Petrella Lea

(2023) Unifiend unconditional regression for multivariate quantiles, M-quantiles and expectiles (with L. Merlo, N. Salvati, N. Tzavidis) forthcoming Journal of the American Statistical Society
(2023) M-quantile regression shrinkage and selection via the Lasso and Elastic Net to asses the effect of meteorology and traffic on air quality (with F. Pantalone, G. Ranalli and N. Salvati) forthcoming Biometrical Journal
(2023) Mixed-frequency quantile regression to forecast Value at Risk and Expected Shortfall (with V. Candila and G. Gallo) forthcoming Annals of Operational Research
(2023) Neural Network for quantile claim ammount estimation: a quantile regression approach (with A. Laporta and S. Levantesi) forthcoming Annals of Actuarial Science
(2023) Expectile hidden Markov regression models for analyzing cryptocurrency returns (with B. Foroni and L. Merlo) under revision Statistics and Computing
(2023) A Neural network approach to price correleted health risks (with A. Laporta and S. Levantesi) submitted Annals of Operational Research
(2023) Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market(with B. Foroni and L. Merlo) submitted Canadian Journal of Statistics
(2023) Inter-order relations between equivalence for Lp-quantiles of a Student t distribution (with V. Bignozzi and L. Merlo) submitted to Insurance Mathematics and Economics
(2023) Estimating causal quantile exposure response functions via matching (with L. Merlo, F. Dominci, N. Salvati, X. Wu) submitted to Journal of the American Statistical Society
(2023) Quantile mixed graphical models with an application to mass public shooting in USA (with L. Merlo, M. Geraci) submitted to Annals of Applied Statistics
(2022) Marginal M-quantile regression for multivariate dependent data (with L. Merlo, N. Salvati, N. Tzavidis) on line version, Computational Statistics and Data Analysis
(2022) Inter-order relations between moments of a Student t distribution with application to Lp quantiles (with V. Bignozzi and L. Merlo) submitted to Statistics and Probability Letters
(2022) Quantile Hidden Semi-Markov models for multivariate time series (with L.Merlo, A. Maruotti, A. Punzo) on line versione Statistics and Computing
(2022) The Network of Commodity Risk (with B. Foroni, G. Morelli) on line version Energy System
(2022) Sparse simulation-based estimation built on quantiles (with. P. Stolfi, M. Bernardi) on line version Econometrics and Statistics
(2022) Quantile Mixed Hidden Markov Models for multivariate longitudinal data: an appllication to children's strenghts and difficulties questionannaire scores. (with L. Merlo and N. Tzavidis) Journal of the Royal Statistical Society Series C, 71, pp.417-448
(2022) Quantile Graphical Lasso: an application to cryptocurrencies, commodities and stock indexes (with B. Foroni and L. Merlo) under revision for Annals of Aplied Statistics
(2021) COVID-19 after lung resection in Northern Italy (with M. Scarci, F. Raveglia, L. Merlo, G. Cardillo et al.) online version 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) online version Journal of Banking and Finance
(2021) Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution (with M. Bottone and M. Bernardi) Statistical Methods and Applications, 30 pp.1079-1107
(2021) Two-part quantile regression models for semi continuous longitudinal data: a finite mixture approach (with L. Merlo and A. Maruotti) online version Statistical Modeling
(2021) Hidden semi-Markov-switching quantile regression for time series (with A. Maruotti and L. Sposito) online version Computational Statistics and Data Analysis
(2021) Option Pricing. Zero Lower Bound and COVID-19 (with G. Morelli) Risks 9 (9), 167
(2021) Nonthyroidal illness syndrome (NTIS) in severe COVID-19 patients: role of T3 on the Na/K pump gene expression and on hydroelectrolytic equilibrium (with S. Sciacchitano et al.) Journal of Translation Medicine, 19 pp.1-18
(2021) Multivariate Analysis of Energy Commodieties during the COVID-19 Pandemic: Evidence for a Mixed Frequency Approach (with M Andreani, G. Morelli, V. Candila) Risks 9(8), 144
(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

Postdoc and Phd students

Maria Saiz
Ismail Yanilmez
Beatrice Foroni
Martin Rossi
Valentina Raponi
Luca Merlo
Alessandro Laporta
Marco Bottone
Valeria Bignozzi
Mauro Bernardi

Scheda Corsi di Laurea:

https://corsidilaurea.uniroma1.it/it/users/leapetrellauniroma1it