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 3 47 0 3 9 63
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 0 277 0 0 1 910
A Realistic Model for Official Interest Rates 0 0 0 61 0 0 2 434
A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime 0 0 0 74 0 0 1 227
Adding Flexibility to Markov Switching Models 0 0 0 76 0 0 3 88
Analisi degli effetti del residuo fiscale 0 0 0 0 0 0 1 8
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching 0 0 1 246 0 1 2 643
Classification of Volatility in Presence of Changes in Model Parameters 0 0 0 69 0 1 1 256
Classifying the Markets Volatility with ARMA Distance Measures 0 0 0 205 0 0 1 428
Clustering Heteroskedastic Time Series by Model-Based Procedures 0 0 0 140 1 1 1 444
Clustering Mutual Funds by Return and Risk Levels 0 2 5 197 0 2 7 579
Clustering Space-Time Series: A Flexible STAR Approach 0 0 0 68 1 1 3 54
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 0 1 90 0 0 1 92
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 1 57 1 1 3 51
Cycles in Crime and Economy Revised 0 0 0 106 0 1 2 361
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 96 0 0 1 374
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 0 0 1 9
Dating the Italian BUsiness Cycle: A Comparison of Procedures 0 2 4 306 4 7 23 1,254
Dating the Italian Business Cycle: A Comparison of Procedures 0 2 3 160 0 2 4 737
Does Crime Affect Economic Growth? 0 0 0 0 0 2 9 127
Extraction of Common Signal from Series with Different Frequency 0 0 0 149 0 0 2 527
Financial Clustering in Presence of Dominant Markets 0 0 0 3 0 0 0 41
Forecasting Realized Volatility with Changes of Regimes 0 0 1 100 0 1 2 129
Identifying Financial Time Series with Similar Dynamic Conditional Correlation 0 0 0 35 0 1 1 142
Il residuo fiscale nelle regioni italiane 0 0 0 0 1 1 2 8
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach 0 0 0 95 1 1 1 228
Indirect estimation of Markov switching models with endogenous switching 0 0 1 42 0 0 2 141
Measuring the Effects of Unconventional Policies on Stock Market Volatility 0 0 0 25 0 1 2 60
Misura dell’effetto criminalità sull’economia italiana 0 0 0 0 0 0 0 2
Model effect on projected mortality indicators 0 0 0 20 0 0 1 75
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models 0 0 0 0 0 0 0 9
Modeling the Dependence of Conditional Correlations on Volatility 0 0 0 148 1 1 3 221
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 0 0 1 36
Modeling the dependence of conditional correlations on volatility 0 0 0 27 0 0 1 63
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 1 1 44 0 2 4 64
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 0 7 0 0 2 24
Modelling the discrete and infrequent official interest rate change in the UK 0 0 0 60 0 1 2 244
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 18 0 0 1 48
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 0 1 1 2 10
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 7 0 0 0 11
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 19 0 0 1 26
On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence 0 0 0 24 2 2 4 17
Realized Volatility Forecasting: Robustness to Measurement Errors 0 0 0 59 0 1 2 80
Realized Volatility and Change of Regimes 0 0 0 81 0 0 1 178
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models 0 0 0 252 0 0 3 692
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect 0 0 0 26 1 2 5 67
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter 0 0 0 356 0 1 3 753
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS 0 0 0 22 1 1 1 28
Spatial Effects in Dynamic Conditional Correlations 0 0 0 68 0 1 3 94
Spillover Effects in the Volatility of Financial Markets 1 1 1 54 2 2 2 140
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach 0 0 0 88 0 0 0 237
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools 0 0 0 15 0 0 2 119
The Markov Switching Asymmetric Multiplicative Error Model 0 0 0 54 1 1 3 113
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach 0 0 0 9 0 0 0 23
Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment 0 0 0 39 1 3 5 154
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 0 0 235 0 0 0 517
Volatility Swings in the US Financial Markets 0 0 0 45 0 0 0 112
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 0 0 0 119 0 0 0 294
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation 0 0 0 98 0 0 2 275
Volatility Transmission in Financial Markets: A New Approach 0 0 0 89 0 0 2 203
Volatility jumps and the classification of monetary policy announcements 1 1 2 14 1 1 4 11
Volatility jumps and the classification of monetary policy announcements 0 0 0 4 0 0 1 8
the Multi-State Markov Switching Model 0 0 1 355 0 0 2 630
Total Working Papers 2 9 25 5,180 20 47 151 13,993

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 1 1 61 0 1 3 229
A realistic model for official interest rate movements and their consequences 0 0 0 21 1 1 3 92
Asset allocation using flexible dynamic correlation models with regime switching 0 1 1 39 0 1 1 130
Capturing the Spillover Effect With Multiplicative Error Models 0 0 1 1 0 1 3 5
Clustering heteroskedastic time series by model-based procedures 0 0 0 33 0 0 0 112
Clustering space-time series: FSTAR as a flexible STAR approach 0 0 0 3 0 0 0 47
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 0 3 0 0 1 29
Do Different Models Induce Changes in Mortality Indicators? That Is a Key Question for Extending the Lee-Carter Model 0 0 0 0 0 0 2 3
Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach 0 0 2 11 0 0 3 50
Does Crime Affect Economic Growth? 4 15 61 1,978 15 74 437 25,490
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy 0 0 0 10 0 1 1 54
Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets 0 0 0 6 2 2 4 48
Financial clustering in presence of dominant markets 0 0 0 3 0 0 0 45
Forecasting realized volatility with changing average levels 0 0 0 15 0 0 0 80
Forecasting the macro determinants of bank credit quality: a non-linear perspective 0 0 1 5 1 1 4 13
Frontiers in Time Series Analysis: Introduction 0 0 0 57 0 0 0 163
Identifying financial time series with similar dynamic conditional correlation 0 0 0 31 0 1 1 103
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 1 10 1 2 4 51
Models to date the business cycle: The Italian case 0 2 2 45 2 4 5 144
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 4 2 2 2 35
Patterns of volatility transmissions within regime switching across GCC and global markets 0 0 1 26 0 0 3 137
Realized volatility forecasting: Robustness to measurement errors 0 0 0 14 0 3 5 46
Spatial effects in dynamic conditional correlations 0 0 0 2 0 0 1 26
The choice of time interval in seasonal adjustment: A heuristic approach 0 0 0 4 0 0 1 63
The multi-chain Markov switching model 1 1 3 132 1 2 7 314
Unconventional policies effects on stock market volatility: The MAP approach 0 0 2 2 0 0 3 3
Volatility clustering in the presence of time-varying model parameters 0 0 0 0 0 1 1 6
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 0 0 87 0 0 1 262
Volatility transmission across currencies and commodities with US uncertainty measures 0 0 0 9 0 1 1 42
Volatility transmission across markets: a Multichain Markov Switching model 0 0 0 89 0 0 0 280
Total Journal Articles 5 20 76 2,701 25 98 497 28,102

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Classifying Italian Pension Funds via GARCH Distance 0 0 0 0 0 0 2 7
Total Chapters 0 0 0 0 0 0 2 7

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Statistics updated 2025-08-05