Access Statistics for Edoardo Otranto

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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 1 3 51 1 2 25 90
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 0 277 1 2 9 919
A Realistic Model for Official Interest Rates 0 0 0 61 0 0 15 449
A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime 0 0 0 74 0 1 8 235
A Vector Multiplicative Error Model with Spillover Effects and Co-movements 0 0 0 10 0 0 11 26
Adding Flexibility to Markov Switching Models 0 0 1 77 0 2 22 110
Analisi degli effetti del residuo fiscale 0 0 0 0 0 0 7 15
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching 0 0 3 249 0 0 19 662
Classification of Volatility in Presence of Changes in Model Parameters 0 0 1 70 0 0 22 278
Classifying the Markets Volatility with ARMA Distance Measures 0 0 0 205 1 1 11 439
Clustering Heteroskedastic Time Series by Model-Based Procedures 0 0 0 140 0 1 29 473
Clustering Mutual Funds by Return and Risk Levels 1 1 3 202 1 1 14 595
Clustering Space-Time Series: A Flexible STAR Approach 0 0 0 68 0 0 11 66
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 0 0 90 0 0 14 107
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 0 57 0 1 10 61
Cycles in Crime and Economy Revised 1 1 1 107 2 2 9 370
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 0 0 5 14
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 96 1 4 15 389
Dating the Italian BUsiness Cycle: A Comparison of Procedures 0 0 1 307 0 3 21 1,276
Dating the Italian Business Cycle: A Comparison of Procedures 0 0 0 161 0 3 14 752
Does Crime Affect Economic Growth? 0 0 0 0 1 2 17 145
Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections 0 0 2 2 0 1 3 3
Extraction of Common Signal from Series with Different Frequency 0 0 0 149 0 1 12 539
Financial Clustering in Presence of Dominant Markets 0 0 0 3 1 1 11 52
Forecasting Realized Volatility with Changes of Regimes 0 0 0 100 2 2 9 138
Identifying Financial Time Series with Similar Dynamic Conditional Correlation 0 0 0 35 2 2 14 156
Il residuo fiscale nelle regioni italiane 0 0 0 0 0 1 10 18
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach 0 0 0 95 0 1 10 238
Indirect estimation of Markov switching models with endogenous switching 0 0 0 42 0 1 16 158
Measuring the Effects of Unconventional Policies on Stock Market Volatility 0 0 0 25 0 1 131 191
Misura dell’effetto criminalità sull’economia italiana 0 0 0 0 0 0 2 4
Model effect on projected mortality indicators 0 0 0 20 0 0 14 89
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models 0 0 0 0 0 1 12 21
Modeling the Dependence of Conditional Correlations on Volatility 0 0 0 148 1 1 20 242
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 0 0 6 42
Modeling the dependence of conditional correlations on volatility 0 0 0 27 1 2 7 71
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 0 7 0 0 9 33
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 1 45 1 3 18 83
Modelling the discrete and infrequent official interest rate change in the UK 0 0 0 60 0 0 7 251
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics 0 0 1 40 2 4 19 76
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 0 0 1 14 25
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 18 1 2 12 60
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 19 1 1 11 39
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 7 0 4 12 23
On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence 0 0 0 24 1 1 19 37
Realized Covariance Models with Time-varying Parameters and Spillover Effects 0 0 0 17 1 3 15 39
Realized Volatility Forecasting: Robustness to Measurement Errors 0 1 1 60 0 5 16 97
Realized Volatility and Change of Regimes 0 0 0 81 0 2 13 191
Realized covariance models with time-varying parameters and spillover effects 0 0 0 0 0 0 3 3
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models 0 0 0 252 0 0 15 707
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect 0 0 0 26 0 0 9 77
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter 0 0 0 356 0 3 19 772
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS 0 0 5 27 0 0 15 45
Spatial Effects in Dynamic Conditional Correlations 0 0 0 68 0 1 21 115
Spillover Effects in the Volatility of Financial Markets 0 0 0 54 2 2 13 153
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach 0 0 0 88 0 4 27 264
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools 0 0 0 15 0 2 14 133
The Markov Switching Asymmetric Multiplicative Error Model 0 0 1 55 1 1 19 132
Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models 0 0 6 6 0 1 9 9
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach 0 0 0 9 0 0 11 35
VOLatility Archive for Realized Estimates (VOLARE) 0 2 21 21 2 18 60 60
Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment 0 0 0 39 0 0 11 166
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 0 0 235 0 1 17 535
Volatility Swings in the US Financial Markets 0 0 0 45 0 0 7 119
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 0 0 1 120 0 0 11 305
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation 0 0 0 98 1 2 15 290
Volatility Transmission in Financial Markets: A New Approach 0 0 0 89 0 0 11 214
Volatility jumps and the classification of monetary policy announcements 0 0 0 4 0 1 14 22
Volatility jumps and the classification of monetary policy announcements 0 0 1 15 2 4 19 30
the Multi-State Markov Switching Model 0 0 1 356 0 0 11 645
Total Working Papers 3 6 54 5,304 30 106 1,101 15,218

