← All authors Maria Grazia Zoia Università Cattolica del Sacro Cuore (from arXiv:2106.04218, 2021) · ORCID · OpenAlex
43 papers in scope · 39 published · 6 on the econ.EM arXiv · 318 citations · h-index 10 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Brendan K. Beare Massimo Franchi Paolo Paruolo Won-Ki Seo Dakyung Seong Mario Faliva Kyungsik Nam Vadim Gorin Anna Bykhovskaya Li Yu-ning Morten Ørregaard Nielsen Degui Li Peter C.B. Phillips Nazarii Salish James A. Duffy Iliyan Georgiev Sven Otto Andrii Babii Sam Wycherley Sophocles Mavroeidis 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 (5 of 43)
Measuring Thematic Funds Performance via an Approach Based on Observable and Latent Factors
published 2026 · European Financial Management
Climate-induced geopolitical risk and financial interdependence in Europe: A systemic transition perspective
published 2025 · Structural Change and Economic Dynamics
The theoretical properties of novel risk-based asset allocation strategies using portfolio volatility and kurtosis
published 2025 · International Review of Financial Analysis · 1 citations
with Maria Debora Braga, Luigi Riso
Extreme weather events as the main driver of electricity price volatility in Italy: A GARCH-MIDAS approach with machine learning-based variable selection
published 2025 · The North American Journal of Economics and Finance · 3 citations
bootCT: An R Package for Bootstrap Cointegration Tests in ARDL Models
published 2025 · The R Journal · 1 citations
Forecasting innovative start-ups through automatic variable selection and MIDAS regressions
published 2023 · Economics of Innovation and New Technology · 3 citations
Feature selection based on the best-path algorithm in high dimensional graphical models
published 2023 · Information Sciences · 9 citations
Kurtosis-based vs volatility-based asset allocation strategies: Do they share the same properties? A first empirical investigation
published 2023 · Finance research letters · 2 citations
Kurtosis-based risk parity: methodology and portfolio effects
published 2023 · Quantitative Finance · 13 citations
published 2022 · Economic Modelling · 25 citations
A new price index for multi-period and multilateral comparisons
published 2022 · AStA Advances in Statistical Analysis · 2 citations
EU electricity market integration and cross-country convergence in residential and industrial end-user prices
published 2022 · Energy Policy · 26 citations · first circulated 2021
A three-step procedure to investigate the convergence of electricity and natural gas prices in the European Union
published 2021 · Energy Economics · 25 citations
A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
published 2021 · The North American Journal of Economics and Finance · 4 citations
Forecasting in GARCH models with polynomially modified innovations
published 2021 · International Journal of Forecasting · 7 citations
working paper 2021 · arXiv
working paper 2021 · arXiv
working paper 2021 · arXiv · 1 citations
Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions
published 2020 · Risks · 2 citations
Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns
published 2020 · Communication in Statistics-Theory and Methods · 2 citations
with Luca Bagnato, Antonio Punzo
Gram–Charlier-Like Expansions of the Convoluted Hyperbolic-Secant Density
published 2020 · Journal of Statistical Theory and Practice · 4 citations
with Federica Nicolussi
working paper 2019 · arXiv
COMPONENTE DI FONDO E COMPONENTI CICLICHE DELL’INDICE DELLA PRODUZIONE INDUSTRIALE IN ITALIA
published 2019 · Rendiconti. Classe di lettere e scienze morali e storiche
COMPONENTE DI FONDO E COMPONENTI CICLICHE DELL’INDICE DELLA PRODUZIONE INDUSTRIALE IN ITALIA
published 2019 · Rendiconti. Classe di lettere e scienze morali e storiche
Kurtosis analysis in GARCH models with Gram–Charlier-like innovations
published 2019 · Economics Letters · 3 citations
An insight into the Italian economy from an analysis based on the industrial production index in both frequency and time domains
published 2019 · Metroeconomica · 2 citations
with Laura Barbieri, Luca Bagnato
Introduction to Luigi Pasinetti’s ‘Causality and interdependence …’
published 2018 · Structural Change and Economic Dynamics · 3 citations
with Enrico Bellino, Sebastiano Nerozzi
Value at risk and expected shortfall based on Gram-Charlier-like expansions
published 2018 · Journal of Banking & Finance · 31 citations
with P. Biffi, Federica Nicolussi
Gram–Charlier-like expansions of power-raised hyperbolic secant laws
published 2018 · Statistics & Probability Letters · 1 citations
The determinants of Italian firms’ technological competencies and capabilities
published 2018 · Eurasian Economic Review · 18 citations
with Laura Barbieri, Flavia Cortelezzi, Giovanni Marseguerra
A Distribution Family Bridging the Gaussian and the Laplace Laws, Gram–Charlier Expansions, Kurtosis Behaviour, and Entropy Features
published 2017 · Entropy · 6 citations
The multivariate leptokurtic‐normal distribution and its application in model‐based clustering
published 2016 · Canadian Journal of Statistics · 50 citations
with Luca Bagnato, Antonio Punzo
Cooperative Innovation: In Quest of Effective Partners. Evidence from Italian Firms
published 2015 · Innovation · 22 citations
with Federica Barzi, Flavia Cortelezzi, Giovanni Marseguerra
The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
published 2014 · Statistical Papers · 20 citations
with Luca Bagnato, Valerio Potì
ECONOMETRIA: ISTANZE DELL'ECONOMIA E PARALLELISMI CON LE SCIENZE NATURALI
published 2013 · Istituto Lombardo - Accademia di Scienze e Lettere - Incontri di Studio
Band-limited component estimation in time-limited economic series
published 2013 · Journal of Applied Statistics · 3 citations
A New Partitioned Inversion Rule with an Application to Time Series Econometrics
published 2010 · International Journal of Applied Mathematics & Statistics/International journal of applied mathematics and statistics
no link
Tailoring the Gaussian Law for Excess Kurtosis and Skewness by Hermite Polynomials
published 2009 · Communication in Statistics-Theory and Methods · 24 citations
Classical versus VAR econometrics: the Janus head effect in economic dynamic modelling
published 2009 · Rivista internazionale di scienze sociali
no link
New insights into best linear unbiased estimation and the optimality of least-squares
published 2005 · Journal of Multivariate Analysis
PROFILI ECONOMETRICI DEI TEST DI IPOTESI: LA VERIFICA DELLA SPECIFICAZIONE DEL MODELLO
published 2003 · Statistica
no link
ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS
published 2002 · Econometric Theory · 1 citations
Detecting and testing causality in linear econometric models
published 1994 · Statistical Methods & Applications · 4 citations
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