{"id":2,"date":"2019-10-31T14:35:27","date_gmt":"2019-10-31T14:35:27","guid":{"rendered":"https:\/\/blog.iese.edu\/raponi\/?page_id=2"},"modified":"2026-03-11T16:49:58","modified_gmt":"2026-03-11T15:49:58","slug":"research","status":"publish","type":"page","link":"https:\/\/blog.iese.edu\/raponi\/research\/","title":{"rendered":"Research"},"content":{"rendered":"

Publications<\/strong><\/h2>\n

Estimating the Number of Latent Factors: A Comparative Analysis<\/strong>, 2026, (with Marco Avarucci and Paolo Zaffaroni) – Econometric Reviews<\/strong>, forthcoming<\/em>.<\/p>\n

Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation<\/a> (with Luca Merlo and Lea Petrella), 2021, Journal of Banking and Finance<\/strong><\/em>, Vol. 133, Article 106248, doi:10.1016\/j.jbankfin.2021.106248<\/p>\n

Testing Beta-Pricing Models Using Large Cross-Sections<\/a> (with Cesare Robotti and Paolo Zaffaroni), 2020, The Review of Financial Studies<\/strong><\/em>, Vol. 33, pp. 2796–2842.<\/p>\n

Sectoral Decomposition of CO2 World Emissions: A Joint Quantile Regression Approach<\/a> (with Luca Merlo and Lea Petrella), 2020, International Review of Environmental and Resource Economics.<\/strong><\/em><\/p>\n

Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress<\/a> (with Lea Petrella), 2019, Journal of Multivariate Analysis<\/em><\/strong>, Vol. 173, pp. 70–84.<\/p>\n

Short\u2010term forecasts of economic activity: Are fortnightly factors useful?<\/a> (with Libero Monteforte), 2019, Journal of Forecasting<\/strong><\/em>, Vol. 38., pp. 207–221.<\/p>\n

Revisions in official data and forecasting<\/a> (with Cecilia Frale), 2014, Statistical Methods & Applications<\/strong><\/em>, Vol. 23, pp. 451–472<\/p>\n

 <\/p>\n

Working Papers<\/h2>\n

Robust Portfolio Choice<\/a> (with Raman Uppal and Paolo Zaffaroni)<\/p>\n

Dissecting Anomalies in Conditional Asset Pricing<\/a> (with Paolo Zaffaroni) – R&R (fourth round) Management Science<\/em><\/strong><\/p>\n

Testing for Weak Factors in Conditional Asset Pricing<\/a> (with Soohun Kim and Paolo Zaffaroni)<\/p>\n

Common Lenders and Borrower Return Comovement <\/a>(with Christian Eufinger, Luca X. Lin and Haorui Wang)<\/p>\n

Other Publications<\/strong><\/h2>\n

Concomitant-Variable Latent-Class Beta Inflated Models to Assess Students\u2019 Performance: An Italian Case Study<\/a> (with Marco Centoni, Vieri Del Panta and Antonello Maruotti), 2018, Social Indicators Research<\/i><\/b>.<\/p>\n

Handling endogeneity and nonnegativity in correlated random effects models: Evidence from ambulatory expenditure<\/a> (with Francesco Lagona and Antonello Maruotti), 2016, Biometrical Journal<\/strong><\/em>, Vol. 50, pp. 280–302.<\/p>\n

A biclustering approach to university performances: an Italian case study<\/a> (with francesca Martella and Antonello Maruotti), 2016, Journal of Applied Statistics<\/strong><\/em>, Vol. 43, pp. 31–45.<\/p>\n

On Baseline Conditions for Zero-Inflated Longitudinal Count Data<\/a> (with Antonello Maruotti), 2014, Communications in Statistics – Simulation and Computation<\/strong><\/em>, Vol. 43, pp. 743–760.<\/p>\n","protected":false},"excerpt":{"rendered":"

Publications Estimating the Number of Latent Factors: A Comparative Analysis, 2026, (with Marco Avarucci and Paolo Zaffaroni) – Econometric Reviews, forthcoming. Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation (with Luca Merlo and Lea Petrella), 2021, Journal of Banking and Finance, Vol. 133, Article 106248, doi:10.1016\/j.jbankfin.2021.106248 Testing Beta-Pricing […]<\/p>\n","protected":false},"author":2242,"featured_media":0,"parent":0,"menu_order":20,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-2","page","type-page","status-publish","hentry"],"aioseo_notices":[],"_links":{"self":[{"href":"https:\/\/blog.iese.edu\/raponi\/wp-json\/wp\/v2\/pages\/2","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blog.iese.edu\/raponi\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/blog.iese.edu\/raponi\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/blog.iese.edu\/raponi\/wp-json\/wp\/v2\/users\/2242"}],"replies":[{"embeddable":true,"href":"https:\/\/blog.iese.edu\/raponi\/wp-json\/wp\/v2\/comments?post=2"}],"version-history":[{"count":22,"href":"https:\/\/blog.iese.edu\/raponi\/wp-json\/wp\/v2\/pages\/2\/revisions"}],"predecessor-version":[{"id":115,"href":"https:\/\/blog.iese.edu\/raponi\/wp-json\/wp\/v2\/pages\/2\/revisions\/115"}],"wp:attachment":[{"href":"https:\/\/blog.iese.edu\/raponi\/wp-json\/wp\/v2\/media?parent=2"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}