TRAPIN, LUCA
TRAPIN, LUCA
DIPARTIMENTO DI SCIENZE STATISTICHE "PAOLO FORTUNATI"
Docenti di ruolo di IIa fascia
Testing liquidity: A statistical theory based on asset staleness
In corso di stampa Pirino Davide; Pollastri Alessandro; Trapin Luca
Nonstandard Errors
2024 Menkveld, ALBERT J.; Dreber, Anna; Holzmeister, Felix; Huber, Juergen; Johannesson, Magnus; Kirchler, Michael; Neusüß, Sebastian; Razen, Michael; Weitzel, Utz; Abad‐díaz, David; Abudy, MENACHEM (MENI); Adrian, Tobias; Ait‐sahalia, Yacine; Akmansoy, Olivier; Alcock, JAMIE T.; Alexeev, Vitali; Aloosh, Arash; Amato, Livia; Amaya, Diego; Angel, JAMES J.; Avetikian, ALEJANDRO T.; Bach, Amadeus; Baidoo, Edwin; Bakalli, Gaetan; Bao, Li; Barbon, Andrea; Bashchenko, Oksana; Bindra, PARAMPREET C.; Bjønnes, GEIR H.; Black, JEFFREY R.; Black, BERNARD S.; Bogoev, Dimitar; Correa, SANTIAGO BOHORQUEZ; Bondarenko, Oleg; Bos, CHARLES S.; Bosch‐rosa, Ciril; Bouri, Elie; Brownlees, Christian; Calamia, Anna; Cao, VIET NGA; Capelle‐blancard, Gunther; Romero, LAURA M. CAPERA; Caporin, Massimiliano; Carrion, Allen; Caskurlu, Tolga; Chakrabarty, Bidisha; Chen, Jian; Chernov, Mikhail; Cheung, William; Chincarini, LUDWIG B.; Chordia, Tarun; Chow, Sheung‐chi; Clapham, Benjamin; Colliard, Jean‐edouard; Comerton‐forde, Carole; Curran, Edward; Dao, Thong; Dare, Wale; Davies, RYAN J.; Blasis, RICCARDO DE; Nard, GIANLUCA F. DE; Declerck, Fany; Deev, Oleg; Degryse, Hans; Deku, SOLOMON Y.; Desagre, Christophe; Dijk, MATHIJS A. VAN; Dim, Chukwuma; Dimpfl, Thomas; Dong, YUN JIANG; Drummond, PHILIP A.; Dudda, Tom; Duevski, Teodor; Dumitrescu, Ariadna; Dyakov, Teodor; Dyhrberg, ANNE HAUBO; Dzieliński, Michał; Eksi, Asli; Kalak, IZIDIN EL; Ellen, SASKIA TER; Eugster, Nicolas; Evans, MARTIN D. D.; Farrell, Michael; Felez‐vinas, Ester; Ferrara, Gerardo; Ferrouhi, EL MEHDI; Flori, Andrea; Fluharty‐jaidee, JONATHAN T.; Foley, SEAN D. V.; Fong, KINGSLEY Y. L.; Foucault, Thierry; Franus, Tatiana; Franzoni, Francesco; Frijns, Bart; Frömmel, Michael; Fu, SERVANNA M.; Füllbrunn, SASCHA C.; Gan, Baoqing; Gao, Ge; Gehrig, THOMAS P.; Gemayel, Roland; Gerritsen, Dirk; Gil‐bazo, Javier; Gilder, Dudley; Glosten, LAWRENCE R.; Gomez, Thomas; Gorbenko, Arseny; Grammig, Joachim; Grégoire, Vincent; Güçbilmez, Ufuk; Hagströmer, Björn; Hambuckers, Julien; Hapnes, Erik; Harris, JEFFREY H.; Harris, Lawrence; Hartmann, Simon; Hasse, Jean‐baptiste; Hautsch, Nikolaus; He, XUE‐ZHONG (TONY); Heath, Davidson; Hediger, Simon; Hendershott, Terrence; Hibbert, ANN MARIE; Hjalmarsson, Erik; Hoelscher, SETH A.; Hoffmann, Peter; Holden, CRAIG W.; Horenstein, ALEX R.; Huang, Wenqian; Huang, Da; Hurlin, Christophe; Ilczuk, Konrad; Ivashchenko, Alexey; Iyer, SUBRAMANIAN