34 citations · 92 across the 18 of their papers we have counts for
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q-fin.ST2020★ 1 cited
Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall
Vincenzo Candila, Giampiero M. Gallo, Lea Petrella
Although quantile regression to calculate risk measures has been widely established in the financial literature, when considering data observed at mixed--frequency, an extension is…
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…