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Lea Petrella

Personal Details

First Name:Lea
Middle Name:
Last Name:Petrella
Suffix:
RePEc Short-ID:ppe1060
[This author has chosen not to make the email address public]
https://web.uniroma1.it/memotef/users/petrella-lea

Affiliation

Dipartimento di Metodi e modelli per l'economia, il territorio e la finanza (MEMOTEF)
Facoltà di Economia
"Sapienza" Università di Roma

Roma, Italy
https://web.uniroma1.it/memotef/
RePEc:edi:dmrosit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Beatrice Foroni & Luca Merlo & Lea Petrella, 2023. "Expectile hidden Markov regression models for analyzing cryptocurrency returns," Papers 2301.09722, arXiv.org, revised Jan 2024.
  2. Beatrice Foroni & Luca Merlo & Lea Petrella, 2023. "Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market," Papers 2307.06400, arXiv.org.
  3. Valeria Bignozzi & Luca Merlo & Lea Petrella, 2022. "Inter-order relations between moments of a Student $t$ distribution, with an application to $L_p$-quantiles," Papers 2209.12855, arXiv.org.
  4. Luca Merlo & Lea Petrella & Valentina Raponi, 2021. "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers 2106.06518, arXiv.org.
  5. Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020. "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers 2011.00552, arXiv.org, revised Mar 2023.
  6. Marco Bottone & Mauro Bernardi & Lea Petrella, 2019. "Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution," Papers 1902.03982, arXiv.org, revised Sep 2019.
  7. Valeria Bignozzi & Claudio Macci & Lea Petrella, 2017. "Large deviations for risk measures in finite mixture models," Papers 1710.03252, arXiv.org, revised Feb 2018.
  8. Paola Stolfi & Mauro Bernardi & Lea Petrella, 2016. "Multivariate Method Of Simulated Quantiles," Departmental Working Papers of Economics - University 'Roma Tre' 0212, Department of Economics - University Roma Tre.
  9. M. Bernardi & L. Petrella, 2014. "Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors," Papers 1401.6408, arXiv.org, revised Apr 2014.
  10. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2014. "Are news important to predict large losses?," Papers 1410.6898, arXiv.org, revised Oct 2014.
  11. Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers 1306.2834, arXiv.org, revised Nov 2013.
  12. Bernardi, Mauro & Maruotti, Antonello & Lea, Petrella, 2012. "Skew mixture models for loss distributions: a Bayesian approach," MPRA Paper 39826, University Library of Munich, Germany.
  13. John Geweke & Lea Petrella, 1995. "Prior density ratio class robustness in econometrics," Working Papers 553, Federal Reserve Bank of Minneapolis.

