Details about Maria Grazia Zoia

Access statistics for papers by Maria Grazia Zoia.

Last updated 2024-03-20. Update your information in the RePEc Author Service.

Short-id: pzo88

Working Papers

2022

1. Bootstrap Cointegration Tests in ARDL Models
   Papers, arXiv.org View citations (6)
   See also Journal Article Bootstrap cointegration tests in ARDL models, Economic Modelling, Elsevier (2022) View citations (6) (2022)
2. Forecasting Domestic Tourism across Regional Destinations through MIDAS Regressions
   Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin
3. Kurtosis-Based Risk Parity: Methodology and Portfolio Effects
   Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin
   See also Journal Article Kurtosis-based risk parity: methodology and portfolio effects, Quantitative Finance, Taylor & Francis Journals (2023) View citations (3) (2023)

2021

4. A Novel Multi-Period and Multilateral Price Index
   Papers, arXiv.org
5. Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem
   Papers, arXiv.org
6. Modeling Portfolios with Leptokurtic and Dependent Risk Factors
   Papers, arXiv.org View citations (2)

2020

7. An econometric analysis of the Italian cultural supply
   Papers, arXiv.org

2019

8. A new proposal for the construction of a multi-period/multilateral price index
   DISCE - Working Papers del Dipartimento di Politica Economica, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE) View citations (3)

Journal Articles

2023

1. A new price index for multi-period and multilateral comparisons
   AStA Advances in Statistical Analysis, 2023, 107, (4), 621-640
2. Kurtosis-based risk parity: methodology and portfolio effects
   Quantitative Finance, 2023, 23, (3), 453-469 View citations (3)
   See also Working Paper Kurtosis-Based Risk Parity: Methodology and Portfolio Effects, Department of Economics and Statistics Cognetti de Martiis. Working Papers (2022) (2022)
3. Kurtosis-based vs volatility-based asset allocation strategies: Do they share the same properties? A first empirical investigation
   Finance Research Letters, 2023, 54, (C)

2022

4. A three-step procedure to investigate the convergence of electricity and natural gas prices in the European Union
   Energy Economics, 2022, 105, (C) View citations (5)
5. Bootstrap cointegration tests in ARDL models
   Economic Modelling, 2022, 116, (C) View citations (6)
   See also Working Paper Bootstrap Cointegration Tests in ARDL Models, Papers (2022) View citations (6) (2022)
6. EU electricity market integration and cross-country convergence in residential and industrial end-user prices
   Energy Policy, 2022, 165, (C) View citations (4)
7. Forecasting in GARCH models with polynomially modified innovations
   International Journal of Forecasting, 2022, 38, (1), 117-141 View citations (3)
8. Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns
   Communications in Statistics - Theory and Methods, 2022, 51, (2), 486-500 View citations (1)

2021

9. A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
   The North American Journal of Economics and Finance, 2021, 58, (C) View citations (3)

2020

10. Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions
    Risks, 2020, 8, (4), 1-21

2019

11. An insight into the Italian economy from an analysis based on the industrial production index in both frequency and time domains
    Metroeconomica, 2019, 70, (4), 688-710
12. Kurtosis analysis in GARCH models with Gram–Charlier-like innovations
    Economics Letters, 2019, 183, (C), - View citations (2)

2018

13. Gram–Charlier-like expansions of power-raised hyperbolic secant laws
    Statistics & Probability Letters, 2018, 137, (C), 229-234 View citations (1)
14. The determinants of Italian firms’ technological competencies and capabilities
    Eurasian Business Review, 2018, 8, (4), 453-476 View citations (4)
15. Value at risk and expected shortfall based on Gram-Charlier-like expansions
    Journal of Banking & Finance, 2018, 93, (C), 92-104 View citations (13)

2016

16. Orthogonal polynomials for tailoring density functions to excess kurtosis, asymmetry, and dependence
    Communications in Statistics - Theory and Methods, 2016, 45, (1), 49-62 View citations (3)

2015

17. The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
    Statistical Papers, 2015, 56, (4), 1205-1234 View citations (9)

2013

18. Band-limited component estimation in time-limited economic series
    Journal of Applied Statistics, 2013, 40, (9), 2009-2023

2009

19. Classical versus VAR econometrics: the Janus head effect in economic dynamic modelling
    Rivista Internazionale di Scienze Sociali, 2009, 117, (1), 113-124

2006

20. New insights into best linear unbiased estimation and the optimality of least-squares
    Journal of Multivariate Analysis, 2006, 97, (3), 575-585

2002

21. ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS
    Econometric Theory, 2002, 18, (2), 525-530 View citations (2)

Books

2006

1. Topics in Dynamic Model Analysis
   Lecture Notes in Economics and Mathematical Systems, Springer View citations (1)

Edited books

2009

1. Dynamic Model Analysis
   Springer Books, Springer View citations (2)