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Details about Giudici

E-mail:
Homepage:http://dem-web.unipv.it/employe/personale.php?id=62
Workplace:Dipartimento di Scienze Economiche e Aziendali (Department of Economics and Business), Università degli Studi di Pavia (University of Pavia), (more information at EDIRC)

Access statistics for papers by Giudici.

Last updated 2021-01-06. Update your information in the RePEc Author Service.

Short-id: pgi259


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Working Papers

2020

  1. A Poisson autoregressive model to understand COVID-19 contagion dynamics
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (2)
    See also Journal Article in Risks (2020)
  2. A rank graduation accuracy measure
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
  3. Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
  4. Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (1)
  5. NetVIX - A Network Volatility Index of Financial Markets
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (1)
  6. Network VAR models to Measure Financial Contagion
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
  7. Operational and cyber risks in the financial sector
    BIS Working Papers, Bank for International Settlements Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) Downloads
  8. Tail Risk Measurement In Crypto-Asset Markets
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (1)
  9. Tail Risk Transmission: A Study of Iran Food Industry
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
    See also Journal Article in Risks (2020)
  10. The drivers of cyber risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in BIS Working Papers, Bank for International Settlements (2020) Downloads View citations (2)

2019

  1. Factorial Network Models To Improve P2P Credit Risk Management
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Measuring contagion risk in international banking
    BIS Working Papers, Bank for International Settlements Downloads View citations (6)
    See also Journal Article in Journal of Financial Stability (2019)
  3. Tree Networks to Assess Financial Contagion
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Economic Modelling (2020)

2018

  1. Latent Factor Models for Credit Scoring in P2P Systems
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)
  2. Trade Networks and Economic Fluctuations in Asia
    ADBI Working Papers, Asian Development Bank Institute Downloads

2017

  1. Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (6)
    See also Journal Article in Journal of Financial Stability (2017)

2016

  1. 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 Downloads View citations (1)
  2. Big data models of bank risk contagion
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (1)
  3. CoRisk: measuring systemic risk through default probability contagion
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (2)
  4. The multivariate nature of systemic risk: direct and common exposures
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads

2015

  1. A Bayesian h-index: how to measure research impact
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
  2. Modeling Systemic Risk with Correlated Stochastic Processes
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
  3. Monetary transmission models for bank interest rates
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (1)
  4. Systemic risk of Islamic Banks
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads

2014

  1. Conditional graphical models for systemic risk measurement
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (1)
  2. Financial big data analysis for the estimation of systemic risks
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
  3. Hierarchical Graphical Models, With Application to Systemic Risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
  4. How to measure the quality of financial tweets
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (4)
  5. Measuring Bank Contagion in Europe Using Binary Spatial Regression Models
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
    See also Journal Article in Journal of the Operational Research Society (2017)

2013

  1. Bayesian Credit Ratings (new version)
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
  2. Bayesian operational risk models
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (1)
  3. Credit risk predictions with Bayesian model averaging
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (1)
  4. Estimating bank default with generalised extreme value models
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (4)
  5. Graphical network models for international financial flows
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (7)
    See also Journal Article in Journal of Business & Economic Statistics (2016)
  6. H Index: A Statistical Proposal
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
  7. Measuring risk with ordinal variables
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (3)

Journal Articles

2020

  1. A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics
    Risks, 2020, 8, (3), 1-8 Downloads View citations (2)
    See also Working Paper (2020)
  2. COVID-19 contagion and digital finance
    Digital Finance, 2020, 2, (1), 159-167 Downloads
  3. Cyber risk measurement with ordinal data
    Statistical Methods & Applications, 2020, 29, (1), 173-185 Downloads
  4. Lead Behaviour in Bitcoin Markets
    Risks, 2020, 8, (1), 1-14 Downloads
  5. Lorenz Model Selection
    Journal of Classification, 2020, 37, (3), 754-768 Downloads
  6. Tail Risk Transmission: A Study of the Iran Food Industry
    Risks, 2020, 8, (3), 1-17 Downloads
    See also Working Paper (2020)
  7. Tree networks to assess financial contagion
    Economic Modelling, 2020, 85, (C), 349-366 Downloads View citations (2)
    See also Working Paper (2019)
  8. Vector error correction models to measure connectedness of Bitcoin exchange markets
    Applied Stochastic Models in Business and Industry, 2020, 36, (1), 95-109 Downloads View citations (1)
  9. Why to Buy Insurance? An Explainable Artificial Intelligence Approach
    Risks, 2020, 8, (4), 1-9 Downloads

2019

  1. Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution
    Risks, 2019, 7, (1), 1-25 Downloads View citations (1)
  2. High Frequency Price Change Spillovers in Bitcoin Markets
    Risks, 2019, 7, (4), 1-18 Downloads View citations (3)
  3. Latent factor models for credit scoring in P2P systems
    Physica A: Statistical Mechanics and its Applications, 2019, 522, (C), 112-121 Downloads
    See also Working Paper (2018)
  4. Measuring contagion risk in international banking
    Journal of Financial Stability, 2019, 42, (C), 36-51 Downloads View citations (5)
    See also Working Paper (2019)
  5. Trade networks and economic fluctuations in Asian countries
    Economic Systems, 2019, 43, (2), - Downloads View citations (2)
  6. What determines bitcoin exchange prices? A network VAR approach
    Finance Research Letters, 2019, 28, (C), 309-318 Downloads View citations (28)

