Research Outputs Marco Bee


  • M. Bee, "A Maximum Entropy Approach to Loss Distribution Analysis" in ENTROPY, v. 15, n. 3 (2013), p. 1100-1117. - DOI: 10.3390/e15031100 - see details
  • M. Bee, "A Maximum Entropy Approach to the Measurement of Event Risk" in C. Wehn, C. Hoppe, G.N. Gregoriou (edited by), Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges, London: -LONDON, ENGLAND: ACADEMIC PRESS LTD ELSEVIER SCIENCE LTD, -London; New York: Academic Press., 2013, p. 375-385 - see details
  • M. Bee, F. Santi, Finanza Quantitativa con R, Milano: Apogeo, 2013, 216 p. - ISBN: 9788850332366 - see details
  • M. Bee, R. Benedetti, G. Espa, Piersimoni, F., "Is it acceptable not to cover the smallest businesses in a business survey? How should such a cutoff be chosen?", 2013, 5 p - see details
  • M. Bee, R. Benedetti, G. Espa, "On Maximum Likelihood Estimation of a Pareto Mixture" in COMPUTATIONAL STATISTICS, v. 28, n. 1 (2013), p. 161-178. - DOI: 10.1007/s00180-011-0291-z - see details
  • M. Bee, M. Riccaboni, S. Schiavo, "The size distribution of US cities: Not Pareto, even in the tail" in ECONOMICS LETTERS, v. 2013, n. 120 (2) (2013), p. 232-237. - DOI: 10.1016/j.econlet.2013.04.035 - see details
  • M. Bee, M. Riccaboni, S. Schiavo, "A Trick of the (Pareto) Tail" - Discussion Papers, 2012 - see details
  • M. Bee, "Dynamic VaR Models and the Peaks over Threshold Method for Market Risk Measurement: an Empirical Investigation during a Financial Crisis" in THE JOURNAL OF RISK MODEL VALIDATION, v. 6, (2012), p. 3-45 - see details
  • M. Bee, "A maximum entropy approach to the measurement of market risk" in Statistics in the 150 years from Italian Unification, Bologna: Alma Mater Studiorum Università di Bologna, 2011, p. 6-6 -(Serie Ricerche; 2). Proceedings of: Convegno intermedio SIS 2011, Bologna, 8-10 giugno 2011 - see details
  • M. Bee, "Adaptive Importance Sampling for Simulating Copula-based Distributions" in INSURANCE MATHEMATICS & ECONOMICS, v. 48, n. 2 (2011), p. 237-245. - DOI: 10.1016/j.insmatheco.2010.11.004 - see details
  • G. Arbia, M. Bee, G. Espa, "Aggregation of Regional Economic Time Series with Different Correlation Structures" in GEOGRAPHICAL ANALYSIS, v. 43, n. 1 (2011), p. 78-103 - see details
  • E. Taufer, N. Leonenko, M. Bee, "Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models" in COMPUTATIONAL STATISTICS & DATA ANALYSIS, v. 55, n. 8 (2011), p. 2525-2539 - see details
  • M. Bee, R. Benedetti, G. Espa, F. Piersimoni, "Cut-Off Approach To The Design Of Longitudinal Business Surveys" in Joint Statistical Meetings Proceedings, Statistical Computing Section, Alexandria: American Statistical Association, 2011, p. 2488-2500. Proceedings of: Joint Statistical Meetings , Miami, 30th July-3nd August 2011 - see details
  • F. Verdecchia, M. Bee, L. Lombardo, C. Sgarbanti, A. Gracco, "Influence of Anterior Teeth Alignment on Peer Perception in a Population of 8 to 10-year-olds" in EUROPEAN JOURNAL OF ORTHODONTICS, v. 33, n. 2 (2011), p. 155-160 - see details
  • M. Bee, M. Riccaboni, S. Schiavo, "Pareto versus lognormal: a maximum entropy test" in PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS, v. 84, (2011), p. 026104-1-026104-11 - see details
  • M. Bee, G. Espa, R. Gabriele, "The impact of e-inclusion in Europe: a scenario analysis" in P. Guerrieri, S. Bentivegna (edited by), The economic impact of digital technologies, Cheltenham, UK: Edward Elgar, 2011, p. 162-187. - ISBN: 9780857931887 - see details
  • R. Benedetti, M. Bee, G. Espa, "A Framework for Cut-off Sampling in Business Survey Design" in JOURNAL OF OFFICIAL STATISTICS, v. 26, n. 4 (2010), p. 651-671 - see details
  • R. Benedetti, M. Bee, G. Espa, F. Piersimoni (edited by), "Agricultural survey methods", New York: John Wiley & sons, 2010. - ISBN: 9780470743713. - URL: www.wiley.com/WileyCDA/WileyTitle/productCd-0470743719.html - see details
  • M. Bee, F. Miorelli, "Dynamic VaR models and the Peaks over Threshold method for market risk measurement: an empirical investigation during a financial crisis " - Discussion paper 9, 2010, 45 p - see details
