Pubblicazioni

Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation

2021 - JOURNAL OF BANKING & FINANCE
Merlo, L.; Petrella, L.; Raponi, V.

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

Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress

2019 - JOURNAL OF MULTIVARIATE ANALYSIS
Petrella, Lea; Raponi, Valentina

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