Working Paper |
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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 |
1 |
1 |
41 |
0 |
1 |
4 |
41 |
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models |
0 |
1 |
1 |
273 |
0 |
1 |
4 |
901 |
A Realistic Model for Official Interest Rates |
0 |
0 |
0 |
61 |
0 |
0 |
1 |
430 |
A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime |
0 |
0 |
0 |
73 |
1 |
1 |
3 |
222 |
Adding Flexibility to Markov Switching Models |
0 |
0 |
1 |
73 |
0 |
1 |
5 |
78 |
Analisi degli effetti del residuo fiscale |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching |
0 |
0 |
1 |
243 |
0 |
0 |
3 |
633 |
Classification of Volatility in Presence of Changes in Model Parameters |
1 |
2 |
4 |
65 |
2 |
7 |
25 |
225 |
Classifying the Markets Volatility with ARMA Distance Measures |
0 |
0 |
0 |
203 |
0 |
0 |
2 |
421 |
Clustering Heteroskedastic Time Series by Model-Based Procedures |
0 |
1 |
2 |
136 |
0 |
2 |
10 |
427 |
Clustering Mutual Funds by Return and Risk Levels |
0 |
1 |
3 |
188 |
0 |
5 |
10 |
564 |
Clustering Space-Time Series: A Flexible STAR Approach |
0 |
0 |
0 |
68 |
1 |
3 |
9 |
49 |
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM |
0 |
0 |
1 |
87 |
0 |
1 |
12 |
87 |
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach |
0 |
0 |
0 |
56 |
0 |
2 |
3 |
47 |
Cycles in Crime and Economy Revised |
0 |
0 |
0 |
106 |
0 |
0 |
3 |
354 |
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors |
0 |
0 |
0 |
95 |
1 |
2 |
6 |
360 |
Dating the Italian BUsiness Cycle: A Comparison of Procedures |
1 |
1 |
8 |
287 |
1 |
4 |
19 |
1,176 |
Dating the Italian Business Cycle: A Comparison of Procedures |
0 |
0 |
1 |
154 |
1 |
1 |
4 |
724 |
Does Crime Affect Economic Growth? |
0 |
0 |
0 |
0 |
5 |
11 |
31 |
88 |
Extraction of Common Signal from Series with Different Frequency |
0 |
0 |
0 |
149 |
0 |
0 |
2 |
523 |
Financial Clustering in Presence of Dominant Markets |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
40 |
Forecasting Realized Volatility with Changes of Regimes |
0 |
0 |
0 |
98 |
0 |
0 |
4 |
124 |
Identifying Financial Time Series with Similar Dynamic Conditional Correlation |
0 |
0 |
0 |
35 |
0 |
0 |
3 |
137 |
Il residuo fiscale nelle regioni italiane |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach |
0 |
0 |
1 |
95 |
0 |
0 |
3 |
227 |
Indirect estimation of Markov switching models with endogenous switching |
0 |
0 |
0 |
40 |
0 |
1 |
3 |
136 |
Measuring the Effects of Unconventional Policies on Stock Market Volatility |
0 |
0 |
1 |
24 |
1 |
4 |
17 |
52 |
Misura dell’effetto criminalità sull’economia italiana |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
Model effect on projected mortality indicators |
0 |
0 |
0 |
20 |
0 |
0 |
1 |
73 |
Modeling the Dependence of Conditional Correlations on Volatility |
0 |
0 |
0 |
147 |
0 |
1 |
4 |
215 |
Modeling the dependence of conditional correlations on market volatility |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
33 |
Modeling the dependence of conditional correlations on volatility |
0 |
0 |
0 |
27 |
0 |
0 |
4 |
61 |
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models |
0 |
2 |
7 |
36 |
1 |
9 |
22 |
44 |
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models |
0 |
1 |
2 |
6 |
0 |
2 |
5 |
19 |
Modelling the discrete and infrequent official interest rate change in the UK |
0 |
0 |
1 |
59 |
0 |
0 |
5 |
241 |
Nonlinearities and regimes in conditional correlations with different dynamics |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
7 |
Nonlinearities and regimes in conditional correlations with different dynamics |
0 |
0 |
2 |
18 |
0 |
0 |
5 |
47 |
On Classifying the Effects of Policy Announcements on Volatility |
0 |
0 |
1 |
19 |
0 |
0 |
8 |
24 |
On Classifying the Effects of Policy Announcements on Volatility |
0 |
0 |
2 |
6 |
0 |
0 |
4 |
9 |
Realized Volatility Forecasting: Robustness to Measurement Errors |
1 |
1 |
1 |
57 |
1 |
1 |
3 |
71 |
Realized Volatility and Change of Regimes |
0 |
0 |
0 |
81 |
0 |
1 |
7 |
177 |
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models |
0 |
0 |
0 |
248 |
0 |
0 |
2 |
678 |
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect |
0 |
0 |
0 |
25 |
0 |
1 |
7 |
56 |
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter |
0 |
0 |
0 |
356 |
0 |
0 |
0 |
747 |
Spatial Effects in Dynamic Conditional Correlations |
0 |
0 |
0 |
66 |
0 |
0 |
2 |
88 |
Spillover Effects in the Volatility of Financial Markets |
0 |
0 |
0 |
52 |
0 |
0 |
2 |
135 |
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach |
0 |
0 |
0 |
88 |
0 |
0 |
2 |
237 |
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools |
0 |
0 |
0 |
15 |
0 |
0 |
3 |
115 |
The Markov Switching Asymmetric Multiplicative Error Model |
0 |
0 |
1 |
54 |
0 |
1 |
2 |
110 |
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach |
0 |
0 |
0 |
8 |
0 |
2 |
4 |
21 |
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 |
4 |
145 |
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach |
0 |
0 |
0 |
235 |
0 |
0 |
5 |
515 |
Volatility Swings in the US Financial Markets |
0 |
0 |
0 |
45 |
0 |
0 |
1 |
111 |
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model |
0 |
0 |
0 |
117 |
0 |
0 |
3 |
292 |
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 |
1 |
269 |
Volatility Transmission in Financial Markets: A New Approach |
0 |
0 |
2 |
88 |
0 |
0 |
3 |
199 |
the Multi-State Markov Switching Model |
0 |
2 |
9 |
351 |
0 |
3 |
14 |
624 |
Total Working Papers |
3 |
13 |
53 |
5,012 |
15 |
69 |
322 |
13,445 |