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 1 2 3 39 1 4 11 32
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 2 271 1 1 6 882
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 1 7 213
Adding Flexibility to Markov Switching Models 0 0 1 68 0 1 8 55
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching 0 0 0 242 1 1 3 623
Classification of Volatility in Presence of Changes in Model Parameters 0 0 0 57 1 4 18 146
Classifying the Markets Volatility with ARMA Distance Measures 0 0 2 202 1 3 9 410
Clustering Heteroskedastic Time Series by Model-Based Procedures 0 0 2 131 0 1 5 404
Clustering Mutual Funds by Return and Risk Levels 0 0 2 178 1 5 12 525
Clustering Space-Time Series: A Flexible STAR Approach 0 0 1 66 1 4 10 34
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 0 2 83 1 4 12 63
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 2 55 0 2 12 37
Cycles in Crime and Economy Revised 0 0 1 105 0 2 9 331
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 1 6 92 1 4 18 328
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 0 1 1 1
Dating the Italian BUsiness Cycle: A Comparison of Procedures 1 3 12 273 2 7 31 1,112
Dating the Italian Business Cycle: A Comparison of Procedures 0 1 2 150 1 2 9 703
Does Crime Affect Economic Growth? 0 0 0 0 2 4 11 11
Extraction of Common Signal from Series with Different Frequency 0 0 0 148 1 1 4 511
Financial Clustering in Presence of Dominant Markets 0 0 0 3 1 1 3 29
Forecasting Realized Volatility with Changes of Regimes 0 2 2 98 1 5 7 107
Identifying Financial Time Series with Similar Dynamic Conditional Correlation 0 0 1 33 1 1 4 114
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach 0 0 0 94 1 2 9 212
Indirect estimation of Markov switching models with endogenous switching 0 0 1 36 0 3 6 114
Model effect on projected mortality indicators 0 0 0 20 0 1 3 60
Modeling the Dependence of Conditional Correlations on Volatility 0 0 1 146 0 1 4 201
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 1 4 18 19
Modeling the dependence of conditional correlations on volatility 1 1 1 27 2 3 5 55
Modelling the discrete and infrequent official interest rate change in the UK 0 0 1 58 1 1 4 223
Nonlinearities and regimes in conditional correlations with different dynamics 2 2 9 12 2 3 21 25
Realized Volatility and Change of Regimes 0 0 1 81 0 2 5 162
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models 1 1 1 247 2 3 5 667
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect 0 0 3 21 1 4 15 25
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter 0 0 0 355 1 1 4 743
Spatial Effects in Dynamic Conditional Correlations 0 0 1 65 1 2 9 71
Spillover Effects in the Volatility of Financial Markets 0 1 1 52 1 3 5 123
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach 0 0 0 88 2 3 8 226
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools 0 0 1 14 0 1 2 106
The Markov Switching Asymmetric Multiplicative Error Model 0 0 0 51 1 2 4 98
Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment 1 1 1 37 2 3 5 130
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 0 4 234 2 9 25 492
Volatility Swings in the US Financial Markets 0 0 1 43 0 1 5 99
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 0 0 0 114 2 3 5 277
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation 0 0 0 96 0 1 1 260
Volatility Transmission in Financial Markets: A New Approach 0 0 0 86 1 2 6 191
the Multi-State Markov Switching Model 0 0 0 333 1 2 8 583
Total Working Papers 7 15 68 4,737 42 119 393 12,243


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 3 4 216
A realistic model for official interest rate movements and their consequences 1 1 1 20 1 1 1 81
Asset allocation using flexible dynamic correlation models with regime switching 0 0 0 38 1 2 4 118
Clustering heteroskedastic time series by model-based procedures 0 0 0 29 1 2 4 91
Clustering space-time series: FSTAR as a flexible STAR approach 0 0 0 0 3 7 9 9
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 0 0 2 5 8 9
Does Crime Affect Economic Growth? 3 8 70 1,160 52 193 1,043 11,916
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy 0 0 0 9 2 4 6 45
Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets 0 0 0 4 0 2 4 35
Financial clustering in presence of dominant markets 0 0 0 3 2 2 3 33
Forecasting realized volatility with changing average levels 1 2 3 13 1 3 7 60
Frontiers in Time Series Analysis: Introduction 0 0 0 57 0 2 3 162
Identifying financial time series with similar dynamic conditional correlation 0 0 1 31 0 0 3 85
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 0 4 1 2 4 15
Models to date the business cycle: The Italian case 0 0 1 41 1 2 5 116
Patterns of volatility transmissions within regime switching across GCC and global markets 0 2 2 22 1 5 10 84
Spatial effects in dynamic conditional correlations 0 0 0 0 0 0 4 10
The choice of time interval in seasonal adjustment: A heuristic approach 0 0 0 4 1 1 2 54
The multi-chain Markov switching model 0 0 0 122 1 2 8 281
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 4 78 1 4 17 226
Volatility transmission across currencies and commodities with US uncertainty measures 0 0 1 6 1 1 6 23
Volatility transmission across markets: a Multichain Markov Switching model 0 0 2 89 0 2 6 274
Total Journal Articles 5 15 85 1,789 72 245 1,161 13,943


Statistics updated 2019-10-05