2 citations · 4 across the 9 of their papers we have counts for
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econ.EM2025
A general randomized test for Alpha
Daniele Massacci, Lucio Sarno, Lorenzo Trapani +1
We propose a methodology to construct tests for the null hypothesis that the pricing errors of a panel of asset returns are jointly equal to zero in a linear factor asset pricing m…
econ.EM2024
Sequential monitoring for explosive volatility regimes
Lajos Horvath, Lorenzo Trapani, Shixuan Wang
In this paper, we develop two families of sequential monitoring procedure to (timely) detect changes in a GARCH(1,1) model. Whilst our methodologies can be applied for the general…