52, (3), 739-740
- Statistical merging of rating models
Journal of the Operational Research Society, 2011, 62, (6), 1067-1074 View citations (16)
2010
- A threshold based approach to merge data in financial risk management
Journal of Applied Statistics, 2010, 37, (11), 1815-1824 View citations (3)
2009
- Editorial
Methodology and Computing in Applied Probability, 2009, 11, (1), 1-2
- Modelling Operational Risk Losses with Graphical Models and Copula Functions
Methodology and Computing in Applied Probability, 2009, 11, (1), 65-93 View citations (3)
- Statistical models for e-learning data
Statistical Methods & Applications, 2009, 18, (2), 293-304
2008
- A Bayesian approach to estimate the marginal loss distributions in operational risk management
Computational Statistics & Data Analysis, 2008, 52, (6), 3107-3127 View citations (20)
2007
- Bayesian Networks for enterprise risk assessment
Physica A: Statistical Mechanics and its Applications, 2007, 382, (1), 22-28 View citations (4)
2004
- Markov Chain Monte Carlo model selection for DAG models
Statistical Methods & Applications, 2004, 13, (3), 259-273 View citations (7)
- Statistical models for operational risk management
Physica A: Statistical Mechanics and its Applications, 2004, 338, (1), 166-172 View citations (18)
2003
- Discussion on the paper by Brooks, Giudici and Roberts
Journal of the Royal Statistical Society Series B, 2003, 65, (1), 39-55
- Efficient construction of reversible jump Markov chain Monte Carlo proposal distributions
Journal of the Royal Statistical Society Series B, 2003, 65, (1), 3-39 View citations (35)
2002
- Data mining of association structures to model consumer behaviour
Computational Statistics & Data Analysis, 2002, 38, (4), 533-541 View citations (3)
2001
- Bayesian data mining, with application to benchmarking and credit scoring
Applied Stochastic Models in Business and Industry, 2001, 17, (1), 69-81 View citations (8)
- Bayesian inference for graphical factor analysis models
Psychometrika, 2001, 66, (4), 577-591 View citations (2)
- Editorial
Applied Stochastic Models in Business and Industry, 2001, 17, (1), 1-3
2000
- Likelihood-Ratio Tests for Hidden Markov Models
Biometrics, 2000, 56, (3), 742-747 View citations (7)
1999
- Monte Carlo methods for nonparametric survival model determination
Statistical Methods & Applications, 1999, 8, (1), 49-60 View citations (1)
1998
- Markov chain Monte Carlo methods for probabilistic network model determination
Statistical Methods & Applications, 1998, 7, (2), 171-183
- Nonparametric estimation of survival functions by means of partial exchangeability structures
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 1998, 7, (1), 111-132
Chapters
2014
- Bayesian Selection of Systemic Risk Networks
A chapter in Bayesian Model Comparison, 2014, vol. 34, pp 117-153 View citations (7)
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