34 citations · 92 across the 18 of their papers we have counts for
4 papers · 1 filter
Estimating causal quantile exposure response functions via matching
Luca Merlo, Francesca Dominici, Lea Petrella +2
We develop new matching estimators for estimating causal quantile exposure-response functions and quantile exposure effects with continuous treatments. We provide identification re…
Unified unconditional regression for multivariate quantiles, M-quantiles and expectiles
Luca Merlo, Lea Petrella, Nicola Salvati +1
In this paper, we develop a unified regression approach to model unconditional quantiles, M-quantiles and expectiles of multivariate dependent variables exploiting the multidimensi…
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…
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…