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.

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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