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 1 3 49 2 5 12 70
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 0 277 1 1 1 911
A Realistic Model for Official Interest Rates 0 0 0 61 2 2 4 436
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 1 2 89
Analisi degli effetti del residuo fiscale 0 0 0 0 1 1 2 9
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching 0 0 0 246 0 1 2 644
Classification of Volatility in Presence of Changes in Model Parameters 0 0 0 69 0 1 2 257
Classifying the Markets Volatility with ARMA Distance Measures 0 0 0 205 0 0 0 428
Clustering Heteroskedastic Time Series by Model-Based Procedures 0 0 0 140 0 2 3 446
Clustering Mutual Funds by Return and Risk Levels 0 1 5 199 0 1 7 581
Clustering Space-Time Series: A Flexible STAR Approach 0 0 0 68 1 1 5 56
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 0 1 90 0 0 2 93
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 0 57 0 0 2 51
Cycles in Crime and Economy Revised 0 0 0 106 2 2 4 363
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 1 1 2 10
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 96 1 1 1 375
Dating the Italian BUsiness Cycle: A Comparison of Procedures 0 0 3 306 0 2 19 1,256
Dating the Italian Business Cycle: A Comparison of Procedures 0 1 3 161 0 1 4 738
Does Crime Affect Economic Growth? 0 0 0 0 2 4 10 132
Extraction of Common Signal from Series with Different Frequency 0 0 0 149 2 2 4 529
Financial Clustering in Presence of Dominant Markets 0 0 0 3 0 0 0 41
Forecasting Realized Volatility with Changes of Regimes 0 0 0 100 0 1 2 130
Identifying Financial Time Series with Similar Dynamic Conditional Correlation 0 0 0 35 1 1 2 143
Il residuo fiscale nelle regioni italiane 0 0 0 0 0 0 2 8
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach 0 0 0 95 0 0 1 228
Indirect estimation of Markov switching models with endogenous switching 0 0 0 42 0 2 2 143
Measuring the Effects of Unconventional Policies on Stock Market Volatility 0 0 0 25 23 23 25 83
Misura dell’effetto criminalità sull’economia italiana 0 0 0 0 0 1 1 3
Model effect on projected mortality indicators 0 0 0 20 0 2 3 77
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models 0 0 0 0 0 1 1 10
Modeling the Dependence of Conditional Correlations on Volatility 0 0 0 148 0 0 4 222
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 3 3 4 39
Modeling the dependence of conditional correlations on volatility 0 0 0 27 1 2 2 65
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 0 7 0 0 1 24
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 1 44 2 4 8 69
Modelling the discrete and infrequent official interest rate change in the UK 0 0 0 60 0 0 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 2 4 13
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 19 0 2 3 28
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 7 1 1 1 12
On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence 0 0 0 24 0 2 7 20
Realized Volatility Forecasting: Robustness to Measurement Errors 0 0 0 59 1 1 3 82
Realized Volatility and Change of Regimes 0 0 0 81 3 4 5 182
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models 0 0 0 252 1 1 4 693
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect 0 0 0 26 0 1 5 68
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter 0 0 0 356 1 1 4 754
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS 0 1 1 23 1 3 5 32
Spatial Effects in Dynamic Conditional Correlations 0 0 0 68 0 0 3 94
Spillover Effects in the Volatility of Financial Markets 0 0 1 54 0 1 3 141
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach 0 0 0 88 1 1 1 238
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools 0 0 0 15 1 2 4 121
The Markov Switching Asymmetric Multiplicative Error Model 0 0 0 54 1 2 5 115
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach 0 0 0 9 0 1 1 24
Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment 0 0 0 39 2 3 9 158
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 0 0 235 2 4 4 521
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 2 2 2 296
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation 0 0 0 98 0 1 3 276
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 0 0 0 4 1 1 2 9
Volatility jumps and the classification of monetary policy announcements 0 0 2 14 1 2 5 13
the Multi-State Markov Switching Model 0 0 1 355 1 1 6 635
Total Working Papers 0 4 21 5,186 66 108 241 14,118

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 1 4 7 233
A realistic model for official interest rate movements and their consequences 0 0 0 21 1 1 3 93
Asset allocation using flexible dynamic correlation models with regime switching 0 0 1 39 0 2 3 132
Capturing the Spillover Effect With Multiplicative Error Models 1 1 1 2 2 2 4 7
Clustering heteroskedastic time series by model-based procedures 0 0 0 33 1 2 2 114
Clustering space-time series: FSTAR as a flexible STAR approach 0 0 0 3 1 2 2 49
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 0 3 1 1 2 30
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 1 3
Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach 0 0 2 12 2 3 8 56
Does Crime Affect Economic Growth? 2 9 53 1,991 22 61 289 25,565
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy 0 0 0 10 0 2 3 56
Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets 0 0 0 6 1 2 6 50
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 1 1 1 81
Forecasting the macro determinants of bank credit quality: a non-linear perspective 0 0 1 5 1 2 4 15
Frontiers in Time Series Analysis: Introduction 0 0 0 57 0 2 2 165
Identifying financial time series with similar dynamic conditional correlation 0 0 0 31 0 1 3 105
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 1 11 2 2 5 54
Models to date the business cycle: The Italian case 0 0 2 45 0 1 6 145
Nonlinearities and regimes in conditional correlations with different dynamics 0 1 1 5 1 3 5 38
Patterns of volatility transmissions within regime switching across GCC and global markets 0 0 1 26 2 4 6 141
Realized volatility forecasting: Robustness to measurement errors 0 0 0 14 1 1 8 49
Spatial effects in dynamic conditional correlations 0 0 0 2 1 1 1 27
The choice of time interval in seasonal adjustment: A heuristic approach 0 0 0 4 0 1 2 64
The multi-chain Markov switching model 1 1 2 133 3 4 9 319
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 0 1 6
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 0 0 87 0 0 0 262
Volatility transmission across currencies and commodities with US uncertainty measures 0 0 0 9 0 0 1 42
Volatility transmission across markets: a Multichain Markov Switching model 0 0 0 89 0 0 0 280
Total Journal Articles 4 12 68 2,719 44 105 387 28,229

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 3 10
Total Chapters 0 0 0 0 1 3 3 10

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Statistics updated 2025-12-06