Publications

2024

1. Expectile hidden Markov regression models for analyzing cryptocurrency returns

   Beatrice Foroni, Luca Merlo, and Lea Petrella

   Statistics and Computing, 2024

2023

1. Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market

   Beatrice Foroni, Luca Merlo, and Lea Petrella

   arXiv preprint arXiv:2307.06400, 2023
2. Using expectile regression with latent variables for digital assets

   Beatrice Foroni, Luca Merlo, Lea Petrella, and 1 more author

   In Book of short papers SIS 2023, 2023
3. Unified unconditional regression for multivariate quantiles, M-quantiles and expectiles

   Luca Merlo, Lea Petrella, Nicola Salvati, and 1 more author

   Journal of the American Statistical Association, 2023
4. Estimating causal quantile exposure response functions via matching

   Luca Merlo, Francesca Dominici, Lea Petrella, and 2 more authors

   arXiv preprint arXiv:2308.01628, 2023
5. Quantile-based graphical models for continuous and discrete variables

   Luca Merlo, Geraci Marco, Petrella Lea, and 1 more author

   In Book of the Short Papers, 2023
6. Quantile mixed graphical models with an application to mass public shootings in the United States

   Luca Merlo, Marco Geraci, and Lea Petrella

   arXiv preprint arXiv:2309.05084, 2023

2022

1. Two-part quantile regression models for semi-continuous longitudinal data: a finite mixture approach

   Luca Merlo, Antonello Maruotti, and Lea Petrella

   Statistical Modelling, 2022
2. COVID-19 after lung resection in northern Italy

   Marco Scarci, Federico Raveglia, Luigi Bortolotti, and 5 more authors

   In Seminars in Thoracic and Cardiovascular Surgery, 2022
3. Quantile mixed hidden Markov models for multivariate longitudinal data: An application to children’s Strengths and Difficulties Questionnaire scores

   Luca Merlo, Lea Petrella, and Nikos Tzavidis

   Journal of the Royal Statistical Society Series C: Applied Statistics, 2022
4. Marginal M-quantile regression for multivariate dependent data

   Luca Merlo, Lea Petrella, Nicola Salvati, and 1 more author

   Computational Statistics & Data Analysis, 2022
5. Graphical Models for Commodities: A Quantile Approach

   Beatrice Foroni, Luca Merlo, and Lea Petrella

   In Methods and Applications in Fluorescence, 2022
6. Quantile hidden semi-Markov models for multivariate time series

   Luca Merlo, Antonello Maruotti, Lea Petrella, and 1 more author

   Statistics and Computing, 2022
7. Inter-order relations between moments of a Student t distribution, with an application to L_p-quantiles

   Valeria Bignozzi, Luca Merlo, and Lea Petrella

   arXiv preprint arXiv:2209.12855, 2022
8. Modeling unconditional M-quantiles in a regression framework

   L Merlo, Lea Petrella, and Nicola Salvati

   In Book of the Short Papers, 2022
9. Analyzing the Correlation Structure of Financial Markets Using a Quantile Graphical Model

   Beatrice Foroni, Luca Merlo, Lea Petrella, and 1 more author

   In Book of the Short Papers, 2022
10. On quantile regression models for multivariate data

    Luca Merlo

    Sapienza University of Rome, 2022

2021

1. Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation

   Luca Merlo, Lea Petrella, and Valentina Raponi

   Journal of Banking & Finance, 2021
2. Nonthyroidal illness syndrome (NTIS) in severe COVID-19 patients: role of T3 on the Na/K pump gene expression and on hydroelectrolytic equilibrium

   Salvatore Sciacchitano, Carlo Capalbo, Christian Napoli, and 8 more authors

   Journal of Translational Medicine, 2021
3. Unconditional M-quantile regression

   Luca Merlo, Petrella Lea, and Tzavidis Nikos

   In CLADAG 2021 BOOK OF ABSTRACTS AND SHORT PAPERS, 2021
4. Directional M-quantile regression for multivariate dependent outcomes

   Luca Merlo, Lea Petrella, and Nikos Tzavidis

   In Book of Short Papers SIS 2021, 2021

2020

1. Sectoral decomposition of CO2 world emissions: A joint quantile regression approach

   Luca Merlo, Lea Petrella, Valentina Raponi, and 1 more author

   International Review of Environmental and Resource Economics, 2020
2. Multivariate Mixed Hidden Markov Model for joint estimation of multiple quantiles

   Luca Merlo, Lea Petrella, and Nikos Tzavidis

   In Book of Short Papers SIS 2020, 2020

2019

1. Cross-country assessment of systemic risk in the European stock market: evidence from a CoVaR analysis

   Lea Petrella, Alessandro G Laporta, and Luca Merlo

   Social Indicators Research, 2019
2. Joint VaR and ES forecasting in a multiple quantile regression framework

   Luca Merlo, Lea Petrella, and Valentina Raponi

   In Smart Statistics for Smart Applications: book of short papers SIS 2019, 2019

2018

1. Selection of value at risk models for energy commodities

   Alessandro G Laporta, Luca Merlo, and Lea Petrella

   Energy Economics, 2018