2018

  1. CoRisk: Credit Risk Contagion with Correlation Network Models
    Risks, 2018, 6, (3), 1-19 Downloads View citations (5)
  2. Financial data science
    Statistics & Probability Letters, 2018, 136, (C), 160-164 Downloads View citations (1)

2017

  1. Categorical network models for systemic risk measurement
    Quality & Quantity: International Journal of Methodology, 2017, 51, (4), 1593-1609 Downloads
  2. Credit risk assessment with Bayesian model averaging
    Communications in Statistics - Theory and Methods, 2017, 46, (19), 9507-9517 Downloads
  3. Heterogeneous market structure and systemic risk: Evidence from dual banking systems
    Journal of Financial Stability, 2017, 33, (C), 96-119 Downloads View citations (8)
    See also Working Paper (2017)
  4. Measuring bank contagion in Europe using binary spatial regression models
    Journal of the Operational Research Society, 2017, 68, (12), 1503-1511 Downloads View citations (3)
    See also Working Paper (2014)
  5. Sovereign risk in the Euro area: a multivariate stochastic process approach
    Quantitative Finance, 2017, 17, (12), 1995-2008 Downloads View citations (6)

2016

  1. Graphical Network Models for International Financial Flows
    Journal of Business & Economic Statistics, 2016, 34, (1), 128-138 Downloads View citations (29)
    See also Working Paper (2013)

2015

  1. Estimating bank default with generalised extreme value regression models
    Journal of the Operational Research Society, 2015, 66, (11), 1783-1792 Downloads View citations (19)
  2. Scorecard models for operations management
    International Journal of Data Science, 2015, 1, (1), 96-101 Downloads

2014

  1. On a statistical h index
    Scientometrics, 2014, 99, (2), 299-312 Downloads View citations (1)

2012

  1. Non parametric statistical models for on-line text classification
    Advances in Data Analysis and Classification, 2012, 6, (4), 277-288 Downloads
  2. On the distribution of functionals of discrete ordinal variables
    Statistics & Probability Letters, 2012, 82, (11), 2044-2049 Downloads View citations (7)

2011

  1. On the Gini measure decomposition
    Statistics & Probability Letters, 2011, 81, (1), 133-139 Downloads View citations (1)
  2. Paolo Giudici and Silvia Figini: Applied data mining for business and industry (Second Edition)
    Statistical Papers, 2011, 52, (3), 739-740 Downloads

2010

  1. A threshold based approach to merge data in financial risk management
    Journal of Applied Statistics, 2010, 37, (11), 1815-1824 Downloads View citations (3)

2009

  1. Statistical models for e-learning data
    Statistical Methods & Applications, 2009, 18, (2), 293-304 Downloads

2008

  1. A Bayesian approach to estimate the marginal loss distributions in operational risk management
    Computational Statistics & Data Analysis, 2008, 52, (6), 3107-3127 Downloads View citations (17)

2007

  1. Bayesian Networks for enterprise risk assessment
    Physica A: Statistical Mechanics and its Applications, 2007, 382, (1), 22-28 Downloads View citations (4)

2004

  1. Markov Chain Monte Carlo model selection for DAG models
    Statistical Methods & Applications, 2004, 13, (3), 259-273 Downloads View citations (5)
  2. Statistical models for operational risk management
    Physica A: Statistical Mechanics and its Applications, 2004, 338, (1), 166-172 Downloads View citations (11)

2003

  1. Discussion on the paper by Brooks, Giudici and Roberts
    Journal of the Royal Statistical Society Series B, 2003, 65, (1), 39-55 Downloads
  2. Efficient construction of reversible jump Markov chain Monte Carlo proposal distributions
    Journal of the Royal Statistical Society Series B, 2003, 65, (1), 3-39 Downloads View citations (32)

2002

  1. Data mining of association structures to model consumer behaviour
    Computational Statistics & Data Analysis, 2002, 38, (4), 533-541 Downloads View citations (3)

2001

  1. Bayesian data mining, with application to benchmarking and credit scoring
    Applied Stochastic Models in Business and Industry, 2001, 17, (1), 69-81 Downloads View citations (5)
  2. Bayesian inference for graphical factor analysis models
    Psychometrika, 2001, 66, (4), 577-591 Downloads View citations (2)
  3. Editorial
    Applied Stochastic Models in Business and Industry, 2001, 17, (1), 1-3 Downloads

2000

  1. Likelihood-Ratio Tests for Hidden Markov Models
    Biometrics, 2000, 56, (3), 742-747 Downloads View citations (5)

1999

  1. Monte Carlo methods for nonparametric survival model determination
    Statistical Methods & Applications, 1999, 8, (1), 49-60 Downloads View citations (1)

1998

  1. Markov chain Monte Carlo methods for probabilistic network model determination
    Statistical Methods & Applications, 1998, 7, (2), 171-183 Downloads
  2. 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 Downloads

Chapters

2014

  1. Bayesian Selection of Systemic Risk Networks
    A chapter in Bayesian Model Comparison, 2014, vol. 34, pp 117-153 Downloads View citations (5)
 
Page updated 2021-03-04