34 citations · 67 across the 10 of their papers we have counts for
10 papers
Hidden Markov graphical models with state-dependent generalized hyperbolic distributions
Beatrice Foroni, Luca Merlo, Lea Petrella
In this paper we develop a novel hidden Markov graphical model to investigate time-varying interconnectedness between different financial markets. To identify conditional correlati…
Quantile mixed graphical models with an application to mass public shootings in the United States
Luca Merlo, Marco Geraci, Lea Petrella
Over the last fifty years, the United States have experienced hundreds of mass public shootings that resulted in thousands of victims. Characterized by their frequent occurrence an…
Estimating causal quantile exposure response functions via matching
Luca Merlo, Francesca Dominici, Lea Petrella +2
We develop new matching estimators for estimating causal quantile exposure-response functions and quantile exposure effects with continuous treatments. We provide identification re…
Unified unconditional regression for multivariate quantiles, M-quantiles and expectiles
Luca Merlo, Lea Petrella, Nicola Salvati +1
In this paper, we develop a unified regression approach to model unconditional quantiles, M-quantiles and expectiles of multivariate dependent variables exploiting the multidimensi…
Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market
Beatrice Foroni, Luca Merlo, Lea Petrella
The role of cryptocurrencies within the financial systems has been expanding rapidly in recent years among investors and institutions. It is therefore crucial to investigate the ph…
Expectile hidden Markov regression models for analyzing cryptocurrency returns
Beatrice Foroni, Luca Merlo, Lea Petrella
In this paper we develop a linear expectile hidden Markov model for the analysis of cryptocurrency time series in a risk management framework. The methodology proposed allows to fo…
Inter-order relations between moments of a Student distribution, with an application to -quantiles
Valeria Bignozzi, Luca Merlo, Lea Petrella
This paper introduces inter-order formulas for partial and complete moments of a Student distribution with degrees of freedom. We show how the partial moment of order $n -…
Quantile Mixed Hidden Markov Models for multivariate longitudinal data
Luca Merlo, Lea Petrella, Nikos Tzavidis
The identification of factors associated with mental and behavioral disorders in early childhood is critical both for psychopathology research and the support of primary health car…
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…
A two-part finite mixture quantile regression model for semi-continuous longitudinal data
Antonello Maruotti, Luca Merlo, Lea Petrella
This paper develops a two-part finite mixture quantile regression model for semi-continuous longitudinal data. The proposed methodology allows heterogeneity sources that influence…