Luca Merlo | Ricerc@Sapienza

Pubblicazioni

Titolo	Pubblicato in	Anno
Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market	STATISTICAL MODELLING	2024
Using expectile regression with latent variables for digital assets	Book of short papers SIS 2023	2023
Unified Unconditional Regression for Multivariate Quantiles, M-Quantiles, and Expectiles	JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION	2023
Quantile-based graphical models for continuous and discrete variables	Statistical Learning, Sustainability and Impact Evaluation	2023
Quantile mixed hidden Markov models for multivariate longitudinal data: An application to children's Strengths and Difficulties Questionnaire scores	JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES C-APPLIED STATISTICS	2022
Graphical Models for Commodities: A Quantile Approach	Graphical Models for Commodities: A Quantile Approach	2022
Marginal M-quantile regression for multivariate dependent data	COMPUTATIONAL STATISTICS & DATA ANALYSIS	2022
Analyzing the Correlation Structure of Financial Markets Using a Quantile Graphical Model	Book of the Short Papers	2022
COVID-19 After Lung Resection in Northern Italy	SEMINARS IN THORACIC AND CARDIOVASCULAR SURGERY	2021
Two-part quantile regression models for semi-continuous longitudinal data: A finite mixture approach	STATISTICAL MODELLING	2021
Directional M-quantile regression for multivariate dependent outcomes		2021
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation	JOURNAL OF BANKING & FINANCE	2021
Unconditional M-quantile regression		2021
Nonthyroidal illness syndrome (NTIS) in severe COVID-19 patients: role of T3 on the Na/K pump gene expression and on hydroelectrolytic equilibrium	JOURNAL OF TRANSLATIONAL MEDICINE	2021
Forecasting Multiple VaR and ES Using a Dynamic Joint Quantile Regression with an Application to Portfolio Optimization	Mathematical and Statistical Methods for Actuarial Sciences and Finance eMAF2020	2021
Sectoral Decomposition of CO2WorldEmissions: A Joint QuantileRegression Approach	INTERNATIONAL REVIEW OF ENVIRONMENTAL AND RESOURCE ECONOMICS	2020
Multivariate Mixed Hidden Markov Model for joint estimation of multiple quantiles		2020
Joint VaR and ES forecasting in a multiple quantile regression framework	Smart Statistics for Smart Applications: book of short papers SIS 2019	2019
A two-part finite mixture quantile regression model for semi-continuous longitudinal data	Smart Statistics for Smart Applications : book of short papers SIS 2019	2019
Cross‑Country assessment of systemic risk in the European Stock Market: evidence from a CoVaR analysis	SOCIAL INDICATORS RESEARCH	2018