R.; Jahanshahloo, Hossein; Jalkh, Naji; Jones, CHARLES M.; Jurkatis, Simon; Jylhä, Petri; Kaeck, ANDREAS T.; Kaiser, Gabriel; Karam, Arzé; Karmaziene, Egle; Kassner, Bernhard; Kaustia, Markku; Kazak, Ekaterina; Kearney, Fearghal; Kervel, VINCENT VAN; Khan, SAAD A.; Khomyn, MARTA K.; Klein, Tony; Klein, Olga; Klos, Alexander; Koetter, Michael; Kolokolov, Aleksey; Korajczyk, ROBERT A.; Kozhan, Roman; Krahnen, JAN P.; Kuhle, Paul; Kwan, Amy; Lajaunie, Quentin; Lam, F. Y. ERIC C.; Lambert, Marie; Langlois, Hugues; Lausen, Jens; Lauter, Tobias; Leippold, Markus; Levin, Vladimir; Li, Yijie; Li, Hui; Liew, CHEE YOONG; Lindner, Thomas; Linton, Oliver; Liu, Jiacheng; Liu, Anqi; Llorente, Guillermo; Lof, Matthijs; Lohr, Ariel; Longstaff, Francis; Lopez‐lira, Alejandro; Mankad, Shawn; Mano, Nicola; Marchal, Alexis; Martineau, Charles; Mazzola, Francesco; Meloso, Debrah; Mi, MICHAEL G.; Mihet, Roxana; Mohan, Vijay; Moinas, Sophie; Moore, David; Mu, Liangyi; Muravyev, Dmitriy; Murphy, Dermot; Neszveda, Gabor; Neumeier, Christian; Nielsson, Ulf; Nimalendran, Mahendrarajah; Nolte, Sven; Norden, LARS L.; O'Neill, Peter; Obaid, Khaled; Ødegaard, BERNT A.; Östberg, Per; Pagnotta, Emiliano; Painter, Marcus; Palan, Stefan; Palit, IMON J.; Park, Andreas; Pascual, Roberto; Pasquariello, Paolo; Pastor, Lubos; Patel, Vinay; Patton, ANDREW J.; Pearson, NEIL D.; Pelizzon, Loriana; Pelli, Michele; Pelster, Matthias; Pérignon, Christophe; Pfiffer, Cameron; Philip, Richard; Plíhal, Tomáš; Prakash, Puneet; Press, Oliver‐alexander; Prodromou, Tina; Prokopczuk, Marcel; Putnins, Talis; Qian, Ya; Raizada, Gaurav; Rakowski, David; Ranaldo, Angelo; Regis, Luca; Reitz, Stefan; Renault, Thomas; Renjie, REX W.; Reno, Roberto; Riddiough, STEVEN J.; Rinne, Kalle; Rintamäki, Paul; Riordan, Ryan; Rittmannsberger, Thomas; Longarela, IÑAKI RODRÍGUEZ; Roesch, Dominik; Rognone, Lavinia; Roseman, Brian; Roşu, Ioanid; Roy, Saurabh; Rudolf, Nicolas; Rush, STEPHEN R.; Rzayev, Khaladdin; Rzeźnik, ALEKSANDRA A.; Sanford, Anthony; Sankaran, Harikumar; Sarkar, Asani; Sarno, Lucio; Scaillet, Olivier; Scharnowski, Stefan; Schenk‐hoppé, KLAUS R.; Schertler, Andrea; Schneider, Michael; Schroeder, Florian; Schürhoff, Norman; Schuster, Philipp; Schwarz, MARCO A.; Seasholes, MARK S.; Seeger, NORMAN J.; Shachar, Or; Shkilko, Andriy; Shui, Jessica; Sikic, Mario; Simion, Giorgia; Smales, LEE A.; Söderlind, Paul; Sojli, Elvira; Sokolov, Konstantin; Sönksen, Jantje; Spokeviciute, Laima; Stefanova, Denitsa; Subrahmanyam, MARTI G.; Szaszi, Barnabas; Talavera, Oleksandr; Tang, Yuehua; Taylor, Nick; Tham, WING WAH; Theissen, Erik; Thimme, Julian; Tonks, Ian; Tran, Hai; Trapin, Luca; Trolle, ANDERS B.; Vaduva, M. ANDREEA; Valente, Giorgio; Ness, ROBERT