LEA PETRELLA

Best recent publications

• (2026) Estimating the Impact of Socieoeconomic Drivers on Land Degradation in Italy via Spatio-Temporal Additive Expectile Regression (with B. Foroni, L. Merlo, L.Salvati), Environmetrics 37 e70085
• (2026) Mid-quantile mixed graphical models with an application to mass publuic shooting in US (with L. Merlo and M. Geraci)  Journal of the Royal Statistical Society Series A. 189, 412-428
• (2026) Nonparanormal hidden semi-Markov graphical models for analyzing financial markets interconnectivity (with E. Ferrante, L. Merlo, B. Foroni) Journal of the Royal Statistical Society Series A
• (2025) Hidden Markov graphical models(with B. Foroni, L. Merlo and N. Salvati) Journal of Computational and graphical  Statistics, 1-20 
• (2025) Mixed-frequancy Quantile rregression for Value at Risk forecasting (with V. Candila an M. Andreani) Energy Economics 108706
• (2025) Quantile hidden semi-Markov models for multivariate time series (with L. Merlo, A. Marutti and A. Punzo) Statistics and Computing 32, 1079-1107
• (2024) Expectile hidden Markov regression models for analyzing cryptocurrency returns (with B. Foroni and L. Merlo) Statistics and Computing vol. 34, article 66
• (2024) Inter-order relations between equivalence for Lp-quantiles of a Student t distribution (with V. Bignozzi and L. Merlo) forthcoming  Insurance Mathematics and Economics 
• (2024) Quantile and Expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market (with B. Foroni and L. Merlo) under revision Statistical Modelling
• (2023) Unifiend unconditional regression for multivariate quantiles, M-quantiles and expectiles (with L. Merlo, N. Salvati, N. Tzavidis) online Journal of the American Statistical Society
• (2023) M-quantile regression shrinkage and selection via the Lasso and Elastic Net to asses the effect of meteorology and traffic on air quality (with F. Pantalone, G. Ranalli and N. Salvati)  Biometrical Journal  vol. 65nal
• (2023) Mixed-frequency quantile regression to forecast Value at Risk and Expected Shortfall (with V. Candila and G. Gallo)  Annals of Operational Research
• (2023) Neural Network for quantile claim ammount estimation: a quantile regression approach (with A. Laporta and S. Levantesi)  Annals of Actuarial Science 
• (2023) A Neural network approach to price correleted health risks (with A. Laporta and S. Levantesi) submitted Annals of Operational Research
• (2023) Estimating causal quantile exposure response functions via matching (with L. Merlo, F. Dominci, N. Salvati, X. Wu) submitted to Biometrika 
• (2023) Quantile mixed graphical models with an application to mass public shooting in USA  (with L. Merlo, M. Geraci) submitted to Annals of Applied Statistics
• (2023) Can the use of new Haemostatic agent improve short term outcomes of surgicl trated Non-small cell lung cancer patients? (Ricciardi, S., Cardillo, G et al.) Journal of Thoracic Oncology 18 S 511
• (2022) Marginal M-quantile regression for multivariate dependent data (with L. Merlo, N. Salvati, N. Tzavidis) on line version, Computational Statistics and Data Analysis
• (2022) Quantile Hidden Semi-Markov models for multivariate time series (with L.Merlo, A. Maruotti, A. Punzo) on line versione Statistics and Computing
• (2022) The Network of Commodity Risk (with B. Foroni, G. Morelli) on line version Energy System
• (2022) Sparse simulation-based estimation built on quantiles (with. P. Stolfi, M. Bernardi) on line version Econometrics and Statistics 
• (2022) Quantile Mixed Hidden Markov Models for multivariate longitudinal data: an appllication to children's strenghts and difficulties questionannaire scores. (with L. Merlo and N. Tzavidis) Journal of the Royal Statistical Society Series C, 71, pp.417-448
• (2022) Quantile Graphical Lasso: an application to cryptocurrencies, commodities and stock indexes (with B. Foroni and L. Merlo) under revision for Annals of Aplied Statistics 
• (2021) COVID-19 after lung resection in Northern Italy (with M. Scarci, F. Raveglia, L. Merlo, G. Cardillo et al.) online version Seminars in Thoracic and Cardiovascular Surgery
• (2021) Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation (with L. Merlo and V. Raponi) online version Journal of Banking and Finance
• (2021) Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution (with M. Bottone and M. Bernardi) Statistical Methods and Applications, 30 pp.1079-1107
• (2021) Two-part quantile regression models for semi continuous longitudinal data: a finite mixture approach (with L. Merlo and A. Maruotti) online version Statistical Modeling
• (2021)  Hidden semi-Markov-switching quantile regression for time series (with A. Maruotti and L. Sposito)  online version Computational Statistics and Data Analysis
• (2021) Option Pricing. Zero Lower Bound and COVID-19 (with G. Morelli) Risks 9 (9), 167
• (2021) Nonthyroidal illness syndrome (NTIS) in severe COVID-19 patients: role of T3 on the Na/K pump gene expression and on hydroelectrolytic equilibrium (with S. Sciacchitano et al.)  Journal of Translation Medicine, 19 pp.1-18
• (2021) Multivariate Analysis of Energy Commodieties during the COVID-19 Pandemic: Evidence for a Mixed Frequency Approach (with M Andreani, G. Morelli, V. Candila) Risks 9(8), 144
• (2020) 3D Reconstruction Model of an Extra-Abdominal Desmoid Tumor: a Case Study (with F. Marinozzi, F. Carleo, S. Novelli, M. Di Martino, G. Cardillo, F. Bini) Frontiers in Bioengineering and Biotechnology vol.8 1-5
• (2020) Sectorial Decomposition of CO2 world emission (with Luca Merlo and Valentina Raponi) International Review of Enviromental and Resource Economics pp. 197-238
• (2020) Dynamica Model Averaging for Bayesian Quantile Regression (with M. Bernardi, R. Casarin, B. Millet) submitted to Annals of Operational Research arXiv:1602.00856
• (2020) Large deviations for method of quantile estimators of one dimensional parameters, (with V. Bignozzi and C. Macci) Communications in Statistics- Theory and Methods pp.1132-1157
• (2019) Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress (with V. Raponi) Journal of Multivariate Analysis 173, 70-84

Postdoc and Phd students

• Martina del Vecchio
• Maria Saiz
• Ismail Yanilmez
• Beatrice Foroni
• Martin Rossi
• Valentina Raponi
• Luca Merlo
• Alessandro Laporta
• Marco Bottone
• Valeria Bignozzi
• Mauro Bernardi