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Publications (personal page)

Lisi F., Grossi L., Quaglia F.  (2023), Component estimation for electricity prices: procedures and  comparisons, Energy Economics, 121, 106625.

Lisi F., Zanella G.  (2017), Tennis betting: can statistics beat bookmakers? Electronic Journal of Applied Statistical Analysis, forthcoming.

Menardi G., Lisi F.  (2015), Double clustering for rating mutual funds,  Electronic Journal of Applied Statistical Analysis, 8, 44-56.

Nan F., Bordignon S., Bunn D., Lisi F.,   (2014), The forecasting accuracy of electricity price formation models, International Journal of Energy and Statistics, 2, 1-26.

Lisi F., Nan F.  (2014), Component estimation for electricity prices: procedures and  comparisons, Energy Economics, 44, 143-159.

Caporin M., Jannin G.M., Lisi F., Maillet B.B.  (2014),  A survey on the four families of performance measuresThe Journal of Economic Surveys, 28(5), 917-942.

Caporin M., Lisi F. (2013),  A conditional single index model with local covariates for detecting and evaluating active portfolio managementNorth American Journal of Economics and Finance, 26, 236-249.

Bordignon S., Bunn D., Lisi F., Nan F.  (2013), Combining day-ahead forecasts for British electricity pricesEnergy Economics, 35, 88-103.

Lisi F. , Caporin M. (2012), On the role of risk in the Morningstar rating for mutual funds,Quantitative Finance12, 1477-1486.

Menardi G., Lisi F.  (2012), Are performance measures equally stable?,  Annals of Finance, 8 (4), 553-570

Menardi G., Lisi F.  (2012), On the stability of performance measures over time: an empirical study,  Journal of Performance Measurement, winter 2011/2012, 36-45.

Caporin M. , Lisi F. (2011), Comparing and selecting performance measures using rank correlations, Economics, 5, Article N.2011-10.

Grigoletto M. , Lisi F. (2011), Practical implications of higher moments in risk management, Statistical Methods and Applications, 20(4), 487-506.

Lisi F. (2011), Dicing with the market: randomized procedures for mutual funds evaluation, Quantitative Finance, 11, 163-172.

Lisi F. (2010), Il peso del rischio nel rating di Morningstar per i fondi comuni, Bancaria, 7/8, 24-33. 

Caporin M. , Lisi F. (2010), Misspecification tests for periodic long memory GARCH models, Statistical Methods and Applications, 19, 47-62.

Lisi F., Otranto E. (2009), Clustering mutual funds by return and risk levels, in Corazza M., Pizzi C. (Eds), Mathematical and statistical methods for actuarial sciences and finance, 183-191,Springer.

Grigoletto M., Lisi F. (2009), Looking for skewness in financial time series, The Econometrics Journal, 12, 310-323. 

Bordignon S., Caporin M. , Lisi F. (2009), Periodic Long Memory GARCH models, Econometric Reviews, 28, 60-82.

Lisi F. (2007), Testing asymmetry in financial time series, Quantitative Finance, 7, 687-696.

Bordignon S., Caporin M., Lisi F. (2007), Generalised Long Memory GARCH models for intra-daily volatility, Computational Statistics & Data Analysis, 51, 5900-5912.

Lisi F., Corazza M. (2007), Clustering financial data for mutual fund management, in Perna C, Sibillo M. (Eds), Mathematical and statistical methods for insurance and finance, 157-164, Springer.

Lisi F., Mortandello F. (2004), Numeri indici di borsa: flottante e volatilità, Statistica Applicata, 1, 17-37.

Bisaglia L., Bordignon S., Lisi F. (2003), k-factors GARMA models for intraday volatility forecasting, Applied Economics Letters, 10, 251-254.

Bordignon S., Gaetan C., Lisi F. (2002), Nonlinear models for ground-level ozone forecasting, Statistical Methods and Applications, 11, 227-245.

Bordignon S., Lisi F. (2001), Interval prediction for chaotic time series, Metron, 59, n.3-4.

Bordignon S., Lisi F. (2001), Predictive accuracy for chaotic economic systems, Economics Letters, 70, 51-58.

Lisi F., Villi V. (2001), Chaotic forecasting of the discharge of a river: a case study, Journal of the American Water Resources Association, 87, 271.

Guegan D., Lisi F. (2000), Predictive dimension: an alternative definition to embedding dimension, in Proceedings in Computational Statistics 2000, ed. J.G. Betlehem and P.M. van Der Heijden, Physica-Verlag, 319-324.

Bordignon S., Lisi F. (2000), Nonlinear analysis and prediction of river flow time series, Environmetrics, 11, 463-477.

Lisi F., Spagna F. (1999), Trading con modelli matematici: è possibile?, Bancaria, 3, 77-84

Bordignon S., Lisi F. (1999), Chaotic dynamics in the discharge of a river, International Journal of Chaos Theory and Applications, 4, 45-52.

Lisi F., Schiavo R. (1999), A comparison between neural networks and chaotic models for exchange rate prediction, Computational Statistics & Data Analysis, 30, 87-102.

Lisi F. (1998), One-step prediction of chaotic time series by multivariate reconstruction, in: F.M. Guindani e G. Salvadori (a cura di), Chaos, Fractals, Models, Italian University Press.

Bonollo M., Lisi F. (1997), La gestione della liquidita’ mediante utilizzo della riserva obbligatoria, Bancaria, 5, 18-26.

Lisi F., Villi V. (1997), Statistical considerations on the randomness of annual maximum daily rainfall, Journal of the American Water Resources Association, 33(2), 431-441.

Bonollo M., Lisi F. (1997), The interbanking liquidity market: Short-time prediction and the central bank reserve management, Decision in Economics and Finance, 20(1), 67-82.

Lisi F., Medio A. (1997), Is a random walk the best exchange rates predictor? , International Journal of Forecasting, 13, 255-267.

Lisi F. (1996), Statistical Dimension Estimation in Singular Spectrum Analysis, Statistical Methods and Applications, 5(2), 203-209.

Lisi F., Nicolis O., Sandri M. (1995), Combining Singular-Spectrum Analysis and Neural Networks for Time Series Forecasting, Neural Processing Letters , 2(4), 6-10.

Dipartimento di Scienze Statistiche | Università degli studi di Padova