Petrella Lea
Professore Ordinario (Full Professor)
SECS-S/01 - STATISTICA (STATISTICS)
E-mail:
Tel. (+39):
0649766972
Fax (+39):
064957606
Stanza (Room):
424 - 4° piano (424 - 4th floor)
Curriculum Vitae:
Link:
Informazioni Personali:
Research Interests
- Quantile regression
- Risk measures and models
- Time Series analysis
Recent most important publications
- (2021) COVID-19 after lung resection in Northern Italy (with M. Scarci, F. Raveglia, L. Merlo, G. Cardillo et al.) forthcoming Seminars in Thoracic and Cardiovascular Surgery
- (2021) Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation (with L. Merlo and V. Raponi) forthcoming Journal of Banking and Finance
- (2021) Marginal M-quantile regression for multivariate dependent data (with L. Merlo, N. Salvati, N. Tzavidis) submitted
- (2021) M-quantile regression shrinkage and selection via the Lasso and Elastic Net to assess the effect of meteorology and traffic on air quality (with M.G. Ranalli, N. Salvati, F. Pantalone) submitted
- (2021) Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution (with M. Bottone and M. Bernardi) forthcoming Statistical Methods and Applications
- (2021) Two-part quantile regression models for semi continuous longitudinal data: a finite mixture approach (with L. Merlo and A. Maruotti) forthcoming Statistical Modeling
- (2021) Hidden semi-Markov-switching quantile regression for time series (with A. Maruotti and L. Sposito) forthcoming Computational Statistics and Data Analysis
- (2021) Quantile Mixed Hidden Markov Models for multivariate longitudinal data (with L. Merlo and N. Tzavidis) submitted to JRSS series C
- (2021) Using mixed-frequency and realized measures in quantile regression (with V. Candila and G. Gallo) submitted
- (2020) 3D Reconstruction Model of an Extra-Abdominal Desmoid Tumor: a Case Study (with F. Marinozzi, F. Carleo, S. Novelli, M. Di Martino, G. Cardillo, F. Bini) Frontiers in Bioengineering and Biotechnology vol.8 1-5
- (2020) Sectorial Decomposition of CO2 world emission (with Luca Merlo and Valentina Raponi) International Review of Enviromental and Resource Economics pp. 197-238
- (2020) Dynamica Model Averaging for Bayesian Quantile Regression (with M. Bernardi, R. Casarin, B. Millet) submitted to Annals of Operational Research arXiv:1602.00856
- (2020) Large deviations for method of quantile estimators of one dimensional parameters, (with V. Bignozzi and C. Macci) Communications in Statistics- Theory and Methods pp.1132-1157
- (2019) Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress (with V. Raponi) Journal of Multivariate Analysis 173, 70-84
- (2018) Conditional risk based on multivariate hazard scenario (with M Bernardi, F. Durante, P. Jawroski, G. Salvatori) Stochastic Enviromental Research and Risk Assessment 32, 203-211
- (2018) Cross-Country assessment of systemic risk in the european stock market: evidence from CoVaR analysis (with A.Laporta, L. Merlo) Social Indicator Research 146, 169-186
- (2018) Selection of Value at Risk Models for Energy Commodities (with A. Laporta and L. Merlo) Energy Economics 74, 628-643
- (2018) Large deviation for risk measures in finite mixture models (with V. Bignozzi and C. Macci). Insurance Mathematics and Economics 80, 84-92
- (2018) The sparse method of simulated quantiles: an application to portfolio optimisation (with M. Bernardi and P. Stolfi) Statistica Neerlandica 72, 375-398
- (2018) Bayesian Quantile Regresion using the Skew Exponential Power Distribution (with M. Bottone and M Bernardi) Computational Statistics & Data Analysis 126, 92-111
- (2017) Sparse parts management for irregular demand items (with F. Costantino, G. Di Gravio, R. Patriarca) Omega 81, 57-66
- (2017) Multiple Risk Measures for Multivariate Dynamic Heavy Tailed Models (with M. Bernardi and A. Maruotti) Journal of Empirical Finance 43 1-32
- (2017) On the Lp quantiles for the Student t distribution (with V. Bignozzi and M. Bernardi) Statistics and Probability Letters 128 77-83
- (2017) Are news important to predict Value at Risk (with M. Bernardi and L. Catania) European Journal of Finance 23 535-572
- (2017) Bayesian binary quantile regression for the analysis of the Bachelor-Master transition (with C. Mollica) Journal of Applied Statistics 44, 2791-2812
- (2016) Multivariate Methods of simulated quantiles (with M.Bernardi and P. Stolfi) downloadable www.dipeco.uniroma3.it/dbdocs/WP%20212.pdf
- (2016) A multivariate copula-based framework for dealing with hazard scenarios and failure probabilities (G. Salvatori, F. Durante, C. De Michele, M. Bernardi) Water Resources Research 52, 3285-4205
- (2016) The challenge of treating early rheumatoid arthritis. The contribution of mixed treatment comparison to choose the appropriate biologic agents (with A. Migliore, E. Bizzi et al). BioDrugs 30, 105-115
- (2015) Bayesian tail risk interedependence using quantile regression (with M. Bernardi and G. Gayraud) Bayesian Analysis 10 553-603
- (2015) Interconnected risk contributions: a heavy tail approach to analyze U.S. financial sectors (with M. Bernardi) Journal of Risk and Financial Management 8, 198-226
- (2015) Multiple seasonal cycles forecasting model: the Italian electricity demand (with M. Bernardi) Statistical Methods & Applications 24, 671-695
- (2014) Likelihood based inference for regular functions with functional polynomial approximations (with J. Geweke) Journal of Econometrics 183, 22-30
Postdoc and Phd students
- Ismail Yanilmez
- Beatrice Foroni
- Martin Rossi
- Valentina Raponi
- Luca Merlo
- Alessandro Laporta
- Marco Bottone
- Valeria Bignozzi
- Mauro Bernardi
Scheda Corsi di Laurea: