Details about Luca Trapin
Access statistics for papers by Luca Trapin.
Last updated 2023-03-11. Update your information in the RePEc Author Service.
Short-id: ptr380
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Working Papers
2018
- Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
DEM Working Papers, Department of Economics and Management View citations (1)
2016
- An extreme value analysis of the last century crises across industries in the U.S. economy
Working Papers, IMT School for Advanced Studies Lucca 
See also Journal Article An extreme value analysis of the last century crises across industries in the U.S. economy, Journal of Economic Dynamics and Control, Elsevier (2017) (2017)
2014
- Cluster analysis of weighted bipartite networks: a new copula-based approach
Working Papers, IMT School for Advanced Studies Lucca View citations (2)
Journal Articles
2018
- Can Volatility Models Explain Extreme Events?
Journal of Financial Econometrics, 2018, 16, (2), 297-315 View citations (10)
- Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review
Risks, 2018, 6, (2), 1-16 View citations (3)
- Measuring the propagation of financial distress with Granger-causality tail risk networks
Journal of Financial Stability, 2018, 38, (C), 18-36 View citations (43)
- 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 View citations (5)
2017
- 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 
See also Working Paper An extreme value analysis of the last century crises across industries in the U.S. economy, Working Papers (2016) (2016)
2016
- Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective
Journal of Empirical Finance, 2016, 36, (C), 86-99 View citations (21)
- US stock returns: are there seasons of excesses?
Quantitative Finance, 2016, 16, (9), 1453-1464 View citations (3)
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