Articles

  1. Merlo, Luca & Petrella, Lea & Salvati, Nicola & Tzavidis, Nikos, 2022. "Marginal M-quantile regression for multivariate dependent data," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
  2. Luca Merlo & Lea Petrella & Nikos Tzavidis, 2022. "Quantile mixed hidden Markov models for multivariate longitudinal data: An application to children's Strengths and Difficulties Questionnaire scores," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(2), pages 417-448, March.
  3. Maruotti, Antonello & Petrella, Lea & Sposito, Luca, 2021. "Hidden semi-Markov-switching quantile regression for time series," Computational Statistics & Data Analysis, Elsevier, vol. 159(C).
  4. Marco Bottone & Lea Petrella & Mauro Bernardi, 2021. "Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(3), pages 1079-1107, September.
  5. Mila Andreani & Vincenzo Candila & Giacomo Morelli & Lea Petrella, 2021. "Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach," Risks, MDPI, vol. 9(8), pages 1-20, August.
  6. Merlo, Luca & Petrella, Lea & Raponi, Valentina, 2021. "Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 133(C).
  7. Giacomo Morelli & Lea Petrella, 2021. "Option Pricing, Zero Lower Bound, and COVID-19," Risks, MDPI, vol. 9(9), pages 1-13, September.
  8. Valeria Bignozzi & Claudio Macci & Lea Petrella, 2020. "Large deviations for method-of-quantiles estimators of one-dimensional parameters," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(5), pages 1132-1157, March.
  9. Merlo, Luca & Petrella, Lea & Raponi, Valentina, 2020. "Sectoral Decomposition of CO2 World Emissions: A Joint Quantile Regression Approach," International Review of Environmental and Resource Economics, now publishers, vol. 14(2-3), pages 197-239, October.
  10. Petrella, Lea & Raponi, Valentina, 2019. "Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 70-84.
  11. Lea Petrella & Alessandro G. Laporta & Luca Merlo, 2019. "Cross-Country Assessment of Systemic Risk in the European Stock Market: Evidence from a CoVaR Analysis," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 146(1), pages 169-186, November.
  12. Costantino, Francesco & Di Gravio, Giulio & Patriarca, Riccardo & Petrella, Lea, 2018. "Spare parts management for irregular demand items," Omega, Elsevier, vol. 81(C), pages 57-66.
  13. Laporta, Alessandro G. & Merlo, Luca & Petrella, Lea, 2018. "Selection of Value at Risk Models for Energy Commodities," Energy Economics, Elsevier, vol. 74(C), pages 628-643.
  14. Bignozzi, Valeria & Macci, Claudio & Petrella, Lea, 2018. "Large deviations for risk measures in finite mixture models," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 84-92.
  15. Bernardi, Mauro & Bottone, Marco & Petrella, Lea, 2018. "Bayesian quantile regression using the skew exponential power distribution," Computational Statistics & Data Analysis, Elsevier, vol. 126(C), pages 92-111.
  16. Paola Stolfi & Mauro Bernardi & Lea Petrella, 2018. "The sparse method of simulated quantiles: An application to portfolio optimization," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 375-398, August.
  17. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2017. "Are news important to predict the Value-at-Risk?," The European Journal of Finance, Taylor & Francis Journals, vol. 23(6), pages 535-572, May.
  18. Cristina Mollica & Lea Petrella, 2017. "Bayesian binary quantile regression for the analysis of Bachelor-to-Master transition," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(15), pages 2791-2812, November.
  19. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
  20. Bernardi, Mauro & Bignozzi, Valeria & Petrella, Lea, 2017. "On the Lp-quantiles for the Student t distribution," Statistics & Probability Letters, Elsevier, vol. 128(C), pages 77-83.
  21. Mauro Bernardi & Lea Petrella, 2015. "Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors," JRFM, MDPI, vol. 8(2), pages 1-29, April.
  22. Mauro Bernardi & Lea Petrella, 2015. "Multiple seasonal cycles forecasting model: the Italian electricity demand," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(4), pages 671-695, November.
  23. Geweke, John & Petrella, Lea, 2014. "Likelihood-based inference for regular functions with fractional polynomial approximations," Journal of Econometrics, Elsevier, vol. 183(1), pages 22-30.
  24. Filippo Belloc & Mauro Bernardi & Antonello Maruotti & Lea Petrella, 2013. "A dynamic hurdle model for zeroinflated panel count data," Applied Economics Letters, Taylor & Francis Journals, vol. 20(9), pages 837-841, June.
  25. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2012. "Skew mixture models for loss distributions: A Bayesian approach," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 617-623.
  26. F. Belloc & A. Maruotti & L. Petrella, 2011. "How individual characteristics affect university students drop-out: a semiparametric mixed-effects model for an Italian case study," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(10), pages 2225-2239.
  27. Geweke, John & Petrella, Lea, 1998. "Prior Density-Ratio Class Robustness in Econometrics," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 469-478, October.

Chapters

  1. Vincenzo Candila & Lea Petrella, 2021. "Conditional Quantile Estimation for Linear ARCH Models with MIDAS Components," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 109-115, Springer.
  2. Alessandro G. Laporta & Susanna Levantesi & Lea Petrella, 2021. "Quantile Regression Neural Network for Quantile Claim Amount Estimation," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 299-305, Springer.
  3. Merlo Luca & Petrella Lea & Raponi Valentina, 2021. "Forecasting Multiple VaR and ES Using a Dynamic Joint Quantile Regression with an Application to Portfolio Optimization," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 349-354, Springer.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (8) 2012-07-14 2013-06-16 2017-10-22 2019-02-18 2020-11-23 2021-06-28 2023-02-20 2023-08-21. Author is listed
  2. NEP-RMG: Risk Management (8) 2012-07-14 2013-06-16 2014-02-02 2014-11-12 2017-10-22 2019-02-18 2020-11-23 2021-06-28. Author is listed
  3. NEP-FMK: Financial Markets (2) 2014-02-02 2021-06-28
  4. NEP-FOR: Forecasting (2) 2014-11-12 2021-06-28
  5. NEP-PAY: Payment Systems and Financial Technology (2) 2023-02-20 2023-08-21
  6. NEP-BAN: Banking (1) 2013-06-16
  7. NEP-CTA: Contract Theory and Applications (1) 2017-10-22
  8. NEP-CWA: Central and Western Asia (1) 2021-06-28
  9. NEP-DCM: Discrete Choice Models (1) 2023-02-20
  10. NEP-ETS: Econometric Time Series (1) 2020-11-23
  11. NEP-IAS: Insurance Economics (1) 2014-02-02
  12. NEP-ORE: Operations Research (1) 2017-01-01

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