  • M. Bee, R. Benedetti, G. Espa, F. Piersimoni, "On the Use of Auxiliary Variables in Agricultural Surveys Design" in R. Benedetti, M. Bee, G. Espa, F. Piersimoni (edited by), Agricultural survey methods, New York: John Wiley & sons, 2010, p. 107-132. - ISBN: 9780470743713 - see details
  • M. Bee, "Simulating copula-based distributions and estimating tail probabilities by means of adaptive importance sampling" - Discussion paper 3, 2010, 31 p - see details
  • M. Bee, G. Espa, R. Benedetti, "A note on Maximum likelihood estimation of a Pareto mixture" - Discussion Paper 3, 2009, 39 p - see details
  • M. Bee, "Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk" in COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION, v. 38, n. 38.5 (2009), p. 939-960 - see details
  • M. Bee, G. Espa, "Importance sampling techniques for large quantile estimation in the Advanced Measurement Approach" in G.N. Gregoriou (edited by), Operational Risk Towards Basel III. Best Practices and Issues in Modeling, Management and Regulation, HOBOKEN, NEW JERSEY: J. Wiley & Sons, 2009, p. 155-176. - ISBN: 978-0-470-39014-6 - see details
  • M. Bee, G. Espa, "A Monte Carlo EM Algorithm for the Estimation of a Logistic Auto-logistic Model with Missing Data" - Discussion Paper 1, 2008, 0 p - see details
  • M. Bee, G. Espa, "A Monte Carlo EM Algorithm for the Estimation of a Logistic Auto-logistic Model with Missing Data" in LETTERS IN SPATIAL AND RESOURCE SCIENCES, v. Year 1, v. 1, n. 1 (2008), p. 45-54 - see details
  • M. Bee, G. Espa, "Aspetti di Statistica Finanziaria nel Nuovo accordo di Basilea" in SIS MAGAZINE, n. settembre 2008 (2008), p. 0-0. - URL: http://www.sis-statistica.it/magazine/ - see details
  • E. Taufer, M. Bee, "Characteristic function estimation of stochastic volatility models" in Book of Abstracts, Neuchatel: University of Neuchatel, 2008, p. 44-44. Proceedings of: CFE'08, Neuchâtel, 19-21 giugno 2008. - URL: http://www.dcs.bbk.ac.uk/cfe08/ - see details
  • M. Bee, M. Cozzani, M. Manfredi, S. Mutinelli, G. Siciliani, "Dental Arch Changes Following Rapid Maxillary Expansion" in EUROPEAN JOURNAL OF ORTHODONTICS, v. 30, n. 30 (2008), p. 469-476 - see details
  • M. Bee, G. Espa, R. Gabriele, B. Maggi, G. Piras, Econometric modeling perspectives, New York: Nova Science Publishers, 2008, 110 p. - ISBN: 978-1-60692-157-9 - see details
  • M. Bee, G. Espa, R. Gabriele, B. Maggi, G. Piras, "Expert Commentary: Structural Models and Empirical Analysis of Technology Accumulation and Diffusion: a Continuous–time Econometric Approach" in W. N. Toggins (edited by), New Econometric Modeling Research, New York, N.Y. ; Huntington, N.Y. ; Commack, N.Y.: Nova science, 2008, p. 3-5. - ISBN: 1-60021-586-6 - see details
  • L. Erzegovesi, M. Bee, I modelli di portafoglio per la gestione del rischio di credito, Roma: Bancaria editrice, 2008, 374 p. - (Banca e mercati). - ISBN: 9788844904562 - see details
  • M. Bee, R. Benedetti, G. Espa, "Spatial Models for Flood Risk Assessment" in ENVIRONMETRICS, v. 19, 7, (2008), p. 725-741. - DOI: 10.1002/env.932 - see details
  • M. Bee, R. Benedetti, G. Espa, "A Framework for Cut-off Sampling in Business Survey Design" - Discussion Paper 9, 2007, 35 p - see details
  • G. Arbia, G. Espa, M. Bee, "Aggregation of regional economic time series with different spatial correlation structures" - Discussion Paper, 2007, 20 p - see details
  • M. Bee, G. Espa, R. Gabriele, P. Guerrieri, B. Maggi, P. C. Padoan, "General purpose technology in a structural model" in P. Guerrieri, P. C. Padoan (edited by), Modelling ICT as a general purpose technology: evaluation models and tools for assessment of innovation and sustainable development at the EU level, Bruxelles: College of Europe, 2007, p. 172-190. - URL: http://www.coleurop.be/template.asp?pagename=pub_collegium - see details
  • M. Bee, G. Espa, R. Gabriele, "ICT as a General Purpose Technology (GPT): Modelling its Impact on Performance using IFS" in P. Guerrieri, P. C. Padoan (edited by), Modelling ICT as a General Purpose Technology: Evaluation Models and Tools for Assessment of Innovation and Sustainable Development at the EU Level, Bruxelles: College of Europe, 2007, p. 115-146. - URL: http://www.coleurop.be/template.asp?pagename=pub_collegium - see details
