Details about Lea Petrella

Access statistics for papers by Lea Petrella.

Last updated 2024-01-09. Update your information in the RePEc Author Service.

Short-id: ppe1060

Working Papers

2024

1. Expectile hidden Markov regression models for analyzing cryptocurrency returns
   Papers, arXiv.org

2023

2. Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall
   Papers, arXiv.org View citations (2)
3. Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market
   Papers, arXiv.org

2022

4. Inter-order relations between moments of a Student $t$ distribution, with an application to $L_p$-quantiles
   Papers, arXiv.org

2021

5. Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation
   Papers, arXiv.org View citations (12)

2019

6. Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution
   Papers, arXiv.org View citations (1)
   See also Journal Article Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution, Statistical Methods & Applications, Springer (2021) View citations (2) (2021)

2018

7. Large deviations for risk measures in finite mixture models
   Papers, arXiv.org View citations (1)
   See also Journal Article Large deviations for risk measures in finite mixture models, Insurance: Mathematics and Economics, Elsevier (2018) View citations (1) (2018)

2016

8. MULTIVARIATE METHOD OF SIMULATED QUANTILES
   Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre

2014

9. Are news important to predict large losses?
   Papers, arXiv.org View citations (7)
10. Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors
    Papers, arXiv.org View citations (4)
    See also Journal Article Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors, JRFM, MDPI (2015) View citations (5) (2015)

2013

11. Bayesian inference for CoVaR
    Papers, arXiv.org View citations (6)

2012

12. Skew mixture models for loss distributions: a Bayesian approach
    MPRA Paper, University Library of Munich, Germany View citations (25)
    See also Journal Article Skew mixture models for loss distributions: A Bayesian approach, Insurance: Mathematics and Economics, Elsevier (2012) View citations (24) (2012)

1995

13. Prior density ratio class robustness in econometrics
    Working Papers, Federal Reserve Bank of Minneapolis
    See also Journal Article Prior Density-Ratio Class Robustness in Econometrics, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (2) (1998)

Journal Articles

2022

1. Marginal M-quantile regression for multivariate dependent data
   Computational Statistics & Data Analysis, 2022, 173, (C) View citations (2)
2. Quantile mixed hidden Markov models for multivariate longitudinal data: An application to children's Strengths and Difficulties Questionnaire scores
   Journal of the Royal Statistical Society Series C, 2022, 71, (2), 417-448 View citations (2)

2021

3. Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
   Journal of Banking & Finance, 2021, 133, (C) View citations (12)
4. Hidden semi-Markov-switching quantile regression for time series
   Computational Statistics & Data Analysis, 2021, 159, (C)
5. Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach
   Risks, 2021, 9, (8), 1-20 View citations (2)
6. Option Pricing, Zero Lower Bound, and COVID-19
   Risks, 2021, 9, (9), 1-13 View citations (1)
7. Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution
   Statistical Methods & Applications, 2021, 30, (3), 1079-1107 View citations (2)
   See also Working Paper Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution, Papers (2019) View citations (1) (2019)

2020

8. Large deviations for method-of-quantiles estimators of one-dimensional parameters
   Communications in Statistics - Theory and Methods, 2020, 49, (5), 1132-1157
9. Sectoral Decomposition of CO2 World Emissions: A Joint Quantile Regression Approach
   International Review of Environmental and Resource Economics, 2020, 14, (2-3), 197-239 View citations (2)

2019

10. Cross-Country Assessment of Systemic Risk in the European Stock Market: Evidence from a CoVaR Analysis
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2019, 146, (1), 169-186 View citations (4)
11. Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress
    Journal of Multivariate Analysis, 2019, 173, (C), 70-84 View citations (13)

2018

12. Bayesian quantile regression using the skew exponential power distribution
    Computational Statistics & Data Analysis, 2018, 126, (C), 92-111 View citations (5)
13. Large deviations for risk measures in finite mixture models
    Insurance: Mathematics and Economics, 2018, 80, (C), 84-92 View citations (1)
    See also Working Paper Large deviations for risk measures in finite mixture models, Papers (2018) View citations (1) (2018)
14. Selection of Value at Risk Models for Energy Commodities
    Energy Economics, 2018, 74, (C), 628-643 View citations (34)
15. Spare parts management for irregular demand items
    Omega, 2018, 81, (C), 57-66 View citations (14)
16. The sparse method of simulated quantiles: An application to portfolio optimization
    Statistica Neerlandica, 2018, 72, (3), 375-398 View citations (4)

2017

17. Are news important to predict the Value-at-Risk?
    The European Journal of Finance, 2017, 23, (6), 535-572 View citations (7)
18. Bayesian binary quantile regression for the analysis of Bachelor-to-Master transition
    Journal of Applied Statistics, 2017, 44, (15), 2791-2812 View citations (6)
19. Multiple risk measures for multivariate dynamic heavy–tailed models
    Journal of Empirical Finance, 2017, 43, (C), 1-32 View citations (16)
20. On the Lp-quantiles for the Student t distribution
    Statistics & Probability Letters, 2017, 128, (C), 77-83 View citations (3)

2015

21. Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors
    JRFM, 2015, 8, (2), 1-29 View citations (5)
    See also Working Paper Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors, Papers (2014) View citations (4) (2014)
22. Multiple seasonal cycles forecasting model: the Italian electricity demand
    Statistical Methods & Applications, 2015, 24, (4), 671-695 View citations (5)

2014

23. Likelihood-based inference for regular functions with fractional polynomial approximations
    Journal of Econometrics, 2014, 183, (1), 22-30 View citations (2)

2013

24. A dynamic hurdle model for zeroinflated panel count data
    Applied Economics Letters, 2013, 20, (9), 837-841 View citations (2)

2012

25. Skew mixture models for loss distributions: A Bayesian approach
    Insurance: Mathematics and Economics, 2012, 51, (3), 617-623 View citations (24)
    See also Working Paper Skew mixture models for loss distributions: a Bayesian approach, MPRA Paper (2012) View citations (25) (2012)

2011

26. How individual characteristics affect university students drop-out: a semiparametric mixed-effects model for an Italian case study
    Journal of Applied Statistics, 2011, 38, (10), 2225-2239 View citations (10)

1998

27. Prior Density-Ratio Class Robustness in Econometrics
    Journal of Business & Economic Statistics, 1998, 16, (4), 469-78 View citations (2)
    See also Working Paper Prior density ratio class robustness in econometrics, Working Papers (1995) (1995)

Chapters

2021

1. Conditional Quantile Estimation for Linear ARCH Models with MIDAS Components
   Springer
2. Forecasting Multiple VaR and ES Using a Dynamic Joint Quantile Regression with an Application to Portfolio Optimization
   Springer
3. Quantile Regression Neural Network for Quantile Claim Amount Estimation
   Springer View citations (1)