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20202024
most citedForecasting VaR and ES using a joint quantile regression and implications in portfolio allocation

34 citations · 67 across the 10 of their papers we have counts for

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stat.ME2020★ 13 cited

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…