7
H index
3
i10 index
136
Citations
Lea Petrella : Citation Profile
"Sapienza" Università di Roma | RESEARCH PRODUCTION: 27 Articles 13 Papers 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1995 - 2024). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Lea Petrella. | Is cited by:
| Cites to:
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Main data
Where Lea Petrella has published?
| Journals with more than one article published | # docs |
|---|---|
| Computational Statistics & Data Analysis | 3 |
| Statistical Methods & Applications | 2 |
| Risks | 2 |
| Insurance: Mathematics and Economics | 2 |
| Journal of Applied Statistics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 10 |
Recent works citing Lea Petrella (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Combined Forecasts of Intermittent Demand for Stock-keeping Units (SKUs). (2023). Utma, Gizem Halil ; Ikiz, Aysun Kapucugil. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:1-31. Full description at Econpapers || Download paper |
| 2023 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper |
| 2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper |
| 2023 | Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030. Full description at Econpapers || Download paper |
| 2023 | Tail risk of coal futures in Chinas market. (2023). Wan, Qing ; Wang, Minglu ; Shen, ZE. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2827-2845. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797. Full description at Econpapers || Download paper |
| 2023 | Is there commodity connectedness across investment horizons? Evidence using news-based uncertainty indices. (2023). Maitra, Debasish ; Jain, Prachi. In: Economics Letters. RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000502. Full description at Econpapers || Download paper |
| 2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper |
| 2023 | Oil price and the automobile industry: Dynamic connectedness and portfolio implications with downside risk. (2023). Kang, Sang Hoon ; Maitra, Debasish ; Jain, Prachi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s014098832300035x. Full description at Econpapers || Download paper |
| 2023 | Evaluation of Cost-at-Risk related to the procurement of resources in the ancillary services market. The case of the Italian electricity market. (2023). Quaglia, Federico ; Grossi, Luigi ; Lisi, Francesco. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001238. Full description at Econpapers || Download paper |
| 2023 | The COVID-19 risk in the cross-section of equity options. (2023). Ruan, Xinfeng ; Jitsawatpaiboon, Kanokrak. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000582. Full description at Econpapers || Download paper |
| 2023 | Forecasting electricity prices with expert, linear, and nonlinear models. (2023). Ravazzolo, Francesco ; del Grosso, Filippo ; Gianfreda, Angelica ; Bille, Anna Gloria. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:570-586. Full description at Econpapers || Download paper |
| 2023 | Modelling Systemic Risk in Morocco’s Banking System. (2023). Madkour, Jaouad ; el Msiyah, Cherif ; Kyoud, Ayoub. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:2:p:70-:d:1151988. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Formulating MCoVaR to Quantify Joint Transmissions of Systemic Risk across Crypto and Non-Crypto Markets: A Multivariate Copula Approach. (2023). Syuhada, Khreshna ; Hakim, Arief. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:2:p:35-:d:1061060. Full description at Econpapers || Download paper |
| 2023 | The Dropout of First-Year STEM Students: Is It Worth Looking beyond Academic Achievement?. (2023). Almeida, Leandro S ; Bernardo, Ana B ; Castro-Lopez, Adrian ; Casanova, Joana R. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:2:p:1253-:d:1030124. Full description at Econpapers || Download paper |
| 2023 | Hidden semi-Markov models for rainfall-related insurance claims. (2023). Punzo, Antonio ; Shi, Yue ; Maruotti, Antonello ; Otneim, Hkon. In: Discussion Papers. RePEc:hhs:nhhfms:2023_017. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | The impact of the first wave of COVID-19 on students’ attainment, analysed by IRT modelling method. (2023). Horvath, Zoltan ; Olah, Attila ; Karasz, Judit T ; Takacs, Szabolcs. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01613-1. Full description at Econpapers || Download paper |
| 2023 | The Zero-Inflated Negative Binomial Semiparametric Regression Model: Application to Number of Failing Grades Data. (2023). , Joo ; Souza, Dalton ; Santos, Denize P ; Araujo, Elton G. In: Annals of Data Science. RePEc:spr:aodasc:v:10:y:2023:i:4:d:10.1007_s40745-021-00350-z. Full description at Econpapers || Download paper |
| 2023 | Time-varying higher moments in Bitcoin. (2023). Laurini, Marcio Poletti ; Vieira, Leonardo Ieracitano. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-022-00072-8. Full description at Econpapers || Download paper |
| 2023 | Less disagreement, better forecasts: Adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1332-1372. Full description at Econpapers || Download paper |