A. VAN; Vasquez, Aurelio; Verousis, Thanos; Verwijmeren, Patrick; Vilhelmsson, Anders; Vilkov, Grigory; Vladimirov, Vladimir; Vogel, Sebastian; Voigt, Stefan; Wagner, Wolf; Walther, Thomas; Weiss, Patrick; Wel, MICHEL VAN DER; Werner, INGRID M.; Westerholm, P. JOAKIM; Westheide, Christian; Wika, HANS C.; Wipplinger, Evert; Wolf, Michael; Wolff, CHRISTIAN C. P.; Wolk, Leonard; Wong, Wing‐keung; Wrampelmeyer, Jan; Wu, Zhen‐xing; Xia, Shuo; Xiu, Dacheng; Xu, Ke; Xu, Caihong; Yadav, PRADEEP K.; Yagüe, José; Yan, Cheng; Yang, Antti; Yoo, Woongsun; Yu, Wenjia; Yu, Yihe; Yu, Shihao; Yueshen, BART Z.; Yuferova, Darya; Zamojski, Marcin; Zareei, Abalfazl; Zeisberger, STEFAN M.; Zhang, Lu; Zhang, S. SARAH; Zhang, Xiaoyu; Zhao, Lu; Zhong, Zhuo; Zhou, Z. IVY; Zhou, Chen; Zhu, XINGYU S.; Zoican, Marius; Zwinkels, Remco
Mixed-frequency extreme value regression: Estimating the effect of mesoscale convective systems on extreme rainfall intensity
2023 Dupuis, Debbie J.; Trapin, Luca
Modeling panels of extremes
2023 Dupuis, Debbie J.; Engelke, Sebastian; Trapin, Luca
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
2021 Bee, M.; Hambuckers, J.; Trapin, L.
Managing liquidity with portfolio staleness
2021 Buccheri, Giuseppe; Pirino, Davide; Trapin, Luca
Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach
2021 Bee, M.; Hambuckers, J.; Santi, F.; Trapin, L.
Structural change to the persistence of the urban heat island
2020 Dupuis, Debbie J; Trapin, Luca
Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
2019 Bee, Marco; Hambuckers, Julien; Trapin, Luca
Ground-level ozone: Evidence of increasing serial dependence in the extremes
2019 Dupuis, Debbie J; Trapin, Luca
Realized peaks over threshold: A time-varying extreme value approach with high-frequency-based measures
2019 Bee, Marco; Dupuis, Debbie J; Trapin, Luca
A characteristic function-based approach to Approximate Maximum Likelihood Estimation
2018 Bee, Marco; Trapin, Luca
Can Volatility Models Explain Extreme Events?
2018 Trapin, Luca
Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review
2018 Bee, Marco; Trapin, Luca
Measuring the propagation of financial distress with Granger-causality tail risk networks
2018 Corsi, Fulvio; Lillo, Fabrizio; Pirino, Davide*; Trapin, Luca
Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements
2018 Bee, Marco; Dupuis, Debbie J.; Trapin, Luca
An extreme value analysis of the last century crises across industries in the US economy
2017 Bee, Marco; Riccaboni, Massimo; Trapin, Luca
A simple approach to the estimation of Tukey's gh distribution
2016 Bee, Marco; Trapin, Luca
Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective
2016 Bee, Marco; Dupuis, Debbie J; Trapin, Luca
US stock returns: are there seasons of excesses?
