LUCA MERLO

Dottore di ricerca

ciclo: XXXIV



Titolo della tesi: 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.

Produzione scientifica

11573/1727723 - 2024 - Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market
Foroni, Beatrice; Merlo, Luca; Petrella, Lea - 01a Articolo in rivista
rivista: STATISTICAL MODELLING (London: Sage) pp. 1-19 - issn: 1471-082X - wos: WOS:001336935000001 (0) - scopus: (0)

11573/1687488 - 2023 - Using expectile regression with latent variables for digital assets
Foroni, Beatrice; Merlo, Luca; Petrella, Lea - 04b Atto di convegno in volume
congresso: SIS 2023 - Statistical Learning, Sustainability and Impact Evaluation (Ancona; Italy)
libro: 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
libro: 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
rivista: 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
congresso: Tenth International Hybrid Conference on MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE (Salerno, Italia)
libro: 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
congresso: 51st Scientific Meeting of the Italian Statistica Society (Caserta; Italy)
libro: 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
rivista: 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
rivista: 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
rivista: 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
rivista: 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
congresso: eMAF2020 - Mathematical and Statistical Methods for Actuarial Sciences and Finance (Remote conference)
libro: 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
congresso: 50th Meeting of the Italian Statistical Society (Pisa; Italy)
libro: 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
congresso: CLADAG 2021 (Firenze; Italy)
libro: 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
rivista: 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
rivista: 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
congresso: 50th Scientific Meeting of the Italian Statistical Society (Pisa; Italy)
libro: 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
rivista: 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
libro: 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
libro: 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
rivista: 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
rivista: 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)

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