Lea Petrella

Pubblicazioni

Titolo Pubblicato in Anno
Hypotheses testing in mixed–frequency volatility models: a bootstrap approach Book of Short Papers SIS 2021 2021
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation JOURNAL OF BANKING & FINANCE 2021
Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach RISKS 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
Conditional Quantile Estimation for Linear ARCH Models with MIDAS Components Mathematical and Statistical Methods for Actuarial Sciences and Finance eMAF2020 2021
Quantile Regression Neural Network for Quantile Claim Amount Estimation Mathematical and Statistical Methods for Actuarial Sciences and Finance: eMAF2020 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
Option Pricing, Zero Lower Bound, and COVID-19 RISKS 2021
Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach RISKS 2021
3D Reconstruction Model of an Extra-Abdominal Desmoid Tumor: A Case Study FRONTIERS IN BIOENGINEERING AND BIOTECHNOLOGY 2020
Sectoral Decomposition of CO2WorldEmissions: A Joint QuantileRegression Approach INTERNATIONAL REVIEW OF ENVIRONMENTAL AND RESOURCE ECONOMICS 2020
Adding MIDAS terms to Linear ARCH models in a Quantile Regression framework Book of short Papers SIS 2020 2020
Using mixed-frequency and realized measures in quantile regression 2020
Multivariate Mixed Hidden Markov Model for joint estimation of multiple quantiles 2020
GLASSO Estimation of Commodity Risks 2020
Dynamic Quantile Regression Forest 2020
Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution STATISTICAL METHODS & APPLICATIONS 2020
Large deviations for method-of-quantiles estimators of one-dimensional parameters COMMUNICATIONS IN STATISTICS. THEORY AND METHODS 2020
Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress JOURNAL OF MULTIVARIATE ANALYSIS 2019

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