2016 Bee, Marco; Dupuis, Debbie J; Trapin, Luca
| Titolo | Autore(i) | Anno | Periodico | Editore | Tipo | File |
|---|---|---|---|---|---|---|
| Testing liquidity: A statistical theory based on asset staleness | Pirino Davide; Pollastri Alessandro; Trapin Luca | 9999-01-01 | ECONOMETRICS AND STATISTICS | - | 1.01 Articolo in rivista | PPT_revised_v2.pdf |
| Nonstandard Errors | Menkveld, ALBERT J.; Dreber, Anna; Holzmeister, Felix; Huber, Juergen; Johannesson, Magnus; Kirch...ler, Michael; Neusüß, Sebastian; Razen, Michael; Weitzel, Utz; Abad‐díaz, David; Abudy, MENACHEM (MENI); Adrian, Tobias; Ait‐sahalia, Yacine; Akmansoy, Olivier; Alcock, JAMIE T.; Alexeev, Vitali; Aloosh, Arash; Amato, Livia; Amaya, Diego; Angel, JAMES J.; Avetikian, ALEJANDRO T.; Bach, Amadeus; Baidoo, Edwin; Bakalli, Gaetan; Bao, Li; Barbon, Andrea; Bashchenko, Oksana; Bindra, PARAMPREET C.; Bjønnes, GEIR H.; Black, JEFFREY R.; Black, BERNARD S.; Bogoev, Dimitar; Correa, SANTIAGO BOHORQUEZ; Bondarenko, Oleg; Bos, CHARLES S.; Bosch‐rosa, Ciril; Bouri, Elie; Brownlees, Christian; Calamia, Anna; Cao, VIET NGA; Capelle‐blancard, Gunther; Romero, LAURA M. CAPERA; Caporin, Massimiliano; Carrion, Allen; Caskurlu, Tolga; Chakrabarty, Bidisha; Chen, Jian; Chernov, Mikhail; Cheung, William; Chincarini, LUDWIG B.; Chordia, Tarun; Chow, Sheung‐chi; Clapham, Benjamin; Colliard, Jean‐edouard; Comerton‐forde, Carole; Curran, Edward; Dao, Thong; Dare, Wale; Davies, RYAN J.; Blasis, RICCARDO DE; Nard, GIANLUCA F. DE; Declerck, Fany; Deev, Oleg; Degryse, Hans; Deku, SOLOMON Y.; Desagre, Christophe; Dijk, MATHIJS A. VAN; Dim, Chukwuma; Dimpfl, Thomas; Dong, YUN JIANG; Drummond, PHILIP A.; Dudda, Tom; Duevski, Teodor; Dumitrescu, Ariadna; Dyakov, Teodor; Dyhrberg, ANNE HAUBO; Dzieliński, Michał; Eksi, Asli; Kalak, IZIDIN EL; Ellen, SASKIA TER; Eugster, Nicolas; Evans, MARTIN D. D.; Farrell, Michael; Felez‐vinas, Ester; Ferrara, Gerardo; Ferrouhi, EL MEHDI; Flori, Andrea; Fluharty‐jaidee, JONATHAN T.; Foley, SEAN D. V.; Fong, KINGSLEY Y. L.; Foucault, Thierry; Franus, Tatiana; Franzoni, Francesco; Frijns, Bart; Frömmel, Michael; Fu, SERVANNA M.; Füllbrunn, SASCHA C.; Gan, Baoqing; Gao, Ge; Gehrig, THOMAS P.; Gemayel, Roland; Gerritsen, Dirk; Gil‐bazo, Javier; Gilder, Dudley; Glosten, LAWRENCE R.; Gomez, Thomas; Gorbenko, Arseny; Grammig, Joachim; Grégoire, Vincent; Güçbilmez, Ufuk; Hagströmer, Björn; Hambuckers, Julien; Hapnes, Erik; Harris, JEFFREY H.; Harris, Lawrence; Hartmann, Simon; Hasse, Jean‐baptiste; Hautsch, Nikolaus; He, XUE‐ZHONG (TONY); Heath, Davidson; Hediger, Simon; Hendershott, Terrence; Hibbert, ANN MARIE; Hjalmarsson, Erik; Hoelscher, SETH A.; Hoffmann, Peter; Holden, CRAIG W.; Horenstein, ALEX R.; Huang, Wenqian; Huang, Da; Hurlin, Christophe; Ilczuk, Konrad; Ivashchenko, Alexey; Iyer, SUBRAMANIAN R.; Jahanshahloo, Hossein; Jalkh, Naji; Jones, CHARLES M.; Jurkatis, Simon; Jylhä, Petri; Kaeck, ANDREAS T.; Kaiser, Gabriel; Karam, Arzé; Karmaziene, Egle; Kassner, Bernhard; Kaustia, Markku; Kazak, Ekaterina; Kearney, Fearghal; Kervel, VINCENT VAN; Khan, SAAD A.; Khomyn, MARTA K.; Klein, Tony; Klein, Olga; Klos, Alexander; Koetter, Michael; Kolokolov, Aleksey; Korajczyk, ROBERT A.; Kozhan, Roman; Krahnen, JAN P.; Kuhle, Paul; Kwan, Amy; Lajaunie, Quentin; Lam, F. Y. ERIC C.; Lambert, Marie; Langlois, Hugues; Lausen, Jens; Lauter, Tobias; Leippold, Markus; Levin, Vladimir; Li, Yijie; Li, Hui; Liew, CHEE