Francesco Lisi

University of Padua - Department of Statistical Sciences

V. Cesare Battisti, 241

Padova, 35122

Italy

  • University of Padua - Department of Statistical Sciences

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SCHOLARLY PAPERS

10

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8

Scholarly Papers (10)

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1.

Comparing and Selecting Performance Measures for Ranking Assets

Number of pages: 35 Posted: 22 Apr 2009 Last Revised: 29 Jun 2009
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 292 (208,395)
Citation 7

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performance measurement, rank correlations, selecting performance measures, comparing performance measures, combining performance measures

2.

Dicing with the Market: Randomized Procedures for Evaluation of Mutual Funds

Department of Statistical Sciences of the University of Padua Working Paper No. 9-2008
Number of pages: 19 Posted: 09 Apr 2009
Francesco Lisi
University of Padua - Department of Statistical Sciences
Downloads 240 (253,920)

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3.

Comparing and Selecting Performance Measures Using Rank Correlations

Downloads 230 (265,622)
Citation 1

Comparing and Selecting Performance Measures Using Rank Correlations

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 5, 2011-10
Number of pages: 36 Posted: 15 Dec 2011
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 120 (463,686)

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performance measurement, rank correlations, comparing performance measures

Comparing and Selecting Performance Measures Using Rank Correlations

Economics Discussion Paper No. 2011-14
Number of pages: 31 Posted: 08 Jun 2011
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 110 (499,222)
Citation 1

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performance measurement, rank correlations, comparing performance measures

4.

On the Role of Risk in the Morningstar Rating for Mutual Funds

Number of pages: 24 Posted: 22 May 2009 Last Revised: 12 Oct 2009
Francesco Lisi and Massimiliano Caporin
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 174 (341,907)

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Rater agreement, beta-equivalence, mutual funds, Morningstar rating

5.

Value-at-Risk Prediction by Higher Moment Dynamics

Number of pages: 17 Posted: 07 Jul 2009
Matteo Grigoletto and Francesco Lisi
affiliation not provided to SSRN and University of Padua - Department of Statistical Sciences
Downloads 157 (373,288)

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VaR prediction, GARCHDSK, dynamic skewness, dynamic kurtosis

6.

A Conditional CAPM Model with Local Covariates for Detecting and Evaluating Active Management

Number of pages: 31 Posted: 27 Sep 2009
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 148 (392,017)

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conditional CAPM, time-varying parameters, local covariates, mutual funds

7.

The Forecasting Accuracy of Electricity Price Formation Models

University of Padua Department of Statistical Sciences Working Paper No. 4
Number of pages: 33 Posted: 14 May 2010
Fany Nan, Fany Nan, Silvano Bordignon, Derek W. Bunn and Francesco Lisi
University of Padua - Department of Statistical SciencesUniversity of Verona - Department of Economics, University of Padua - Department of Statistical Sciences, London Business School and University of Padua - Department of Statistical Sciences
Downloads 145 (398,478)

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Forecasting, Electricity, Prices, ARMAX, Regime-Switching, Time-Varying Parameters, Accuracy

8.

On the Stability of Performance Measures Over Time

University of Padua Department of Statistical Sciences Working Paper No. 17
Number of pages: 19 Posted: 09 Jan 2011
Giovanna Menardi and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 94 (548,957)

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Performance Measures, Rankings, Stability Over Time

9.

Misspecification Tests for Periodic Long Memory GARCH Models

Number of pages: 19 Posted: 06 Aug 2008
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 75 (627,511)

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Long Memory, Generalized Long Memory GARCH models, PLM- GARCH models, misspecification tests

10.

The Weight of Risk in the Morningstar Rating for Mutual Funds

Bancaria No. 07/08-2010
Posted: 14 Sep 2010
Francesco Lisi
University of Padua - Department of Statistical Sciences

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Investment funds, Morninstar rating, Risk