IDEAS home Printed from https://ideas.repec.org/d/g/dqmibit.html

Publications

by alumni of

Università degli Studi di Milano-Bicocca → Scuola di Economia e Statistica → Dipartimento di Metodi Quantitativi per le Scienze Economiche e Aziendali

University of Milan-Bicocca → School of Economics and Statistics → Department of Quantitative Methods for Economics and Business

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2016

  1. Luciana Dalla Valle & Fabrizio Leisen & Luca Rossini, 2016, "Bayesian Nonparametric Conditional Copula Estimation of Twin Data," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:08.

2014

  1. Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli, 2014, "Default Probability Estimation via Pair Copula Constructions," Papers, arXiv.org, number 1405.1309, May, revised Aug 2015.

2009

  1. Giovanna Nicolini & Luciana Dalla Valle, 2009, "Overview about bias in Customer Satisfaction Surveys and focus on self-selection error," UNIMI - Research Papers in Economics, Business, and Statistics, Universitá degli Studi di Milano, number unimi-1094, Nov.
  2. Giovanna NICOLINI & Luciana DALLA VALLE, 2009, "Overview about bias in customer satisfaction surveys and focus on self-selection error," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2009-052, Nov.

2008

  1. Luciana Dalla Valle & Giovanna Nicolini, 2008, "Statistical Analysis of the Country Selection for Italian SMEs," UNIMI - Research Papers in Economics, Business, and Statistics, Universitá degli Studi di Milano, number unimi-1081, Dec.

Journal articles

2023

  1. Kreuzer, Alexander & Dalla Valle, Luciana & Czado, Claudia, 2023, "Bayesian multivariate nonlinear state space copula models," Computational Statistics & Data Analysis, Elsevier, volume 188, issue C, DOI: 10.1016/j.csda.2023.107820.

2022

  1. Alexander Kreuzer & Luciana Dalla Valle & Claudia Czado, 2022, "A Bayesian non‐linear state space copula model for air pollution in Beijing," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 71, issue 3, pages 613-638, June, DOI: 10.1111/rssc.12548.
  2. Grazian, Clara & Dalla Valle, Luciana & Liseo, Brunero, 2022, "Approximate Bayesian conditional copulas," Computational Statistics & Data Analysis, Elsevier, volume 169, issue C, DOI: 10.1016/j.csda.2021.107417.
  3. Tahani S. Alotaibi & Luciana Dalla Valle & Matthew J. Craven, 2022, "The Worst Case GARCH-Copula CVaR Approach for Portfolio Optimisation: Evidence from Financial Markets," JRFM, MDPI, volume 15, issue 10, pages 1-14, October.

2020

  1. Luciana Dalla Valle & Fabrizio Leisen & Luca Rossini & Weixuan Zhu, 2020, "Bayesian analysis of immigration in Europe with generalized logistic regression," Journal of Applied Statistics, Taylor & Francis Journals, volume 47, issue 3, pages 424-438, February, DOI: 10.1080/02664763.2019.1642310.

2018

  1. Luciana Dalla Valle & Fabrizio Leisen & Luca Rossini, 2018, "Bayesian non‐parametric conditional copula estimation of twin data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 67, issue 3, pages 523-548, April, DOI: 10.1111/rssc.12237.
  2. Julian Stander & Luciana Dalla Valle & Mario Cortina-Borja, 2018, "A Bayesian Survival Analysis of a Historical Dataset: How Long Do Popes Live?," The American Statistician, Taylor & Francis Journals, volume 72, issue 4, pages 368-375, October, DOI: 10.1080/00031305.2017.1328374.
  3. Robert A. Jane & David J. Simmonds & Ben P. Gouldby & Jonathan D. Simm & Luciana Dalla Valle & Alison C. Raby, 2018, "Exploring the Potential for Multivariate Fragility Representations to Alter Flood Risk Estimates," Risk Analysis, John Wiley & Sons, volume 38, issue 9, pages 1847-1870, September, DOI: 10.1111/risa.13007.

2016

  1. Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016, "Default probability estimation via pair copula constructions," European Journal of Operational Research, Elsevier, volume 249, issue 1, pages 298-311, DOI: 10.1016/j.ejor.2015.08.026.
  2. Dalla Valle Luciana, 2016, "The Use of Official Statistics in Self-Selection Bias Modeling," Journal of Official Statistics, Paradigm, volume 32, issue 4, pages 887-905, December, DOI: 10.1515/jos-2016-0046.

2015

  1. Antonio Majocchi & Luciana Dalla Valle & Alfredo D'Angelo, 2015, "Internationalisation, cultural distance and country characteristics: a Bayesian analysis of SMEs financial performance," Journal of Business Economics and Management, Taylor & Francis Journals, volume 16, issue 2, pages 307-324, April, DOI: 10.3846/16111699.2012.720600.

2009

  1. Luciana Dalla Valle, 2009, "Bayesian Copulae Distributions, with Application to Operational Risk Management," Methodology and Computing in Applied Probability, Springer, volume 11, issue 1, pages 95-115, March, DOI: 10.1007/s11009-007-9067-x.

2008

  1. Dalla Valle, L. & Giudici, P., 2008, "A Bayesian approach to estimate the marginal loss distributions in operational risk management," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 6, pages 3107-3127, February.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.