YOONG; Lindner, Thomas; Linton, Oliver; Liu, Jiacheng; Liu, Anqi; Llorente, Guillermo; Lof, Matthijs; Lohr, Ariel; Longstaff, Francis; Lopez‐lira, Alejandro; Mankad, Shawn; Mano, Nicola; Marchal, Alexis; Martineau, Charles; Mazzola, Francesco; Meloso, Debrah; Mi, MICHAEL G.; Mihet, Roxana; Mohan, Vijay; Moinas, Sophie; Moore, David; Mu, Liangyi; Muravyev, Dmitriy; Murphy, Dermot; Neszveda, Gabor; Neumeier, Christian; Nielsson, Ulf; Nimalendran, Mahendrarajah; Nolte, Sven; Norden, LARS L.; O'Neill, Peter; Obaid, Khaled; Ødegaard, BERNT A.; Östberg, Per; Pagnotta, Emiliano; Painter, Marcus; Palan, Stefan; Palit, IMON J.; Park, Andreas; Pascual, Roberto; Pasquariello, Paolo; Pastor, Lubos; Patel, Vinay; Patton, ANDREW J.; Pearson, NEIL D.; Pelizzon, Loriana; Pelli, Michele; Pelster, Matthias; Pérignon, Christophe; Pfiffer, Cameron; Philip, Richard; Plíhal, Tomáš; Prakash, Puneet; Press, Oliver‐alexander; Prodromou, Tina; Prokopczuk, Marcel; Putnins, Talis; Qian, Ya; Raizada, Gaurav; Rakowski, David; Ranaldo, Angelo; Regis, Luca; Reitz, Stefan; Renault, Thomas; Renjie, REX W.; Reno, Roberto; Riddiough, STEVEN J.; Rinne, Kalle; Rintamäki, Paul; Riordan, Ryan; Rittmannsberger, Thomas; Longarela, IÑAKI RODRÍGUEZ; Roesch, Dominik; Rognone, Lavinia; Roseman, Brian; Roşu, Ioanid; Roy, Saurabh; Rudolf, Nicolas; Rush, STEPHEN R.; Rzayev, Khaladdin; Rzeźnik, ALEKSANDRA A.; Sanford, Anthony; Sankaran, Harikumar; Sarkar, Asani; Sarno, Lucio; Scaillet, Olivier; Scharnowski, Stefan; Schenk‐hoppé, KLAUS R.; Schertler, Andrea; Schneider, Michael; Schroeder, Florian; Schürhoff, Norman; Schuster, Philipp; Schwarz, MARCO A.; Seasholes, MARK S.; Seeger, NORMAN J.; Shachar, Or; Shkilko, Andriy; Shui, Jessica; Sikic, Mario; Simion, Giorgia; Smales, LEE A.; Söderlind, Paul; Sojli, Elvira; Sokolov, Konstantin; Sönksen, Jantje; Spokeviciute, Laima; Stefanova, Denitsa; Subrahmanyam, MARTI G.; Szaszi, Barnabas; Talavera, Oleksandr; Tang, Yuehua; Taylor, Nick; Tham, WING WAH; Theissen, Erik; Thimme, Julian; Tonks, Ian; Tran, Hai; Trapin, Luca; Trolle, ANDERS B.; Vaduva, M. ANDREEA; Valente, Giorgio; Ness, ROBERT A. VAN; Vasquez, Aurelio; Verousis, Thanos; Verwijmeren, Patrick; Vilhelmsson, Anders; Vilkov, Grigory; Vladimirov, Vladimir; Vogel, Sebastian; Voigt, Stefan; Wagner, Wolf; Walther, Thomas; Weiss, Patrick; Wel, MICHEL VAN DER; Werner, INGRID M.; Westerholm, P. JOAKIM; Westheide, Christian; Wika, HANS C.; Wipplinger, Evert; Wolf, Michael; Wolff, CHRISTIAN C. P.; Wolk, Leonard; Wong, Wing‐keung; Wrampelmeyer, Jan; Wu, Zhen‐xing; Xia, Shuo; Xiu, Dacheng; Xu, Ke; Xu, Caihong; Yadav, PRADEEP K.; Yagüe, José; Yan, Cheng; Yang, Antti; Yoo, Woongsun; Yu, Wenjia; Yu, Yihe; Yu, Shihao; Yueshen, BART Z.; Yuferova, Darya; Zamojski, Marcin; Zareei, Abalfazl; Zeisberger, STEFAN M.; Zhang, Lu; Zhang, S. SARAH; Zhang, Xiaoyu; Zhao, Lu; Zhong, Zhuo; Zhou, Z. IVY; Zhou, Chen; Zhu, XINGYU S.; Zoican, Marius; Zwinkels, Remco | 2024-01-01 | THE JOURNAL OF FINANCE | - | 1.01 Articolo in rivista | The Journal of Finance - 2024 - MENKVELD - Nonstandard Errors.pdf |
| Mixed-frequency extreme value regression: Estimating the effect of mesoscale convective systems on extreme rainfall intensity | Dupuis, Debbie J.; Trapin, Luca | 2023-01-01 | THE ANNALS OF APPLIED STATISTICS | - | 1.01 Articolo in rivista | 11585_925597.pdf |
