Francesco Lisi

University of Padua - Department of Statistical Sciences

V. Cesare Battisti, 241

Padova, 35122

Italy

SCHOLARLY PAPERS

12

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CITATIONS
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31

Scholarly Papers (12)

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 226 (134,410)
Citation 4

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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 205 (147,459)

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3.

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 141 (204,351)

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

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 79 (308,675)

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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 61 (356,690)
Citation 1

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performance measurement, rank correlations, comparing performance measures

5.

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 120 (231,741)

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

6.

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 119 (233,216)

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VaR prediction, GARCHDSK, dynamic skewness, dynamic kurtosis

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
University of Verona - Department of Economics, University of Padua - Department of Statistical Sciences, London Business School and University of Padua - Department of Statistical Sciences
Downloads 102 (260,171)

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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 56 (366,872)

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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 56 (366,872)

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

10.

Looking for Skewness in Financial Time Series

Econometrics Journal, Vol. 12, Issue 2, pp. 310-323, July 2009
Number of pages: 14 Posted: 08 Oct 2009
Matteo Grigoletto and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 2 (636,063)
Citation 1
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11.

A Survey on the Four Families of Performance Measures

Journal of Economic Surveys, Vol. 28, Issue 5, pp. 917-942, 2014
Number of pages: 26 Posted: 28 Oct 2014
University of Padua - Department of Statistical Sciences, University Paris-1 Panthéon-Sorbonne, University of Padua - Department of Statistical Sciences and EMLyon Business School (Paris Campus)
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Fund selection, Performance measures, Ranking, Return Distribution, Risk

12.

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