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 61 0 0 20 249
A realistic model for official interest rate movements and their consequences 0 0 0 21 0 1 19 111
Asset allocation using flexible dynamic correlation models with regime switching 1 2 3 42 1 3 22 152
Capturing the Spillover Effect With Multiplicative Error Models 0 0 2 3 0 1 23 28
Clustering heteroskedastic time series by model-based procedures 0 0 1 34 0 1 14 126
Clustering space-time series: FSTAR as a flexible STAR approach 0 0 0 3 0 1 10 57
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 0 3 0 0 13 42
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 0 1 4 4
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 5 8
Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach 0 0 0 12 0 1 16 70
Does Crime Affect Economic Growth? 0 1 37 2,023 6 17 253 25,776
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy 0 0 0 10 0 0 10 64
Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets 0 0 0 6 0 0 9 57
Financial clustering in presence of dominant markets 0 0 0 3 0 0 6 51
Forecasting realized volatility with changing average levels 0 0 0 15 2 2 19 99
Forecasting the macro determinants of bank credit quality: a non-linear perspective 1 1 1 6 3 3 16 29
Frontiers in Time Series Analysis: Introduction 0 0 0 57 0 0 9 172
Identifying financial time series with similar dynamic conditional correlation 0 0 0 31 0 1 12 116
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models 0 0 1 5 0 3 11 20
Modeling the Dependence of Conditional Correlations on Market Volatility 0 1 1 12 0 2 11 63
Models to date the business cycle: The Italian case 1 1 1 46 1 2 13 157
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 1 5 0 0 15 50
On using fuzzy clustering for detecting the number of states in Markov switching models 0 0 0 0 0 1 16 17
Patterns of volatility transmissions within regime switching across GCC and global markets 1 1 1 27 1 1 19 156
Realized volatility forecasting: Robustness to measurement errors 0 0 1 15 1 25 43 91
Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS 0 0 2 4 1 2 11 19
Spatial effects in dynamic conditional correlations 0 0 0 2 1 2 9 35
The choice of time interval in seasonal adjustment: A heuristic approach 0 0 0 4 0 0 8 71
The multi-chain Markov switching model 0 0 2 134 1 2 19 334
Unconventional policies effects on stock market volatility: The MAP approach 0 0 0 2 1 1 17 20
Volatility clustering in the presence of time-varying model parameters 0 0 0 0 0 1 2 8
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 0 0 87 0 1 11 273
Volatility transmission across currencies and commodities with US uncertainty measures 1 1 1 10 1 2 17 59
Volatility transmission across markets: a Multichain Markov Switching model 0 0 0 89 0 4 10 290
Total Journal Articles 5 8 55 2,772 20 81 712 28,874

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 6 13
Clustering mutual funds by return and risk levels 0 0 0 0 0 0 2 2
Total Chapters 0 0 0 0 0 0 8 15

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Statistics updated 2026-10-11