34 citations · 34 across the 3 of their papers we have counts for
4 papers
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…