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Luca Trapin

University of Bologna (from arXiv:2502.04112, 2025) · ORCID · OpenAlex

20 papers in scope · 18 published · 2 on the econ.EM arXiv · 298 citations · h-index 9 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

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  2. Yuefeng Han
  3. Xiao Han
  4. Ruofan Yu
  5. Elynn Chen
  6. Mark Podolskij
  7. Cun-Hui Zhang
  8. Kim Christensen
  9. Ji Hyung Lee
  10. Ercument Cahan
  11. Dan Yang
  12. Matteo Barigozzi
  13. Markus Pelger
  14. Zhentao Shi
  15. Qiwei Yao
  16. Matteo Luciani
  17. Jinyuan Chang
  18. Elynn Chen
  19. Ke Xu
  20. Jiayu Li

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(2 of 20)

Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering
working paper2025 · arXiv
with Matteo Barigozzi
Paper profile arXiv arXiv:2502.04112
Modeling panels of extremes
published2023 · The Annals of Applied Statistics · 7 citations · first circulated 2022
with Debbie J. Dupuis, Sebastian Engelke
The Annals of Applied Statistics
Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors
working paper2023 · arXiv · 1 citations
with Julien Hambuckers, Li Sun
Paper profile arXiv arXiv:2301.01362
Testing liquidity: A statistical theory based on asset staleness
published2022 · Econometrics and Statistics · 3 citations
with Davide Pirino, Alessandro Pollastri
Econometrics and Statistics
Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach
published2021 · Computational Statistics · 1 citations
with Marco Bee, Julien Hambuckers, Flavio Santi
Computational Statistics
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
published2021 · Quantitative Finance · 12 citations · first circulated 2019
with Marco Bee, Julien Hambuckers
Quantitative Finance
Managing liquidity with portfolio staleness
published2020 · Decisions in Economics and Finance · 7 citations
with Giuseppe Buccheri, Davide Pirino
Decisions in Economics and Finance
Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
published2019 · Quantitative Finance · 6 citations · first circulated 2018
with Marco Bee, Julien Hambuckers
Quantitative Finance
Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*
published2019 · Journal of Financial Econometrics · 33 citations
with Marco Bee, Debbie J. Dupuis
Journal of Financial Econometrics
Measuring the propagation of financial distress with Granger-causality tail risk networks
published2018 · Journal of Financial Stability · 95 citations
with Fulvio Corsi, Fabrizio Lillo, Davide Pirino
Journal of Financial Stability
Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review
published2018 · Risks · 16 citations
with Marco Bee
Risks
Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements
published2018 · Journal of Applied Econometrics · 11 citations
with Marco Bee, Debbie J. Dupuis
Journal of Applied Econometrics
Can Volatility Models Explain Extreme Events?*
published2017 · Journal of Financial Econometrics · 25 citations
Journal of Financial Econometrics
A characteristic function-based approach to approximate maximum likelihood estimation
published2017 · Communication in Statistics-Theory and Methods · 5 citations
with Marco Bee
Communication in Statistics-Theory and Methods
An extreme value analysis of the last century crises across industries in the U.S. economy
published2017 · Journal of Economic Dynamics and Control · 3 citations · first circulated 2016
with Marco Bee, Massimo Riccaboni
Journal of Economic Dynamics and Control
US stock returns: are there seasons of excesses?
published2016 · Quantitative Finance · 3 citations
with Marco Bee, Debbie J. Dupuis
Quantitative Finance
A simple approach to the estimation of Tukey's gh distribution
published2016 · Journal of Statistical Computation and Simulation · 12 citations
with Marco Bee
Journal of Statistical Computation and Simulation
Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective
published2016 · Journal of Empirical Finance · 42 citations
with Marco Bee, Debbie J. Dupuis
Journal of Empirical Finance
Realized peaks over threshold: A high-frequency extreme value approach for financial time series
published2015 · Les Cahiers du GERAD · 2 citations
with Marco Bee, Debbie J. Dupuis
no link
Cluster Analysis of Weighted Bipartite Networks: A New Copula-Based Approach
published2014 · PLoS ONE · 14 citations
with Alessandro Chessa, Irene Crimaldi, Massimo Riccaboni
PLoS ONE

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.