5 citations · 5 across the 3 of their papers we have counts for
3 papers · 1 filter
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…
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…