Works by Lea Petrella:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | Bayesian inference for CoVaR In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2014 | Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2015 | Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors.(2015) In: JRFM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2014 | Are news important to predict large losses? In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2018 | Large deviations for risk measures in finite mixture models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Large deviations for risk measures in finite mixture models.(2018) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2019 | Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution.(2021) In: Statistical Methods & Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2023 | Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2022 | Inter-order relations between moments of a Student $t$ distribution, with an application to $L_p$-quantiles In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Expectile hidden Markov regression models for analyzing cryptocurrency returns In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Prior Density-Ratio Class Robustness in Econometrics. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 2 |
| 1995 | Prior density ratio class robustness in econometrics.(1995) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2022 | Quantile mixed hidden Markov models for multivariate longitudinal data: An application to childrens Strengths and Difficulties Questionnaire scores In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 0 |
| 2018 | The sparse method of simulated quantiles: An application to portfolio optimization In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 0 |
| 2018 | Bayesian quantile regression using the skew exponential power distribution In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
| 2021 | Hidden semi-Markov-switching quantile regression for time series In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 0 |
| 2022 | Marginal M-quantile regression for multivariate dependent data In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
| 2014 | Likelihood-based inference for regular functions with fractional polynomial approximations In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2017 | Multiple risk measures for multivariate dynamic heavy–tailed models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 9 |
| 2018 | Selection of Value at Risk Models for Energy Commodities In: Energy Economics. [Full Text][Citation analysis] | article | 24 |
| 2012 | Skew mixture models for loss distributions: A Bayesian approach In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 18 |
| 2012 | Skew mixture models for loss distributions: a Bayesian approach.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2021 | Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
| 2019 | Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 7 |
| 2018 | Spare parts management for irregular demand items In: Omega. [Full Text][Citation analysis] | article | 13 |
| 2017 | On the Lp-quantiles for the Student t distribution In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2021 | Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach In: Risks. [Full Text][Citation analysis] | article | 1 |
| 2021 | Option Pricing, Zero Lower Bound, and COVID-19 In: Risks. [Full Text][Citation analysis] | article | 1 |
| 2020 | Sectoral Decomposition of CO2 World Emissions: A Joint Quantile Regression Approach In: International Review of Environmental and Resource Economics. [Full Text][Citation analysis] | article | 0 |
| 2016 | MULTIVARIATE METHOD OF SIMULATED QUANTILES In: Departmental Working Papers of Economics - University 'Roma Tre'. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Cross-Country Assessment of Systemic Risk in the European Stock Market: Evidence from a CoVaR Analysis In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. [Full Text][Citation analysis] | article | 3 |
| 2021 | Conditional Quantile Estimation for Linear ARCH Models with MIDAS Components In: Springer Books. [Citation analysis] | chapter | 0 |
| 2021 | Quantile Regression Neural Network for Quantile Claim Amount Estimation In: Springer Books. [Citation analysis] | chapter | 0 |
| 2021 | Forecasting Multiple VaR and ES Using a Dynamic Joint Quantile Regression with an Application to Portfolio Optimization In: Springer Books. [Citation analysis] | chapter | 0 |
| 2015 | Multiple seasonal cycles forecasting model: the Italian electricity demand In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 5 |
| 2013 | A dynamic hurdle model for zeroinflated panel count data In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2017 | Are news important to predict the Value-at-Risk? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 4 |
| 2011 | How individual characteristics affect university students drop-out: a semiparametric mixed-effects model for an Italian case study In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 9 |
| 2017 | Bayesian binary quantile regression for the analysis of Bachelor-to-Master transition In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 4 |
| 2020 | Large deviations for method-of-quantiles estimators of one-dimensional parameters In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team