34 citations · 34 across the 3 of their papers we have counts for
3 papers
q-fin.RM2021★ 34 cited
Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation
Luca Merlo, Lea Petrella, Valentina Raponi
In this paper we propose a multivariate quantile regression framework to forecast Value at Risk (VaR) and Expected Shortfall (ES) of multiple financial assets simultaneously, exten…
stat.ME2018
Joint estimation of conditional quantiles in multivariate linear regression models. An application to financial distress
Lea Petrella, Valentina Raponi
This paper proposes a maximum-likelihood approach to jointly estimate marginal conditional quantiles of multivariate response variables in a linear regression framework. We conside…
stat.AP2014
A biclustering approach to university performances: an Italian case study
Valentina Raponi, Francesca Martella, Antonello Maruotti
University evaluation is a topic of increasing concern in Italy as well as in other countries. In empirical analysis, university activities and performances are generally measured…