3 citations · 3 across the 4 of their papers we have counts for
4 papers
Asymptotic Theory for Graphical SLOPE: Precision Estimation and Pattern Convergence
Ivan Hejný, Giovanni Bonaccolto, Philipp Kremer +3
This paper studies Graphical SLOPE for precision matrix estimation, with emphasis on its ability to recover both sparsity and clusters of edges with equal or similar strength. In a…
Sparse Graphical Modelling via the Sorted L-Norm
Riccardo Riccobello, Malgorzata Bogdan, Giovanni Bonaccolto +3
Sparse graphical modelling has attained widespread attention across various academic fields. We propose two new graphical model approaches, Gslope and Tslope, which provide sparse…
Critical Decisions for Asset Allocation via Penalized Quantile Regression
Giovanni Bonaccolto
We extend the analysis of investment strategies derived from penalized quantile regression models, introducing alternative approaches to improve state\textendash of\textendash art…
Modelling and Forecasting the Realized Range Conditional Quantiles
Giovanni Bonaccolto, Massimiliano Caporin
Several studies have focused on the Realized Range Volatility, an estimator of the quadratic variation of financial prices, taking into account the impact of microstructure noise a…