34 citations · 92 across the 18 of their papers we have counts for
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stat.ME2021
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…
q-fin.RM2021★ 34 cited
Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation
Luca Merlo, Lea Petrella, Valentina Raponi
In this paper we propose a multivariate quantile regression framework to forecast Value at Risk (VaR) and Expected Shortfall (ES) of multiple financial assets simultaneously, exten…