| Modeling panels of extremes | Dupuis, Debbie J.; Engelke, Sebastian; Trapin, Luca | 2023-01-01 | THE ANNALS OF APPLIED STATISTICS | - | 1.01 Articolo in rivista | AOAS_panel_extremes_final.pdf |
| Estimating large losses in insurance analytics and operational risk using the g-and-h distribution | Bee, M.; Hambuckers, J.; Trapin, L. | 2021-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | MLE_WII_QF_R2.pdf |
| Managing liquidity with portfolio staleness | Buccheri, Giuseppe; Pirino, Davide; Trapin, Luca | 2021-01-01 | DECISIONS IN ECONOMICS AND FINANCE | - | 1.01 Articolo in rivista | s10203-020-00300-z.pdf |
| Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach | Bee, M.; Hambuckers, J.; Santi, F.; Trapin, L. | 2021-01-01 | COMPUTATIONAL STATISTICS | - | 1.01 Articolo in rivista | gdist_CompStatR1NoRed.pdf |
| Structural change to the persistence of the urban heat island | Dupuis, Debbie J; Trapin, Luca | 2020-01-01 | ENVIRONMENTAL RESEARCH LETTERS | - | 1.01 Articolo in rivista | Dupuis_2020_Environ._Res._Lett._15_104076.pdf |
| Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach | Bee, Marco; Hambuckers, Julien; Trapin, Luca | 2019-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| Ground-level ozone: Evidence of increasing serial dependence in the extremes | Dupuis, Debbie J; Trapin, Luca | 2019-01-01 | THE ANNALS OF APPLIED STATISTICS | - | 1.01 Articolo in rivista | - |
| Realized peaks over threshold: A time-varying extreme value approach with high-frequency-based measures | Bee, Marco; Dupuis, Debbie J; Trapin, Luca | 2019-01-01 | JOURNAL OF FINANCIAL ECONOMETRICS | - | 1.01 Articolo in rivista | - |
| A characteristic function-based approach to Approximate Maximum Likelihood Estimation | Bee, Marco; Trapin, Luca | 2018-01-01 | COMMUNICATIONS IN STATISTICS. THEORY AND METHODS | - | 1.01 Articolo in rivista | - |
| Can Volatility Models Explain Extreme Events? | Trapin, Luca | 2018-01-01 | JOURNAL OF FINANCIAL ECONOMETRICS | - | 1.01 Articolo in rivista | - |
| Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review | Bee, Marco; Trapin, Luca | 2018-01-01 | RISKS | - | 1.01 Articolo in rivista | - |
| Measuring the propagation of financial distress with Granger-causality tail risk networks | Corsi, Fulvio; Lillo, Fabrizio; Pirino, Davide*; Trapin, Luca | 2018-01-01 | JOURNAL OF FINANCIAL STABILITY | - | 1.01 Articolo in rivista | 1-s2.0-S1572308918300299-main.pdf |
| Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements | Bee, Marco; Dupuis, Debbie J.; Trapin, Luca | 2018-01-01 | JOURNAL OF APPLIED ECONOMETRICS | - | 1.01 Articolo in rivista | - |
| An extreme value analysis of the last century crises across industries in the US economy | Bee, Marco; Riccaboni, Massimo; Trapin, Luca | 2017-01-01 | JOURNAL OF ECONOMIC DYNAMICS & CONTROL | - | 1.01 Articolo in rivista | - |
| A simple approach to the estimation of Tukey's gh distribution | Bee, Marco; Trapin, Luca | 2016-01-01 | JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | - | 1.01 Articolo in rivista | - |
| Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective | Bee, Marco; Dupuis, Debbie J; Trapin, Luca | 2016-01-01 | JOURNAL OF EMPIRICAL FINANCE | - | 1.01 Articolo in rivista | - |
| US stock returns: are there seasons of excesses? | Bee, Marco; Dupuis, Debbie J; Trapin, Luca | 2016-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |