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Details about Luca Trapin

E-mail:
Homepage:https://sites.google.com/site/lucatrapin/home?authuser=0
Workplace:Dipartimento di Politica Economica (Department of Economic Policy), Dipartimenti e Istituti di Scienze Economiche (Departments and Institutes of Economics), Università Cattolica del Sacro Cuore (Catholic University of the Sacred Heart), (more information at EDIRC)

Access statistics for papers by Luca Trapin.

Last updated 2019-03-26. Update your information in the RePEc Author Service.

Short-id: ptr380


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Working Papers

2018

  1. Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
    DEM Working Papers, Department of Economics and Management Downloads View citations (1)

2016

  1. An extreme value analysis of the last century crises across industries in the U.S. economy
    Working Papers, IMT Institute for Advanced Studies Lucca Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2017)

2014

  1. Cluster analysis of weighted bipartite networks: a new copula-based approach
    Working Papers, IMT Institute for Advanced Studies Lucca Downloads

Journal Articles

2018

  1. Can Volatility Models Explain Extreme Events?
    Journal of Financial Econometrics, 2018, 16, (2), 297-315 Downloads View citations (1)
  2. Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review
    Risks, 2018, 6, (2), 1-16 Downloads View citations (1)
  3. Measuring the propagation of financial distress with Granger-causality tail risk networks
    Journal of Financial Stability, 2018, 38, (C), 18-36 Downloads View citations (2)
  4. Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements
    Journal of Applied Econometrics, 2018, 33, (3), 398-415 Downloads View citations (2)

2017

  1. An extreme value analysis of the last century crises across industries in the U.S. economy
    Journal of Economic Dynamics and Control, 2017, 81, (C), 65-78 Downloads
    See also Working Paper (2016)

2016

  1. Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective
    Journal of Empirical Finance, 2016, 36, (C), 86-99 Downloads View citations (3)
  2. US stock returns: are there seasons of excesses?
    Quantitative Finance, 2016, 16, (9), 1453-1464 Downloads View citations (1)
 
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