Details about Francesco Lisi

Access statistics for papers by Francesco Lisi.

Last updated 2020-02-27. Update your information in the RePEc Author Service.

Short-id: pli451

Working Papers

2014

1. A Survey on the Four Families of Performance Measures
   Post-Print, HAL View citations (24)
   See also Journal Article A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES, Journal of Economic Surveys, Wiley Blackwell (2014) View citations (40) (2014)

2011

2. Comparing and selecting performance measures using rank correlations
   Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (7)
   See also Journal Article Comparing and selecting performance measures using rank correlations, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2011) View citations (7) (2011)

2009

3. Comparing and selecting performance measures for ranking assets
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (9)

2008

4. Clustering Mutual Funds by Return and Risk Levels
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (3)

1997

5. One-Step Prediction of Chaotic Time Series by Multivariate Reconstruction
   Working Papers, Center for Research in Economics and Statistics View citations (1)
6. Predictive Dimension: An Alternative Definition of the Embedding Dimension
   Working Papers, Center for Research in Economics and Statistics

Journal Articles

2020

1. Forecasting of electricity price through a functional prediction of sale and purchase curves
   Journal of Forecasting, 2020, 39, (2), 242-259 View citations (10)

2018

2. Analyzing and Forecasting Zonal Imbalance Signs in the Italian Electricity Market
   The Energy Journal, 2018, Volume 39, (Number 5) View citations (14)
3. Component estimation for electricity market data: Deterministic or stochastic?
   Energy Economics, 2018, 74, (C), 13-37 View citations (15)

2014

4. A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
   Journal of Economic Surveys, 2014, 28, (5), 917-942 View citations (40)
   See also Working Paper A Survey on the Four Families of Performance Measures, Post-Print (2014) View citations (24) (2014)
5. Component estimation for electricity prices: Procedures and comparisons
   Energy Economics, 2014, 44, (C), 143-159 View citations (37)

2013

6. A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management
   The North American Journal of Economics and Finance, 2013, 26, (C), 236-249 View citations (7)
7. Combining day-ahead forecasts for British electricity prices
   Energy Economics, 2013, 35, (C), 88-103 View citations (107)

2012

8. Are performance measures equally stable?
   Annals of Finance, 2012, 8, (4), 553-570 View citations (3)
9. On the role of risk in the Morningstar rating for mutual funds
   Quantitative Finance, 2012, 12, (10), 1477-1486 View citations (3)

2011

10. Comparing and selecting performance measures using rank correlations
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2011, 5, 1-34 View citations (7)
    See also Working Paper Comparing and selecting performance measures using rank correlations, Economics Discussion Papers (2011) View citations (7) (2011)
11. Dicing with the market: randomized procedures for evaluation of mutual funds
    Quantitative Finance, 2011, 11, (2), 163-172 View citations (2)
12. Practical implications of higher moments in risk management
    Statistical Methods & Applications, 2011, 20, (4), 487-506 View citations (12)

2010

13. Misspecification tests for periodic long memory GARCH models
    Statistical Methods & Applications, 2010, 19, (1), 47-62 View citations (3)

2009

14. Looking for skewness in financial time series
    Econometrics Journal, 2009, 12, (2), 310-323 View citations (23)
15. Periodic Long-Memory GARCH Models
    Econometric Reviews, 2009, 28, (1-3), 60-82 View citations (20)

2007

16. Generalised long-memory GARCH models for intra-daily volatility
    Computational Statistics & Data Analysis, 2007, 51, (12), 5900-5912 View citations (38)
17. Testing asymmetry in financial time series
    Quantitative Finance, 2007, 7, (6), 687-696 View citations (9)

2003

18. k -Factor GARMA models for intraday volatility forecasting
    Applied Economics Letters, 2003, 10, (4), 251-254 View citations (13)

2002

19. Nonlinear models for ground-level ozone forecasting
    Statistical Methods & Applications, 2002, 11, (2), 227-245

2001

20. Interval prediction for chaotic time series
    Metron - International Journal of Statistics, 2001, LIX, (3-4), 117-140
21. Predictive accuracy for chaotic economic models
    Economics Letters, 2001, 70, (1), 51-58 View citations (4)

1999

22. A comparison between neural networks and chaotic models for exchange rate prediction
    Computational Statistics & Data Analysis, 1999, 30, (1), 87-102 View citations (26)

1997

23. Is a random walk the best exchange rate predictor?
    International Journal of Forecasting, 1997, 13, (2), 255-267 View citations (17)
24. The interbanking liquidity market: Short-time prediction and the central bank reserve management
    Decisions in Economics and Finance, 1997, 20, (1), 67-82