Lea Petrella
Names
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Lea |
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Petrella |
Identifer
Contact
Affiliations
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"Sapienza" Università di Roma
/ Facoltà di Economia
/ Dipartimento di Metodi e modelli per l'economia, il territorio e la finanza (MEMOTEF)
Research profile
author of:
- Bayesian inference for CoVaR (RePEc:arx:papers:1306.2834)
by Mauro Bernardi & Ghislaine Gayraud & Lea Petrella - Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors (RePEc:arx:papers:1401.6408)
by M. Bernardi & L. Petrella - Are news important to predict large losses? (RePEc:arx:papers:1410.6898)
by Mauro Bernardi & Leopoldo Catania & Lea Petrella - Large deviations for risk measures in finite mixture models (RePEc:arx:papers:1710.03252)
by Valeria Bignozzi & Claudio Macci & Lea Petrella - Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution (RePEc:arx:papers:1902.03982)
by Marco Bottone & Mauro Bernardi & Lea Petrella - Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall (RePEc:arx:papers:2011.00552)
by Vincenzo Candila & Giampiero M. Gallo & Lea Petrella - Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation (RePEc:arx:papers:2106.06518)
by Luca Merlo & Lea Petrella & Valentina Raponi - Inter-order relations between moments of a Student $t$ distribution, with an application to $L_p$-quantiles (RePEc:arx:papers:2209.12855)
by Valeria Bignozzi & Luca Merlo & Lea Petrella - Expectile hidden Markov regression models for analyzing cryptocurrency returns (RePEc:arx:papers:2301.09722)
by Beatrice Foroni & Luca Merlo & Lea Petrella - Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market (RePEc:arx:papers:2307.06400)
by Beatrice Foroni & Luca Merlo & Lea Petrella - Prior Density-Ratio Class Robustness in Econometrics (RePEc:bes:jnlbes:v:16:y:1998:i:4:p:469-78)
by Geweke, John & Petrella, Lea - Quantile mixed hidden Markov models for multivariate longitudinal data: An application to children's Strengths and Difficulties Questionnaire scores (RePEc:bla:jorssc:v:71:y:2022:i:2:p:417-448)
by Luca Merlo & Lea Petrella & Nikos Tzavidis - The sparse method of simulated quantiles: An application to portfolio optimization (RePEc:bla:stanee:v:72:y:2018:i:3:p:375-398)
by Paola Stolfi & Mauro Bernardi & Lea Petrella - Bayesian quantile regression using the skew exponential power distribution (RePEc:eee:csdana:v:126:y:2018:i:c:p:92-111)
by Bernardi, Mauro & Bottone, Marco & Petrella, Lea - Hidden semi-Markov-switching quantile regression for time series (RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000426)
by Maruotti, Antonello & Petrella, Lea & Sposito, Luca - Marginal M-quantile regression for multivariate dependent data (RePEc:eee:csdana:v:173:y:2022:i:c:s0167947322000809)
by Merlo, Luca & Petrella, Lea & Salvati, Nicola & Tzavidis, Nikos - Likelihood-based inference for regular functions with fractional polynomial approximations (RePEc:eee:econom:v:183:y:2014:i:1:p:22-30)
by Geweke, John & Petrella, Lea - Multiple risk measures for multivariate dynamic heavy–tailed models (RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32)
by Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea - Selection of Value at Risk Models for Energy Commodities (RePEc:eee:eneeco:v:74:y:2018:i:c:p:628-643)
by Laporta, Alessandro G. & Merlo, Luca & Petrella, Lea - Skew mixture models for loss distributions: A Bayesian approach (RePEc:eee:insuma:v:51:y:2012:i:3:p:617-623)
by Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea - Large deviations for risk measures in finite mixture models (RePEc:eee:insuma:v:80:y:2018:i:c:p:84-92)
