Publications

Agosto, A., Cerchiello, P., & Giudici, P. (2023). Bayesian learning models to measure the relative impact of ESG factors on credit ratings. International Journal of Data Science and Analytics, 1-12.

Agosto, A., Giudici, P., & Tanda, A. (2023). How to combine ESG scores? A proposal based on credit rating prediction. Corporate Social Responsibility and Environmental Management.

Bitetto, A., Cerchiello, P., & Mertzanis, C. (2023). Measuring financial soundness around the world: A machine learning approach. International Review of Financial Analysis, 85, 102451.

Bitetto, A., Cerchiello, P., & Mertzanis, C. (2023). On the efficient synthesis of short financial time series: A Dynamic Factor Model approach. Finance Research Letters, 53, 103678.

Facchinetti, S., Osmetti, S. A., & Tarantola, C. (2023). A statistical approach for assessing cyber risk via ordered response models. Risk Analysis.

Facchinetti, S., Osmetti, S.A. e Tarantola, C. (2023). Networks Models for cyber attacks evaluation, Socio-Economic Planning Science. https://doi.org/10.1016/j.seps.2023.101584.

Giudici, P., & Raffinetti, E. (2023). SAFE artificial intelligence in finance. Finance Research Letters, 104088.

Pagnottoni, P. (2023). Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices. Physica A: Statistical Mechanics and its Applications, 615, 128581.

Pagnottoni, P. (2023). Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices. Physica A: Statistical Mechanics and its Applications, 615, 128581.

Raffinetti, E. (2023). A rank graduation accuracy measure to mitigate artificial intelligence risks. Quality & Quantity, 1-20.

Agosto, A., Cerchiello, P., & Pagnottoni, P. (2022). Sentiment, Google queries and explosivity in the cryptocurrency market. Physica A: Statistical Mechanics and its Applications, 605, 128016.

Ahelegbey, D. F., Cerchiello, P., & Scaramozzino, R. (2022). Network based evidence of the financial impact of Covid-19 pandemic. International Review of Financial Analysis, 81, 102101.

Ahelegbey, D. F., & Giudici, P. (2022). NetVIX—A network volatility index of financial markets. Physica A: Statistical Mechanics and its Applications, 594, 127017.

Aldasoro, I., Gambacorta, L., Giudici, P., & Leach, T. (2022). The drivers of cyber risk. Journal of Financial Stability, 60, 100989.

Cerqueti, R., Maggi, M., & Riccioni, J. (2022). Statistical methods for decision support systems in finance: how Benford’s law predicts financial risk. Annals of Operations Research, 1-25.

Ciomaga, A., Ghilli, D., & Topp, E. (2022). Periodic homogenization for weakly elliptic Hamilton-Jacobi-Bellman equations with critical fractional diffusion. Communications in Partial Differential Equations, 47(1), 1-38.

Cirant, M., & Ghilli, D. (2022). Existence and non-existence for time-dependent mean field games with strong aggregation. Mathematische Annalen, 383(3-4), 1285-1318.

Fianu, E. S., Ahelegbey, D. F., & Grossi, L. (2022). Modeling risk contagion in the Italian zonal electricity market. European Journal of Operational Research, 298(2), 656-679.

Ghilli, D., Lorenz, D. A., & Resmerita, E. (2022). Nonconvex flexible sparsity regularization: theory and monotone numerical schemes. Optimization, 71(4), 1117-1149.

Pagnottoni, P., Spelta, A., Flori, A., & Pammolli, F. (2022). Climate change and financial stability: Natural disaster impacts on global stock markets. Physica A: Statistical Mechanics and Its Applications, 599, 127514.

Spelta, A., Pecora, N., & Pagnottoni, P. (2022). Chaos based portfolio selection: A nonlinear dynamics approach. Expert Systems with Applications, 188, 116055.

Argentiero, A., Cerqueti, R., & Maggi, M. (2021). Outdoor light pollution and COVID-19: The Italian case. Environmental Impact Assessment Review, 90, 106602.

Bitetto, A., Cerchiello, P., & Mertzanis, C. (2021). A data-driven approach to measuring epidemiological susceptibility risk around the world. Scientific Reports, 11(1), 24037.

Flori, A., Pammolli, F., & Spelta, A. (2021). Commodity prices co-movements and financial stability: A multidimensional visibility nexus with climate conditions. Journal of Financial Stability, 54, 100876.

Giudici, P., & Raffinetti, E. (2021). Shapley-Lorenz eXplainable artificial intelligence. Expert systems with applications, 167, 114104.

Iannario, M., & Tarantola. C. (2021). Effect measures for group comparisons in a two-component mixture model: a cyber risk analysis, in Springer book series in “Statistical Learning and Modeling in Data Analysis Methods and Applications”, Balzano, S., Porzio, G.C., Salvatore, R., Vistocco, D., Vichi, M. (Eds.), pp- 97-107  ISBN 978-3-030-69943-7

Menna, L., & Tirelli, P. (2021). Risk Premiums, Nominal Rigidities, and Limited Asset Market Participation. Journal of Money, Credit and Banking, 53(7), 1899-1921.

Agosto, A., Ahelegbey, D. F., & Giudici, P. (2020). Tree networks to assess financial contagion. Economic Modelling, 85, 349-366.

Albonico, A., & Tirelli, P. (2020). Financial crises and sudden stops: Was the European monetary union crisis different?. Economic Modelling, 93, 13-26.

Maggi, M., Torrente, M. L., & Uberti, P. (2020). Proper measures of connectedness. Annals of Finance, 16(4), 547-571.

Spelta, A., Flori, A., Pecora, N., Buldyrev, S., & Pammolli, F. (2020). A behavioral approach to instability pathways in financial markets. Nature communications, 11(1), 1707.

Avdjiev, S., Giudici, P., & Spelta, A. (2019). Measuring contagion risk in international banking. Journal of Financial Stability, 42, 36-51.

Colombo, E., Menna, L., & Tirelli, P. (2019). Informality and the labor market effects of financial crises. World Development, 119, 1-22.

Gualtieri, G., Nicolini, M., & Sabatini, F. (2019). Repeated shocks and preferences for redistribution. Journal of Economic Behavior & Organization, 167, 53-71.

Bassetti, F., De Giuli, M.E., Nicolino, E. and Tarantola, C. (2018). Multivariate Dependence Analysis via Tree Copula Models: An Application to one year forward energy contracts; European Journal of Operational Research, 269, 1107-1121

Cerchiello, P., Giudici, P., & Nicola, G. (2017). Twitter data models for bank risk contagion. Neurocomputing, 264, 50-56.

Nicolini, M., & Tavoni, M. (2017). Are renewable energy subsidies effective? Evidence from Europe. Renewable and Sustainable Energy Reviews, 74, 412-423.

Cerchiello, P., & Giudici, P. (2016). Conditional graphical models for systemic risk estimation. Expert systems with applications, 43, 165-174.

Dalla Valle, L., De Giuli, M.E., Tarantola, C., and Manelli, C. (2016), Default Probability Estimation via Pair Copula Constructions, European journal of Operational Research, 249,  298–311.

Manera, M., Nicolini, M., & Vignati, I. (2016). Modelling futures price volatility in energy markets: Is there a role for financial speculation?. Energy Economics, 53, 220-229.

CAMRisk working papers are accessible here