Lea Petrella : Citation Profile

"Sapienza" Università di Roma

8

H index

7

i10 index

182

Citations

RESEARCH PRODUCTION:

27

Articles

13

Papers

3

Chapters

RESEARCH ACTIVITY:

   29 years (1995 - 2024). See details.
   Cites by year: 6
   Journals where Lea Petrella has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 20 (9.9 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe1060
   Updated: 2025-06-14    RAS profile: 2024-01-09    
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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:

Rossini, Luca (11)

Poon, Aubrey (7)

Catania, Leopoldo (6)

Punzo, Antonio (4)

Loperfido, Nicola (4)

Maruotti, Antonello (3)

Gianfreda, Angelica (3)

Otneim, Håkon (3)

Tiwari, Aviral (3)

Mazur, Stepan (3)

Caporin, Massimiliano (2)

Cites to:

Engle, Robert (24)

Manganelli, Simone (16)

Bernardi, Mauro (16)

Bassett, Gilbert (14)

Maruotti, Antonello (11)

Bulla, Jan (10)

Paindaveine, Davy (9)

Farcomeni, Alessio (9)

Powell, James (9)

Kim, Tae-Hwan (8)

Jagannathan, Ravi (8)

Main data

Where Lea Petrella has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis3
Insurance: Mathematics and Economics2
Statistical Methods & Applications2
Risks2
Journal of Applied Statistics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org10

Recent works citing Lea Petrella (2025 and 2024)

YearTitle of citing document
2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2024). Rossini, Luca ; Iacopini, Matteo ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2211.16121.

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2024A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2024Testing for time‐varying nonlinear dependence structures: Regime‐switching and local Gaussian correlation. (2024). Stve, Brd ; Maruotti, Antonello ; Bacri, Timothe ; Gundersen, Kristian ; Hlleland, Sondre ; Bulla, Jan. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:3:p:1012-1060.

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2025Spillover Nexus among Green Cryptocurrency, Sectoral Renewable Energy Equity Stock and Agricultural Commodity: Implications for Portfolio Diversification. (2025). Magdalena, Radulescu ; Parveen, Kumar ; Nicoleta, Dascalu ; Sharif, Mohd ; Rajbeer, Kaur. In: Economics - The Open-Access, Open-Assessment Journal. RePEc:bpj:econoa:v:19:y:2025:i:1:p:26:n:1001.

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2024Edgeworth expansions for multivariate random sums. (2024). Mazur, Stepan ; Loperfido, Nicola ; Javed, Farrukh. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:66-80.

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2024A simulation-based method for estimating systemic risk measures. (2024). Zhou, YI ; Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324.

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2024Performance evaluation of a two-echelon inventory system with network lost sales. (2024). Arts, Joachim ; Babai, Zied M ; Kouki, Chaaben. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:2:p:647-664.

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2024Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Syuhada, Khreshna ; Suprijanto, Djoko ; Hakim, Arief. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594.

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2024Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets. (2024). Parhi, Mamata ; Zhou, Xiaoran ; Enilov, Martin. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001762.

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2024Impact of climate risk on energy market risk spillover: Evidence from dynamic heterogeneous network analysis. (2024). Wang, Yuyouting ; Tian, Sihua ; Li, Shaofang ; Gu, Qinen. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004833.

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2024Nonlinear effects of environmental regulation on PM2.5 and CO2 in China: Evidence from a quantile-on-quantile approach. (2024). , Zenglei ; Deng, Yuanjie ; Cui, Xuehua ; Hou, Mengyang ; Chu, Liqi ; Wang, HE. In: Energy. RePEc:eee:energy:v:292:y:2024:i:c:s0360544224002275.

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2024Unveiling interconnectedness and risk spillover among cryptocurrencies and other asset classes. (2024). Kumar, Dilip ; Narayan, Shivani. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000905.

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2024Inter-order relations between equivalence for Lp-quantiles of the Students t distribution. (2024). Bignozzi, Valeria ; Merlo, Luca ; Petrella, Lea. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:44-50.

