Pubblicazioni

On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS

2021 - Mathematical and Statistical Methods for Actuarial Sciences and Finance eMAF2020
Amendola, Alessandra; Candila, Vincenzo; Cipollini, Fabrizio; Gallo, Giampiero M.

Conditional Quantile Estimation for Linear ARCH Models with MIDAS Components

2021 - Mathematical and Statistical Methods for Actuarial Sciences and Finance eMAF2020
Candila, Vincenzo; Petrella, Lea

Forecasting Multiple VaR and ES Using a Dynamic Joint Quantile Regression with an Application to Portfolio Optimization

2021 - Mathematical and Statistical Methods for Actuarial Sciences and Finance eMAF2020
Merlo, Luca; Petrella, Lea; Raponi, Valentina

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