Lea Petrella

Pubblicazioni

Titolo Pubblicato in Anno
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
Joint VaR and ES forecasting in a multiple quantile regression framework Smart Statistics for Smart Applications: book of short papers SIS 2019 2019
Estimation of dynamic quantile models via the MM algorithm Smart Statistics for Smart Applications 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
Conditional risk based on multivariate hazard scenarios STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT 2018
Spare parts management for irregular demand items OMEGA 2018
Large deviations for risk measures in finite mixture models INSURANCE MATHEMATICS & ECONOMICS 2018
Bayesian quantile regression using the skew exponential power distribution COMPUTATIONAL STATISTICS & DATA ANALYSIS 2018
Cross‑Country assessment of systemic risk in the European Stock Market: evidence from a CoVaR analysis SOCIAL INDICATORS RESEARCH 2018
The sparse method of simulated quantiles: an application to portfolio optimization STATISTICA NEERLANDICA 2018
Selection of Value at Risk Models for Energy Commodities ENERGY ECONOMICS 2018
Sparse Nonparametric Dynamic Graphical Models 2018
Are news important to predict the Value at Risk? EUROPEAN JOURNAL OF FINANCE 2017
Multiple Risk Measures for Multivariate Dynamic Heavy–Tailed Models JOURNAL OF EMPIRICAL FINANCE 2017
On the Lp-quantiles for the Student t distribution STATISTICS & PROBABILITY LETTERS 2017

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