CINECA IRIS Institutional Research Information System

Sectoral Decomposition of CO2 World Emissions: A Joint Quantile Regression Approach

Different economic sectors interact with each other and contribute in increasing CO2 emissions in different ways and with different intensities. A modeling framework describing CO2 cross-sectoral dependencies could be fruitful to authorities providing guidance to policies on emissions regulations and environment preservation. After surveying the existing literature that investigates on the relationship between urbanization and CO2 emissions, we focus on the role of quantile regression in envi...

COVID-19 After Lung Resection in Northern Italy

We reviewed surgical cases from 4 Thoracic Surgery departments in the Lombardia region of Italy, the area mostly affected by Coronavirus pandemic inEurope, with the aim to describe the impact of COVID-19 on the treatment ofthoracic surgical patients. Clinical, radiological and laboratory data from patientswho underwent lung resection from December 2019 to March 2020 were retrospectively collected until June 2020. Univariable Cox regression models wereestimated to evaluate potential prognostic...

COVID-19 Symptoms and Mental Health Outcomes among Italian Healthcare Workers: A Latent Class Analysis

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

In this paper, we propose a multivariate quantile regression framework to forecast Value at Risk (VaR) and Expected Shortfall (ES) of multiple financial assets simultaneously, extending Taylor (2019). We generalize the Multivariate Asymmetric Laplace (MAL) joint quantile regression of Petrella and Raponi (2019) to a time-varying setting, which allows us to specify a dynamic process for the evolution of both the VaR and ES of each asset. The proposed methodology accounts for the dependence str...