LUCA MERLO

PhD Graduate

PhD program:: XXXIV

Thesis title: On Quantile Regression Models for Multivariate Data

The goal of this thesis is to bridge the gap between univariate and multivariate quantiles by extending the study of univariate quantile regression and its generalizations to multivariate responses. The statistical analysis focuses on a multivariate framework where we consider vector-valued quantile functions associated with multivariate distributions, providing inferential procedures and establishing the asymptotic properties of the proposed estimators. We illustrate their applicability in a wide variety of scientific settings, including time series, longitudinal and clustered data. The dissertation is divided into four chapters, each of them focusing on various aspects of multivariate analysis and different data types and structures. The methodologies we propose are supported by theoretical results and illustrated using simulation studies and real-world data.

Research products

11573/1687488 - 2023 - Using expectile regression with latent variables for digital assets

Foroni, Beatrice; Merlo, Luca; Petrella, Lea - 04b Atto di convegno in volume

conference: SIS 2023 - Statistical Learning, Sustainability and Impact Evaluation (Ancona; Italy)

book: Book of short papers SIS 2023 - (9788891935618)

11573/1695356 - 2023 - Quantile-based graphical models for continuous and discrete variables

Merlo, Luca; Geraci, Marco; Petrella, Lea - 02a Capitolo o Articolo

book: Statistical Learning, Sustainability and Impact Evaluation - (9788891935618)

11573/1693921 - 2023 - Unified Unconditional Regression for Multivariate Quantiles, M-Quantiles, and Expectiles

Merlo, Luca; Petrella, Lea; Salvati, Nicola; Nikos Tzavidis, And - 01a Articolo in rivista

paper: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (American Statistical Association:1429 Duke Street:Alexandria, VA 22314:(888)231-3473, (703)684-1221, EMAIL: memdept@amstat.org, INTERNET: http://www.amstat.org, Fax: (703)684-2037) pp. - - issn: 0162-1459 - wos: WOS:001121728200001 (0) - scopus: 2-s2.0-85172437341 (0)

11573/1629398 - 2022 - Graphical Models for Commodities: A Quantile Approach

Foroni, Beatrice; Merlo, Luca; Petrella, Lea - 04b Atto di convegno in volume

conference: Tenth International Hybrid Conference on MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE (Salerno, Italia)

book: Graphical Models for Commodities: A Quantile Approach - (978-3-030-99637-6; 978-3-030-99638-3)

11573/1662153 - 2022 - Analyzing the Correlation Structure of Financial Markets Using a Quantile Graphical Model

Foroni, Beatrice; Merlo, Luca; Petrella, Lea - 04b Atto di convegno in volume

conference: 51st Scientific Meeting of the Italian Statistica Society (Caserta; Italy)

book: Book of the Short Papers - (9788891932310)

11573/1629453 - 2022 - Marginal M-quantile regression for multivariate dependent data

Merlo, Luca; Petrella, Lea; Salvati, Nicola; Tzavidis, Nikos - 01a Articolo in rivista

paper: COMPUTATIONAL STATISTICS & DATA ANALYSIS (Amsterdam: Elsevier Science) pp. - - issn: 0167-9473 - wos: WOS:000795751300008 (5) - scopus: 2-s2.0-85128447924 (6)

11573/1608033 - 2022 - Quantile mixed hidden Markov models for multivariate longitudinal data: An application to children's Strengths and Difficulties Questionnaire scores

Merlo, Luca; Petrella, Lea; Tzavidis, Nikos - 01a Articolo in rivista

paper: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES C-APPLIED STATISTICS (Blackwell Publishing Limited:9600 Garsington Road, Oxford OX4 2DQ United Kingdom:011 44 1865 776868 , (781)388-8200, EMAIL: agentservices@oxon.blackwellpublishing.com, e-help@blackwellpublishers.co.uk, INTERNET: http://www.blackwellpublishing.com, Fax: 011 44 1865 714591) pp. 417-448 - issn: 0035-9254 - wos: WOS:000745470600001 (1) - scopus: 2-s2.0-85123496857 (2)

11573/1552287 - 2021 - Two-part quantile regression models for semi-continuous longitudinal data: A finite mixture approach

Merlo, L.; Maruotti, A.; Petrella, L. - 01a Articolo in rivista

paper: STATISTICAL MODELLING (London: Sage) pp. - - issn: 1471-082X - wos: WOS:000638952300001 (4) - scopus: 2-s2.0-85102975256 (3)

11573/1566195 - 2021 - Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation

Merlo, L.; Petrella, L.; Raponi, V. - 01a Articolo in rivista

paper: JOURNAL OF BANKING & FINANCE (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. - - issn: 0378-4266 - wos: WOS:000704362700022 (16) - scopus: 2-s2.0-85111069891 (18)

11573/1608044 - 2021 - Forecasting Multiple VaR and ES Using a Dynamic Joint Quantile Regression with an Application to Portfolio Optimization

Merlo, Luca; Petrella, Lea; Raponi, Valentina - 04b Atto di convegno in volume

conference: eMAF2020 - Mathematical and Statistical Methods for Actuarial Sciences and Finance (Remote conference)

book: Mathematical and Statistical Methods for Actuarial Sciences and Finance eMAF2020 - (978-3-030-78964-0; 978-3-030-78965-7)

11573/1558746 - 2021 - Directional M-quantile regression for multivariate dependent outcomes

Merlo, Luca; Petrella, Lea; Tzavidis, Nikos - 04b Atto di convegno in volume

conference: 50th Meeting of the Italian Statistical Society (Pisa; Italy)

book: Book of Short Papers SIS 2021 - ()

11573/1567930 - 2021 - Unconditional M-quantile regression

Merlo, Luca; Petrella, Lea; Tzavidis, Nikos - 04b Atto di convegno in volume

conference: CLADAG 2021 (Firenze; Italy)

book: CLADAG 2021 BOOK OF ABSTRACTS AND SHORT PAPERS - (978-88-5518-340-6; 978-88-5518-341-3)

11573/1552159 - 2021 - COVID-19 After Lung Resection in Northern Italy

Scarci, Marco; Raveglia, Federico; Bortolotti, Luigi; Benvenuti, Mauro; Merlo, Luca; Petrella, Lea; Cardillo, Giuseppe; Rocco, Gaetano - 01a Articolo in rivista

paper: SEMINARS IN THORACIC AND CARDIOVASCULAR SURGERY (W B Saunders Company:Fulfillment Department, The Curtis Center, Independence Square West:Philadelphia, PA 19106:(800)654-2452, (215)238-7800, EMAIL: wbspcs@harcourt.com, INTERNET: http://elsevierhealth.com, Fax: (215)238-6445) pp. - - issn: 1043-0679 - wos: (0) - scopus: 2-s2.0-85106630904 (6)

11573/1591395 - 2021 - Nonthyroidal illness syndrome (NTIS) in severe COVID-19 patients: role of T3 on the Na/K pump gene expression and on hydroelectrolytic equilibrium

Sciacchitano, Salvatore; Capalbo, Carlo; Napoli, Christian; Negro, Andrea; De Biase, Luciano; Marcolongo, Adriano; Anibaldi, Paolo; Salvati, Valentina; Petrella, Lea; Merlo, Luca; Alampi, Daniela; Alessandri, Elisa; Loffredo, Chiara; Ulivieri, Alessandra; Lavra, Luca; Magi, Fiorenza; Morgante, Alessandra; Salehi, Leila B; De Vitis, Claudia; Mancini, Rita; Coluzzi, Flaminia; Rocco, Monica - 01a Articolo in rivista

paper: JOURNAL OF TRANSLATIONAL MEDICINE (London: BioMed Central, London) pp. 491- - issn: 1479-5876 - wos: WOS:000726052300002 (5) - scopus: 2-s2.0-85120747127 (10)

11573/1453471 - 2020 - Multivariate Mixed Hidden Markov Model for joint estimation of multiple quantiles

Merlo, Luca; Petrella, Lea; Tzavidis, Nikos - 04b Atto di convegno in volume

conference: 50th Scientific Meeting of the Italian Statistical Society (Pisa; Italy)

book: Book of Short Papers SIS 2020 - ()

11573/1446747 - 2020 - Sectoral Decomposition of CO2WorldEmissions: A Joint QuantileRegression Approach

Raponi, Valentina; Petrella, Lea; Merlo, Luca - 01a Articolo in rivista

paper: INTERNATIONAL REVIEW OF ENVIRONMENTAL AND RESOURCE ECONOMICS (Hanover, MA : Now Publishers) pp. 197-239 - issn: 1932-1465 - wos: WOS:000584354100002 (3) - scopus: 2-s2.0-85095876535 (3)

11573/1316109 - 2019 - A two-part finite mixture quantile regression model for semi-continuous longitudinal data

Maruotti, Antonello; Merlo, Luca; Petrella, Lea - 02a Capitolo o Articolo

book: Smart Statistics for Smart Applications : book of short papers SIS 2019 - (9788891915108)

11573/1315810 - 2019 - Joint VaR and ES forecasting in a multiple quantile regression framework

Merlo, Luca; Petrella, Lea; Raponi, Valentina - 02a Capitolo o Articolo

book: Smart Statistics for Smart Applications: book of short papers SIS 2019 - (9788891915108)

11573/1185689 - 2018 - Selection of Value at Risk Models for Energy Commodities

Laporta, Alessandro Gustavo; Merlo, Luca; Petrella, Lea - 01a Articolo in rivista

paper: ENERGY ECONOMICS ([S.l.] : Elsevier Science) pp. 628-643 - issn: 1873-6181 - wos: WOS:000445713500044 (53) - scopus: 2-s2.0-85050521957 (60)

11573/1115365 - 2018 - Cross‑Country assessment of systemic risk in the European Stock Market: evidence from a CoVaR analysis

Petrella, Lea; Laporta, Alessandro Gustavo; Merlo, Luca - 01a Articolo in rivista

paper: SOCIAL INDICATORS RESEARCH (Dordrecht; London; Boston: Springer Nature B.V. Dordrecht; London; Boston: Kluwer Academic Publishers; Reidel) pp. - - issn: 0303-8300 - wos: WOS:000505945700011 (13) - scopus: 2-s2.0-85044177337 (11)