by Bignozzi, Valeria & Macci, Claudio & Petrella, Lea - Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation (RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002077)
by Merlo, Luca & Petrella, Lea & Raponi, Valentina - Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress (RePEc:eee:jmvana:v:173:y:2019:i:c:p:70-84)
by Petrella, Lea & Raponi, Valentina - Spare parts management for irregular demand items (RePEc:eee:jomega:v:81:y:2018:i:c:p:57-66)
by Costantino, Francesco & Di Gravio, Giulio & Patriarca, Riccardo & Petrella, Lea - On the Lp-quantiles for the Student t distribution (RePEc:eee:stapro:v:128:y:2017:i:c:p:77-83)
by Bernardi, Mauro & Bignozzi, Valeria & Petrella, Lea - Prior density ratio class robustness in econometrics (RePEc:fip:fedmwp:553)
by John Geweke & Lea Petrella - Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors (RePEc:gam:jjrfmx:v:8:y:2015:i:2:p:198-226:d:47812)
by Mauro Bernardi & Lea Petrella - Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach (RePEc:gam:jrisks:v:9:y:2021:i:8:p:144-:d:612252)
by Mila Andreani & Vincenzo Candila & Giacomo Morelli & Lea Petrella - Option Pricing, Zero Lower Bound, and COVID-19 (RePEc:gam:jrisks:v:9:y:2021:i:9:p:167-:d:634045)
by Giacomo Morelli & Lea Petrella - Sectoral Decomposition of CO2 World Emissions: A Joint Quantile Regression Approach (RePEc:now:jirere:101.00000116)
by Merlo, Luca & Petrella, Lea & Raponi, Valentina - Skew mixture models for loss distributions: a Bayesian approach (RePEc:pra:mprapa:39826)
by Bernardi, Mauro & Maruotti, Antonello & Lea, Petrella - Multivariate Method Of Simulated Quantiles (RePEc:rtr:wpaper:0212)
by Paola Stolfi & Mauro Bernardi & Lea Petrella - Cross-Country Assessment of Systemic Risk in the European Stock Market: Evidence from a CoVaR Analysis (RePEc:spr:soinre:v:146:y:2019:i:1:d:10.1007_s11205-018-1881-8)
by Lea Petrella & Alessandro G. Laporta & Luca Merlo - Conditional Quantile Estimation for Linear ARCH Models with MIDAS Components (RePEc:spr:sprchp:978-3-030-78965-7_17)
by Vincenzo Candila & Lea Petrella - Quantile Regression Neural Network for Quantile Claim Amount Estimation (RePEc:spr:sprchp:978-3-030-78965-7_44)
by Alessandro G. Laporta & Susanna Levantesi & Lea Petrella - Forecasting Multiple VaR and ES Using a Dynamic Joint Quantile Regression with an Application to Portfolio Optimization (RePEc:spr:sprchp:978-3-030-78965-7_51)
by Merlo Luca & Petrella Lea & Raponi Valentina - Multiple seasonal cycles forecasting model: the Italian electricity demand (RePEc:spr:stmapp:v:24:y:2015:i:4:p:671-695)
by Mauro Bernardi & Lea Petrella - Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution (RePEc:spr:stmapp:v:30:y:2021:i:3:d:10.1007_s10260-020-00550-6)
by Marco Bottone & Lea Petrella & Mauro Bernardi - A dynamic hurdle model for zeroinflated panel count data (RePEc:taf:apeclt:v:20:y:2013:i:9:p:837-841)
by Filippo Belloc & Mauro Bernardi & Antonello Maruotti & Lea Petrella - Are news important to predict the Value-at-Risk? (RePEc:taf:eurjfi:v:23:y:2017:i:6:p:535-572)
by Mauro Bernardi & Leopoldo Catania & Lea Petrella - How individual characteristics affect university students drop-out: a semiparametric mixed-effects model for an Italian case study (RePEc:taf:japsta:v:38:y:2011:i:10:p:2225-2239)
by F. Belloc & A. Maruotti & L. Petrella - Bayesian binary quantile regression for the analysis of Bachelor-to-Master transition (RePEc:taf:japsta:v:44:y:2017:i:15:p:2791-2812)
by Cristina Mollica & Lea Petrella - Large deviations for method-of-quantiles estimators of one-dimensional parameters (RePEc:taf:lstaxx:v:49:y:2020:i:5:p:1132-1157)
by Valeria Bignozzi & Claudio Macci & Lea Petrella