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 1 3 50 3 13 24 83
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 0 277 0 6 7 917
A Realistic Model for Official Interest Rates 0 0 0 61 4 9 13 445
A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime 0 0 0 74 1 3 3 230
A Vector Multiplicative Error Model with Spillover Effects and Co-movements 0 0 2 10 0 5 9 21
Adding Flexibility to Markov Switching Models 0 0 0 76 2 12 13 101
Analisi degli effetti del residuo fiscale 0 0 0 0 1 2 3 11
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching 0 1 1 247 7 14 16 658
Classification of Volatility in Presence of Changes in Model Parameters 0 0 0 69 0 9 11 266
Classifying the Markets Volatility with ARMA Distance Measures 0 0 0 205 2 5 5 433
Clustering Heteroskedastic Time Series by Model-Based Procedures 0 0 0 140 12 16 19 462
Clustering Mutual Funds by Return and Risk Levels 0 0 4 199 0 7 12 588
Clustering Space-Time Series: A Flexible STAR Approach 0 0 0 68 0 4 8 60
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 0 0 90 2 9 10 102
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 0 57 1 4 6 55
Cycles in Crime and Economy Revised 0 0 0 106 0 3 7 366
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 0 2 4 12
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 96 4 5 6 380
Dating the Italian BUsiness Cycle: A Comparison of Procedures 0 1 4 307 1 11 25 1,267
Dating the Italian Business Cycle: A Comparison of Procedures 0 0 3 161 0 6 9 744
Does Crime Affect Economic Growth? 0 0 0 0 3 5 14 137
Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections 0 0 0 0 0 1 1 1
Extraction of Common Signal from Series with Different Frequency 0 0 0 149 2 4 6 533
Financial Clustering in Presence of Dominant Markets 0 0 0 3 2 4 4 45
Forecasting Realized Volatility with Changes of Regimes 0 0 0 100 0 3 5 133
Identifying Financial Time Series with Similar Dynamic Conditional Correlation 0 0 0 35 1 7 9 150
Il residuo fiscale nelle regioni italiane 0 0 0 0 2 6 7 14
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach 0 0 0 95 2 6 7 234
Indirect estimation of Markov switching models with endogenous switching 0 0 0 42 2 8 10 151
Measuring the Effects of Unconventional Policies on Stock Market Volatility 0 0 0 25 31 98 122 181
Misura dell’effetto criminalità sull’economia italiana 0 0 0 0 1 1 2 4
Model effect on projected mortality indicators 0 0 0 20 2 9 11 86
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models 0 0 0 0 4 8 9 18
Modeling the Dependence of Conditional Correlations on Volatility 0 0 0 148 2 16 18 238
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 0 2 6 41
Modeling the dependence of conditional correlations on volatility 0 0 0 27 0 2 4 67
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 0 7 1 6 6 30
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 1 1 2 45 2 7 14 76
Modelling the discrete and infrequent official interest rate change in the UK 0 0 0 60 0 4 6 248
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics 0 0 1 40 2 6 10 67
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 0 5 6 10 19
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 18 1 3 3 51
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 19 0 7 9 35
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 7 0 2 3 14
On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence 0 0 0 24 7 11 16 31
Realized Covariance Models with Time-varying Parameters and Spillover Effects 0 0 3 17 0 9 16 33
Realized Volatility Forecasting: Robustness to Measurement Errors 0 0 0 59 0 4 7 86
Realized Volatility and Change of Regimes 0 0 0 81 1 4 8 186
Realized covariance models with time-varying parameters and spillover effects 0 0 0 0 0 0 0 0
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models 0 0 0 252 3 11 14 704
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect 0 0 0 26 1 6 9 74
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter 0 0 0 356 2 11 13 765
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS 1 2 3 25 4 5 10 37
Spatial Effects in Dynamic Conditional Correlations 0 0 0 68 5 15 17 109
Spillover Effects in the Volatility of Financial Markets 0 0 1 54 0 7 10 148
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach 0 0 0 88 1 8 9 246
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools 0 0 0 15 1 5 7 126
The Markov Switching Asymmetric Multiplicative Error Model 0 0 0 54 2 10 14 125
Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models 6 6 6 6 3 3 3 3
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach 0 0 0 9 4 10 11 34
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 5 12 163
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 0 0 235 0 9 13 530
Volatility Swings in the US Financial Markets 0 0 0 45 2 4 4 116
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 0 0 0 119 1 6 8 302
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation 0 0 0 98 1 8 9 284
Volatility Transmission in Financial Markets: A New Approach 0 0 0 89 0 7 8 210
Volatility jumps and the classification of monetary policy announcements 0 1 3 15 1 6 10 19
Volatility jumps and the classification of monetary policy announcements 0 0 0 4 0 9 11 18
the Multi-State Markov Switching Model 0 0 0 355 1 5 10 640
Total Working Papers 9 13 36 5,266 145 544 755 14,763

