Lea Petrella : Citation Profile

Are you Lea Petrella?

"Sapienza" Università di Roma

8

H index

5

i10 index

160

Citations

RESEARCH PRODUCTION:

27

Articles

13

Papers

3

Chapters

RESEARCH ACTIVITY:

   29 years (1995 - 2024). See details.
   Cites by year: 5
   Journals where Lea Petrella has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 20 (11.11 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe1060
   Updated: 2024-12-03    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)

Gianfreda, Angelica (3)

Otneim, Håkon (3)

Maruotti, Antonello (3)

Tiwari, Aviral (3)

Loperfido, Nicola (3)

Lin, Boqiang (2)

Caporin, Massimiliano (2)

Cites to:

Engle, Robert (24)

Bernardi, Mauro (16)

Manganelli, Simone (16)

Bassett, Gilbert (14)

Maruotti, Antonello (11)

Bulla, Jan (10)

Powell, James (9)

Paindaveine, Davy (9)

Farcomeni, Alessio (9)

Jagannathan, Ravi (8)

Kim, Tae-Hwan (8)

Main data

Where Lea Petrella has published?

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

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

Recent works citing Lea Petrella (2024 and 2023)

YearTitle of citing document
2023Combined 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.

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2024A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Tail 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.

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2023Tail 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.

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2024.

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2023Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP. (2023). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s016518892300163x.

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2023Price 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.

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2023Is 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.

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2024A simulation-based method for estimating systemic risk measures. (2024). Chen, Pengzhan ; Zhou, YI ; Ye, Wuyi ; 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 ; Kouki, Chaaben ; Babai, Zied M. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:2:p:647-664.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2023Oil 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.

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2023Evaluation 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.

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2024Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. 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 ; Enilov, Martin ; Zhou, Xiaoran. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001762.

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

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2023The 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.

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2023Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures. (2023). Haugom, Erik ; Hadina, Jelena ; Ewald, Christian ; Yahya, Muhammad ; Stordal, Stle ; Lien, Gudbrand. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300288x.

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

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2023Forecasting 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.

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2023Estimation of value at risk for copper. (2023). Papathanasiou, Spyros ; Konstantatos, Christoforos ; Gkillas, Konstantinos ; Wohar, Mark. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000417.

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2024A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets. (2024). Rodríguez, Gabriel ; Rodriguez, Gabriel ; Manner, Hans ; 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 ; Cipollini, F ; Candila, V. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768.

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2023Modelling 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.

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2023.

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2023Formulating 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.

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2023The 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.

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2023Hidden 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.

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2023.

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2023The 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.

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2024Applying Q-methodology to investigate computer science teachers’ preferences about students’ skills and knowledge for obtaining a degree. (2024). Karasz, Judit T ; Takacs, Szabolcs ; Horvath, Zoltan ; 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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2023The 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.

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2023Time-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.

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2023Less 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.

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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]		paper6
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: 6		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]		paper1
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: 1		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]		paper1
2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation In: Papers.
[Full Text][Citation analysis]		paper8
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]		article1
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]		article10
2018Selection of Value at Risk Models for Energy Commodities In: Energy Economics.
[Full Text][Citation analysis]		article28
2012Skew mixture models for loss distributions: A Bayesian approach In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article20
2012Skew mixture models for loss distributions: a Bayesian approach.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		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]		article8
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]		article8
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]		article5
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]		article4
2020Large deviations for method-of-quantiles estimators of one-dimensional parameters In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team