Access Statistics for Edoardo Otranto

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Flexible Specification of Space–Time AutoRegressive Models 0 0 2 37 0 1 10 28
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 1 2 271 0 3 5 881
A Realistic Model for Official Interest Rates 0 0 0 61 0 0 1 410
A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime 0 0 0 72 0 2 8 212
Adding Flexibility to Markov Switching Models 0 1 1 68 1 3 9 54
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching 0 0 0 242 0 0 2 622
Classification of Volatility in Presence of Changes in Model Parameters 0 0 1 57 1 3 18 142
Classifying the Markets Volatility with ARMA Distance Measures 1 1 2 202 2 2 7 407
Clustering Heteroskedastic Time Series by Model-Based Procedures 1 1 3 131 1 1 5 403
Clustering Mutual Funds by Return and Risk Levels 1 1 3 178 2 2 10 520
Clustering Space-Time Series: A Flexible STAR Approach 0 1 1 66 1 4 8 30
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 2 2 83 0 3 10 59
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 2 55 0 1 12 35
Cycles in Crime and Economy Revised 1 1 1 105 2 3 8 329
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 0 0 0 0
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 1 1 7 91 1 5 17 324
Dating the Italian BUsiness Cycle: A Comparison of Procedures 1 4 9 270 1 8 25 1,105
Dating the Italian Business Cycle: A Comparison of Procedures 0 0 1 149 0 3 7 701
Does Crime Affect Economic Growth? 0 0 0 0 1 3 7 7
Extraction of Common Signal from Series with Different Frequency 0 0 0 148 0 0 4 510
Financial Clustering in Presence of Dominant Markets 0 0 0 3 0 0 2 28
Forecasting Realized Volatility with Changes of Regimes 0 0 0 96 0 1 4 102
Identifying Financial Time Series with Similar Dynamic Conditional Correlation 1 1 1 33 1 2 3 113
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach 0 0 0 94 1 2 8 210
Indirect estimation of Markov switching models with endogenous switching 0 0 1 36 0 0 4 111
Model effect on projected mortality indicators 0 0 0 20 0 0 2 59
Modeling the Dependence of Conditional Correlations on Volatility 0 0 3 146 0 1 5 200
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 2 5 15 15
Modeling the dependence of conditional correlations on volatility 0 0 0 26 0 0 3 52
Modelling the discrete and infrequent official interest rate change in the UK 0 1 1 58 0 1 3 222
Nonlinearities and regimes in conditional correlations with different dynamics 2 2 10 10 3 6 22 22
Realized Volatility and Change of Regimes 0 0 1 81 0 1 4 160
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models 0 0 0 246 0 1 2 664
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect 1 2 3 21 1 4 14 21
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter 0 0 0 355 0 1 5 742
Spatial Effects in Dynamic Conditional Correlations 0 1 1 65 0 2 9 69
Spillover Effects in the Volatility of Financial Markets 0 0 0 51 0 2 2 120
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach 0 0 0 88 2 3 5 223
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools 0 1 1 14 0 1 1 105
The Markov Switching Asymmetric Multiplicative Error Model 0 0 1 51 0 0 4 96
Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment 0 0 0 36 0 0 3 127
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 1 2 4 234 2 7 17 483
Volatility Swings in the US Financial Markets 0 0 1 43 0 0 4 98
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 0 0 0 114 0 1 2 274
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation 0 0 0 96 0 0 0 259
Volatility Transmission in Financial Markets: A New Approach 0 0 0 86 1 2 4 189
the Multi-State Markov Switching Model 0 0 0 333 2 3 6 581
Total Working Papers 11 24 65 4,722 28 93 326 12,124


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS 0 0 0 59 0 1 3 213
A realistic model for official interest rate movements and their consequences 0 0 0 19 0 0 0 80
Asset allocation using flexible dynamic correlation models with regime switching 0 0 0 38 0 2 2 116
Clustering heteroskedastic time series by model-based procedures 0 0 0 29 0 0 2 89
Clustering space-time series: FSTAR as a flexible STAR approach 0 0 0 0 1 2 2 2
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 0 0 0 0 4 4
Does Crime Affect Economic Growth? 4 13 93 1,152 37 187 1,132 11,723
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy 0 0 0 9 0 1 2 41
Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets 0 0 0 4 0 1 3 33
Financial clustering in presence of dominant markets 0 0 0 3 0 1 1 31
Forecasting realized volatility with changing average levels 0 0 1 11 0 0 5 57
Frontiers in Time Series Analysis: Introduction 0 0 0 57 0 0 2 160
Identifying financial time series with similar dynamic conditional correlation 1 1 1 31 1 1 3 85
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 0 4 0 0 3 13
Models to date the business cycle: The Italian case 0 0 1 41 0 0 5 114
Patterns of volatility transmissions within regime switching across GCC and global markets 0 0 0 20 1 3 10 79
Spatial effects in dynamic conditional correlations 0 0 0 0 0 1 5 10
The choice of time interval in seasonal adjustment: A heuristic approach 0 0 0 4 0 1 1 53
The multi-chain Markov switching model 0 0 0 122 1 1 8 279
Volatility clustering in the presence of time-varying model parameters 0 0 0 0 0 0 0 0
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 2 3 76 0 6 15 222
Volatility transmission across currencies and commodities with US uncertainty measures 0 0 1 6 0 1 5 22
Volatility transmission across markets: a Multichain Markov Switching model 0 0 2 89 0 1 4 272
Total Journal Articles 5 16 102 1,774 41 210 1,217 13,698


Statistics updated 2019-07-03