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2024A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data. (2024). Li, Zhengxiao ; Zhao, Zhengtang ; Wang, Fei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:45-66.

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2024Bivariate Tail Conditional Co-Expectation for elliptical distributions. (2024). Palestini, Arsen ; Cerqueti, Roy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:251-260.

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2025Hidden semi-Markov models for rainfall-related insurance claims. (2025). Punzo, Antonio ; Shi, Yue ; Maruotti, Antonello ; Otneim, Hkon. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:91-106.

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2025A distribution-free method for reliability improvement based on design of experiments. (2025). Wang, Guodong ; Cheng, Cong ; Sun, Ziyi ; Lv, Shanshan. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:253:y:2025:i:c:s0951832024005489.

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2025Electricity demand uncertainty modeling with Temporal Convolution Neural Network models. (2025). Acharya, Rajendra ; Dinh, Toan ; Deo, Ravinesh C ; Ghimire, Sujan ; Salcedo-Sanz, Sancho ; Casillas-Prez, David. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:209:y:2025:i:c:s1364032124008232.

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2024A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets. (2024). Rodríguez, Gabriel ; Manner, Hans ; Rodriguez, Gabriel ; Stockler, Florian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1385-1403.

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2024Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Candila, V ; Cipollini, F. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768.

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2025The method of moments for multivariate random sums in the Poisson-Skew-Normal case. (2025). Mazur, Stepan ; Javed, Farrukh ; Loperfido, Nicola. In: Statistics & Probability Letters. RePEc:eee:stapro:v:219:y:2025:i:c:s0167715224003079.

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2024CAViaR Model Selection Via Adaptive Lasso. (2024). Cai, Zongwu ; Fang, Ying ; Tian, Dingshi. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202403.

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2025Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model. (2025). Tian, Boping. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10592-7.

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2025Portfolio Optimization During the COVID-19 Epidemic: Based on an Improved QBAS Algorithm and a Dynamic Mixed Frequency Model. (2025). Jiang, Kunliang ; Song, Jiashan ; Luo, Pengfei ; Wei, Siyao. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10621-5.

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2024Applying Q-methodology to investigate computer science teachers’ preferences about students’ skills and knowledge for obtaining a degree. (2024). Horvath, Zoltan ; Takacs, Szabolcs ; Karasz, Judit T ; Olah, Attila. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-02794-z.

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2024Modeling the tail risk of crude oil futures using a quantum approach. (2024). Jeong, Minhyuk ; Ahn, Kwangwon. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-04221-9.

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2025Bayesian joint relatively quantile regression of latent ordinal multivariate linear models with application to multirater agreement analysis. (2025). Wu, Chunho ; Tian, Yuzhu ; Tang, Manlai. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:109:y:2025:i:1:d:10.1007_s10182-024-00509-y.

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2024Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages. (2024). Sibillo, M ; Piscopo, G ; Lorenzo, E. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-023-00491-x.

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2024The power of news data in forecasting tail risk: evidence from China. (2024). Ma, Yong ; Yan, LU ; Pan, Dongtao. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:6:d:10.1007_s00181-024-02620-0.

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2024Impacts of the Covid-19 context on the European Union energy markets: interrelationships with sustainability. (2024). Pereira, Vitor Joo. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:26:y:2024:i:9:d:10.1007_s10668-023-03605-2.

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2024Forecasting VaR and ES by using deep quantile regression, GANs-based scenario generation, and heterogeneous market hypothesis. (2024). Jiang, HE ; Lv, Mengzheng ; Wang, Shuai. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00564-5.

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2025Bayesian composite $$L^p$$ L p -quantile regression. (2025). Arnroth, Lukas. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:88:y:2025:i:1:d:10.1007_s00184-024-00950-8.

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2024Understanding relationships with the Aggregate Zonal Imbalance using copulas. (2024). Ravazzolo, F ; Gatto, A ; Durante, F. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:2:d:10.1007_s10260-023-00736-8.

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2024Tail risk forecasting and its application to margin requirements in the commodity futures market. (2024). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1513-1529.

