34 citations · 67 across the 10 of their papers we have counts for
5 papers · 1 filter
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…
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 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…
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…