  • M. Bee, "Importance Sampling for Sums of Lognormal Distributions, with Applications to Operational Risk" - Discussion Paper 28, 2007, 32 p - see details
  • M. Bee, R. Benedetti, G. Espa, "Spatial Models for Flood Risk Assessment" - Discussion Paper 10, 2007, 33 p - see details
  • M. Bee, "The Asymptotic Loss Distribution in a Fat-tailed Factor Model of Portfolio Credit Risk" - Discussion Paper, 2007, 32 p - see details
  • M. Bee, "Estimating and Simulating Loss Distributions with Incomplete Data" in OPRISK & COMPLIANCE, v. 7, n. 7 (2006), p. 36-41 - see details
  • M. Bee, "Estimating the parameters in the loss distribution approach: how can we deal with truncated data?" in E. Davis (edited by), The advanced measurement approach to operational risk, London: Riskbooks, 2006, p. 123-144. - ISBN: 1-904339-88-3 - see details
  • M. Bee, "Copula-based Multivariate Models with Applications to Risk Management and Insurance", 2005, 27 p - see details
  • M. Bee, "Estimating rating transition probabilities with missing data" in STATISTICAL METHODS & APPLICATIONS, v. 14, n. 1 (2005), p. 127-141 - see details
  • M. Bee, "On Maximum Likelihood Estimation of Operational Loss Distributions" - Discussion Paper 3, 2005, 0 p - see details
  • R. Tamborini, G. Espa, M. Bee, "Firms' bankruptcy and turnover in a macroeconomy" in M. Gallegati, A. Kirman, M. Marsili (edited by), The complex dynamics of economic interaction: essays in economics and econophysics, Wien: Springer, 2004, p. 79-106. - (Lecture notes in economics and mathematical systems). - ISBN: 3-540-40497-x - see details
  • M. Bee, M. Senati, "La gestione del Rischio di Credito in Banca Intesa" in G. De Laurentis, F. Saita, A. Sironi (edited by), Rating Interni e Controllo del Rischio di Credito, Roma: Bancaria, 2004, p. 7.1-7.4. - (banca e Mercati; 48) - see details
  • M. Bee, "Modelling credit default swap spreads by means of normal mixtures and copulas" in APPLIED MATHEMATICAL FINANCE, v. 11, n. 2 (2004), p. 125-146 - see details
  • M. Bee, "Testing for Redundancy in Normal Mixture Analysis" in COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION, v. 33, n. 4 (2004), p. 915-936 - see details
  • M. Bee, A. Gazzini, "Testing the Profitability of Simple Technical Trading Rules: a Bootstrap Analysis of the Italian Stock Market" - Aleaweb Tech Report , 2004, 0 p - see details
  • M. Bee, B. Flury, "A Problem of Dimensionality in Normal Mixture Analysis" in SCANDINAVIAN JOURNAL OF STATISTICS, v. 29, n. 3 (2002), p. 485-500 - see details
  • M. Bee, G. Espa, R. Micciolo, "Esercizi di statistica: nuovo ordinamento", 2002 - see details
  • M. Bee, G. Espa, "Misture Normali e Valore a Rischio", 2002 - see details
  • M. Bee, "Un Modello per l’Incorporazione del Rischio Specifico nel VaR", 2002 - see details
  • M. Bee, "Mixture Models for VaR and Stress Testing", 2001 - see details
  • M. Bee, G. Espa, "Metodi Statistici per l'interpolazione Areale: l'Algoritmo EM per Dati Continui" in STATISTICA APPLICATA, v. 11, n. 3 (1999), p. 1-28 - see details
  • G. Espa, M. Bee, A. Besana, "L'algoritmo EM per la conversione di dati areali continui" in Rilevamento, rappresentazione e gestione dei dati territoriali e ambientali: Arti grafiche Tezzele, 1998, p. 277-282 -(Pubblicazioni per la Associazione Scientifica per le informazioni Territoriali e Ambientali). Proceedings of: II Conferenza Nazionale Associazione Scientifica per le informazioni Territoriali e Ambientali, Bolzano, 24-27 novembre 1998 - see details
  • M. Bee, "Un Problema Dimensionale in Analisi di Mistura Finita" in QUADERNI DI STATISTICA E MATEMATICA APPLICATA ALLE SCIENZE ECONOMICO-SOCIALI, n. 20 (1997), p. 137-150 - see details
  • M. Bee, R. Avesani, G. Passamani, "The Relation between Spot and Forward Exchange Rates: a Varying Trend Cointegration Analysis" in Bulletin of the International Statistical Institute, Olanda: International Statistical Institute, 1993, p. 57-58 -(Proceedings of the 49th Session of the International Statistical Institute). Proceedings of: International Statistical Institute, Firenze, 25 agosto -02 settembre 1993 - see details