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2025Forecasting Expected Shortfall and Value‐at‐Risk With Cross‐Sectional Aggregation. (2025). Wang, Yongqiao. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:391-423.

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Works by Lea Petrella:

YearTitleTypeCited
2013Bayesian inference for CoVaR In: Papers.
[Full Text][Citation analysis]		paper6
2014Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors In: Papers.
[Full Text][Citation analysis]		paper7
2015Interconnected 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: 7		article
2014Are news important to predict large losses? In: Papers.
[Full Text][Citation analysis]		paper7
2018Large deviations for risk measures in finite mixture models In: Papers.
[Full Text][Citation analysis]		paper2
2018Large 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: 2		article
2019Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution In: Papers.
[Full Text][Citation analysis]		paper1
2021Unified 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
2023Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall In: Papers.
[Full Text][Citation analysis]		paper2
2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation In: Papers.
[Full Text][Citation analysis]		paper10
2022Inter-order relations between moments of a Student $t$ distribution, with an application to $L_p$-quantiles In: Papers.
[Full Text][Citation analysis]		paper0
2024Expectile hidden Markov regression models for analyzing cryptocurrency returns In: Papers.
[Full Text][Citation analysis]		paper0
2023Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market In: Papers.
[Full Text][Citation analysis]		paper0
1998Prior Density-Ratio Class Robustness in Econometrics. In: Journal of Business & Economic Statistics.
[Citation analysis]		article2
1995Prior density ratio class robustness in econometrics.(1995) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2022Quantile 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]		article0
2018The sparse method of simulated quantiles: An application to portfolio optimization In: Statistica Neerlandica.
[Full Text][Citation analysis]		article0
2018Bayesian quantile regression using the skew exponential power distribution In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article2
2021Hidden semi-Markov-switching quantile regression for time series In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article0
2022Marginal M-quantile regression for multivariate dependent data In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article1
2014Likelihood-based inference for regular functions with fractional polynomial approximations In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2017Multiple risk measures for multivariate dynamic heavy–tailed models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article13
2018Selection of Value at Risk Models for Energy Commodities In: Energy Economics.
[Full Text][Citation analysis]		article34
2012Skew mixture models for loss distributions: A Bayesian approach In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article22
2012Skew mixture models for loss distributions: a Bayesian approach.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2021Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
2019Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article9
2018Spare parts management for irregular demand items In: Omega.
[Full Text][Citation analysis]		article14
2017On the Lp-quantiles for the Student t distribution In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
2021Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach In: Risks.
[Full Text][Citation analysis]		article2
2021Option Pricing, Zero Lower Bound, and COVID-19 In: Risks.
[Full Text][Citation analysis]		article1
2020Sectoral Decomposition of CO2 World Emissions: A Joint Quantile Regression Approach In: International Review of Environmental and Resource Economics.
[Full Text][Citation analysis]		article1
2016MULTIVARIATE METHOD OF SIMULATED QUANTILES In: Departmental Working Papers of Economics - University 'Roma Tre'.
[Full Text][Citation analysis]		paper0
2019Cross-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]		article4
2021Conditional Quantile Estimation for Linear ARCH Models with MIDAS Components In: Springer Books.
[Citation analysis]		chapter0
2021Quantile Regression Neural Network for Quantile Claim Amount Estimation In: Springer Books.
[Citation analysis]		chapter1
2021Forecasting Multiple VaR and ES Using a Dynamic Joint Quantile Regression with an Application to Portfolio Optimization In: Springer Books.
[Citation analysis]		chapter0
2015Multiple seasonal cycles forecasting model: the Italian electricity demand In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article6
2013A dynamic hurdle model for zeroinflated panel count data In: Applied Economics Letters.
[Full Text][Citation analysis]		article1
2017Are news important to predict the Value-at-Risk? In: The European Journal of Finance.
[Full Text][Citation analysis]		article6
2011How 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]		article10
2017Bayesian binary quantile regression for the analysis of Bachelor-to-Master transition In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article5
2020Large deviations for method-of-quantiles estimators of one-dimensional parameters In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]		article0

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