Alessandra Luati

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

http://https://www.imperial.ac.uk/people/a.luati

University of Bologna - Department of Statistics

via Belle Arti 41

Bologna, 40126

Italy

http://https://www.unibo.it/sitoweb/alessandra.luati/en

SCHOLARLY PAPERS

10

DOWNLOADS

1,261

SSRN CITATIONS

5

CROSSREF CITATIONS

2

Scholarly Papers (10)

1.

Economic Vulnerability Is State Dependent

Number of pages: 31 Posted: 20 Apr 2021 Last Revised: 06 Mar 2024
Leopoldo Catania, Alessandra Luati and Pierluigi Vallarino
Aarhus University - School of Business and Social Sciences, Imperial College London - Department of Mathematics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 302 (187,580)

Abstract:

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Macro-Finance, Growth-at-Risk, Score-driven models, Dynamic quantiles

2.

Semiparametric Modeling of Multiple Quantiles

Number of pages: 27 Posted: 16 Dec 2019 Last Revised: 28 Nov 2022
Leopoldo Catania and Alessandra Luati
Aarhus University - School of Business and Social Sciences and Imperial College London - Department of Mathematics
Downloads 266 (213,692)
Citation 2

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Dynamic Quantiles, Score Driven Models, Risk Management

3.

Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall

Number of pages: 23 Posted: 29 Mar 2021 Last Revised: 04 May 2021
Leopoldo Catania and Alessandra Luati
Aarhus University - School of Business and Social Sciences and Imperial College London - Department of Mathematics
Downloads 151 (358,454)

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Asymmetric Laplace distribution, Scoring rules, Quantiles, Elicitability, Risk measures

4.

Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis

CEIS Working Paper No. 112
Number of pages: 26 Posted: 03 Apr 2008
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and Imperial College London - Department of Mathematics
Downloads 140 (380,831)

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Henderson filter, Trend estimation, Nearest Neighbour Bandwidth, Musgrave asymmetric

5.

The Exponential Model for the Spectrum of a Time Series: Extensions and Applications

CEIS Working Paper No. 272
Number of pages: 39 Posted: 21 Apr 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and Imperial College London - Department of Mathematics
Downloads 107 (466,529)
Citation 2

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Frequency Domain Methods, Generalized linear models, Long Memory, Boosting

6.

The Generalised Autocovariance Function

CEIS Working Paper No. 276
Number of pages: 33 Posted: 07 May 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and Imperial College London - Department of Mathematics
Downloads 71 (601,650)
Citation 2

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Stationary Gaussian processes, Non-parametric spectral estimation, White noise tests, Feature matching, Discriminant Analysis

7.

Generalised Linear Spectral Models

CEIS Working Paper No. 290
Number of pages: 27 Posted: 07 Oct 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and Imperial College London - Department of Mathematics
Downloads 65 (630,278)

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generalized linear models, iteratively weighted least squares, frequency domain methods

8.

Robust Estimation of a Location Parameter with the Integrated Hogg Function

Number of pages: 15 Posted: 13 Jan 2020
Leopoldo Catania and Alessandra Luati
Aarhus University - School of Business and Social Sciences and Imperial College London - Department of Mathematics
Downloads 57 (672,485)

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Robust statistics, Hogg function, M-estimator

9.

Generalised Partial Autocorrelations and the Mutual Information between Past and Future

CEIS Working Paper No. 344
Number of pages: 17 Posted: 06 Jun 2015
Alessandra Luati and Tommaso Proietti
Imperial College London - Department of Mathematics and University of Rome II - Department of Economics and Finance
Downloads 55 (683,755)

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Generalised autocovariance, Spectral models, Whittle likelihood, Reparameterisation.

10.

Efficient Nonparametric Estimation of Generalized Autocovariances

CEIS Working Paper No. 515
Number of pages: 17 Posted: 18 Oct 2021
Alessandra Luati, Francesca Papagni and Tommaso Proietti
Imperial College London - Department of Mathematics, Free University of Bozen-Bolzano - Faculty of Economics and Management and University of Rome II - Department of Economics and Finance
Downloads 47 (732,774)

Abstract:

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Cramér-Rao lower bound; Frequency Domain; Minimum Contrast Estimation; Periodogram.