9 citations · 13 across the 3 of their papers we have counts for
3 papers
stat.ME2024
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…
stat.AP2023★ 4 cited
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…
stat.AP2023★ 9 cited
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…