Papers in referred journals
Papers in referred journals
2026. Lacava D., Ranaldo A., Santucci de Magistris P., Realized Illiquidity. Management Science. DOI: https://doi.org/10.1287/mnsc.2023.02505
2026. Lacava D., Otranto E., Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models. Quality & Quantity. DOI: https://doi.org/10.1007/s11135-026-02839-2.
2026. Lacava D., Shifting Correlations: How Trade Policy Uncertainty Alters Stock-T-bill Relationships. Studies in Economics and Finance. DOI: https://doi.org/10.1108/SEF-01-2026-0054.
2025. Gallo G. M., Lacava D., Otranto E., Regime changes and spatial dependece in the 2020 US presidential polls. Spatial Statistics, 69(c):100927.
2025. Gallo G. M., Lacava D., Otranto E., Modeling Meaningful Volatility Events to Classify Monetary Policy Announcements. Big Data Research, 40:100517.
2022. Lacava D., Gallo G. M., Otranto E., Unconventional Policies Effects on Stock Market Volatility: A MAP Approach. Journal of the Royal Statistical Society: Series C (Applied Statistics), 71(5):1245-1265.
2021. Gallo G. M., Lacava D., Otranto E., On Classifying the Effects of Policy Announcements on Volatility. International Journal of Approximate Reasoning, 134:23-33.
2021. Lacava D., Scaffidi Domianello L., The Incidence of Spillover Effects during the Unconventional Monetary Policies Era. Journal of Risk and Financial Management, 14(6):242.
2026. Lacava D., A CAViaR Model with Spillover Effects for Tail Risk Forecasting . Book of Short Papers SIS - FENStatS 2026 - Statistical Science: From Theory to Applied Research III, pp 520-526 (ISBN 978-3-032-30881-8).
2025. Gallo G. M., Lacava D., Otranto E., Spatial Dependence in the Dynamics of the 2020 Presidential Election Polls Trackers. Book of Short Papers ICES - Sustainability, Innovation and Digitalization: Statistical Measurement for Economic Analysis , pp. 149-152 (ISBN 9791280655523).
2024. Lacava D., Santucci de Magistris P., Forecasting Illiquidity Tail Risk and Its Economic Determinants. Book of Short Papers SIS - Methodological and Applied Statistics and Demography I, pp. 200-205 (ISBN 9783031644467).
2024. Lacava D., Santucci de Magistris P., On the Assessment of lliquidity Tail Risk. Book of Short Papers ICES - Statistical Analysis of Complex Economic Data: Recent Developments and Applications, pp. 126-129 (ISBN 9788847629509).
2023. Gallo G. M., Lacava D., Otranto E., Are Monetary Policy Announcements related to Volatility Jumps?. Book of Short Papers SIS - Statistical Learning, Sustainability and Impact Evaluation, pp. 269-274 (ISBN 9788891935618).
2020. Gallo G. M., Lacava D., Otranto E., Measuring the Effect of Unconventional Policies on Stock Market Volatility. Book of Short Papers SIS 2020, pp. 963-968 (ISBN 9788891910776).
2019. Lacava D., Otranto E. Measuring the Effect of Unconventional Monetary Policies on Market Volatility. ITISE Proceedings of Papers, pp. 446-449 (ISBN 9788417970789)
2026. Lacava D., Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach. arXiv:2603.25217.
2025. Gallo G. M., Lacava D., Otranto E., Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections. arXiv:2601.21534.
2022. Lacava D., Ranaldo A., Santucci de Magistris P., Realized Illiquidity. Swiss Finance Institute Research Paper No. 22-90.