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 1 61 3 11 16 244
A realistic model for official interest rate movements and their consequences 0 0 0 21 2 10 13 103
Asset allocation using flexible dynamic correlation models with regime switching 0 0 1 39 2 11 14 143
Capturing the Spillover Effect With Multiplicative Error Models 1 1 2 3 6 14 17 21
Clustering heteroskedastic time series by model-based procedures 0 1 1 34 1 8 10 122
Clustering space-time series: FSTAR as a flexible STAR approach 0 0 0 3 2 5 7 54
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 0 3 1 6 8 36
Do Different Models Induce Changes in Mortality Indicators? That Is a Key Question for Extending the Lee-Carter Model 0 0 0 0 1 5 5 8
Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach 0 0 2 12 0 10 17 66
Does Crime Affect Economic Growth? 5 16 55 2,007 38 101 309 25,666
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy 0 0 0 10 0 7 10 63
Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets 0 0 0 6 2 2 7 52
Financial clustering in presence of dominant markets 0 0 0 3 0 3 3 48
Forecasting realized volatility with changing average levels 0 0 0 15 3 9 10 90
Forecasting the macro determinants of bank credit quality: a non-linear perspective 0 0 1 5 0 5 9 20
Frontiers in Time Series Analysis: Introduction 0 0 0 57 3 5 7 170
Identifying financial time series with similar dynamic conditional correlation 0 0 0 31 3 9 12 114
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models 0 0 1 4 1 1 10 14
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 1 11 2 4 9 58
Models to date the business cycle: The Italian case 0 0 2 45 1 5 10 150
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 1 5 0 8 13 46
On using fuzzy clustering for detecting the number of states in Markov switching models 0 0 0 0 0 7 11 11
Patterns of volatility transmissions within regime switching across GCC and global markets 0 0 0 26 3 8 13 149
Realized volatility forecasting: Robustness to measurement errors 0 0 0 14 3 4 10 53
Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS 0 0 0 2 1 5 9 14
Spatial effects in dynamic conditional correlations 0 0 0 2 3 6 7 33
The choice of time interval in seasonal adjustment: A heuristic approach 0 0 0 4 0 5 6 69
The multi-chain Markov switching model 0 0 2 133 1 9 17 328
Unconventional policies effects on stock market volatility: The MAP approach 0 0 2 2 2 13 15 16
Volatility clustering in the presence of time-varying model parameters 0 0 0 0 0 1 2 7
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 0 0 87 1 5 5 267
Volatility transmission across currencies and commodities with US uncertainty measures 0 0 0 9 6 11 12 53
Volatility transmission across markets: a Multichain Markov Switching model 0 0 0 89 1 3 3 283
Total Journal Articles 6 18 72 2,743 92 316 626 28,571

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 1 3 6 13
Clustering mutual funds by return and risk levels 0 0 0 0 0 0 0 0
Total Chapters 0 0 0 0 1 3 6 13

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