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 7 14 72
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 0 277 2 3 3 913
A Realistic Model for Official Interest Rates 0 0 0 61 2 4 6 438
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 2 3 4 91
Analisi degli effetti del residuo fiscale 0 0 0 0 0 1 2 9
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching 0 0 0 246 2 3 4 646
Classification of Volatility in Presence of Changes in Model Parameters 0 0 0 69 1 2 3 258
Classifying the Markets Volatility with ARMA Distance Measures 0 0 0 205 1 1 1 429
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 0 5 199 3 3 10 584
Clustering Space-Time Series: A Flexible STAR Approach 0 0 0 68 0 1 5 56
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 0 1 90 1 1 3 94
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 0 57 1 1 3 52
Cycles in Crime and Economy Revised 0 0 0 106 0 2 4 363
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 96 0 1 1 375
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 0 1 2 10
Dating the Italian BUsiness Cycle: A Comparison of Procedures 0 0 3 306 3 4 22 1,259
Dating the Italian Business Cycle: A Comparison of Procedures 0 0 3 161 1 1 5 739
Does Crime Affect Economic Growth? 0 0 0 0 2 6 11 134
Extraction of Common Signal from Series with Different Frequency 0 0 0 149 1 3 3 530
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 2 3 4 132
Identifying Financial Time Series with Similar Dynamic Conditional Correlation 0 0 0 35 0 1 2 143
Il residuo fiscale nelle regioni italiane 0 0 0 0 1 1 3 9
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach 0 0 0 95 1 1 2 229
Indirect estimation of Markov switching models with endogenous switching 0 0 0 42 2 3 4 145
Measuring the Effects of Unconventional Policies on Stock Market Volatility 0 0 0 25 19 42 44 102
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 3 5 6 80
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models 0 0 0 0 1 2 2 11
Modeling the Dependence of Conditional Correlations on Volatility 0 0 0 148 3 3 7 225
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 0 3 4 39
Modeling the dependence of conditional correlations on volatility 0 0 0 27 0 1 2 65
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 1 44 4 8 12 73
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 0 7 2 2 3 26
Modelling the discrete and infrequent official interest rate change in the UK 0 0 0 60 1 1 3 245
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 0 1 3 5 14
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 18 0 0 1 48
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 19 5 5 8 33
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 7 1 2 2 13
On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence 0 0 0 24 1 3 7 21
Realized Volatility Forecasting: Robustness to Measurement Errors 0 0 0 59 1 2 4 83
Realized Volatility and Change of Regimes 0 0 0 81 1 5 6 183
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models 0 0 0 252 3 4 7 696
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect 0 0 0 26 1 1 5 69
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter 0 0 0 356 2 3 6 756
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS 1 2 2 24 1 3 6 33
Spatial Effects in Dynamic Conditional Correlations 0 0 0 68 5 5 8 99
Spillover Effects in the Volatility of Financial Markets 0 0 1 54 1 2 4 142
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach 0 0 0 88 1 2 2 239
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools 0 0 0 15 2 4 6 123
The Markov Switching Asymmetric Multiplicative Error Model 0 0 0 54 3 5 8 118
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach 0 0 0 9 1 1 2 25
Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment 0 0 0 39 1 4 10 159
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 0 0 235 1 4 5 522
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 1 3 3 297
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 2 276
Volatility Transmission in Financial Markets: A New Approach 0 0 0 89 1 1 3 204
Volatility jumps and the classification of monetary policy announcements 0 0 0 4 6 7 8 15
Volatility jumps and the classification of monetary policy announcements 0 0 2 14 1 3 6 14
the Multi-State Markov Switching Model 0 0 0 355 1 2 6 636
Total Working Papers 1 3 21 5,187 105 202 339 14,223

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 5 7 234
A realistic model for official interest rate movements and their consequences 0 0 0 21 1 2 4 94
Asset allocation using flexible dynamic correlation models with regime switching 0 0 1 39 4 6 7 136
Capturing the Spillover Effect With Multiplicative Error Models 0 1 1 2 4 6 8 11
Clustering heteroskedastic time series by model-based procedures 1 1 1 34 3 5 5 117
Clustering space-time series: FSTAR as a flexible STAR approach 0 0 0 3 1 3 3 50
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 0 3 0 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 1 1 2 4
Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach 0 0 2 12 1 3 9 57
Does Crime Affect Economic Growth? 8 13 54 1,999 43 85 304 25,608
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy 0 0 0 10 4 6 7 60
Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets 0 0 0 6 0 2 6 50
Financial clustering in presence of dominant markets 0 0 0 3 1 1 1 46
Forecasting realized volatility with changing average levels 0 0 0 15 3 4 4 84
Forecasting the macro determinants of bank credit quality: a non-linear perspective 0 0 1 5 2 4 6 17
Frontiers in Time Series Analysis: Introduction 0 0 0 57 1 3 3 166
Identifying financial time series with similar dynamic conditional correlation 0 0 0 31 1 2 4 106
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 1 11 0 2 5 54
Models to date the business cycle: The Italian case 0 0 2 45 1 2 7 146
Nonlinearities and regimes in conditional correlations with different dynamics 0 1 1 5 2 5 7 40
Patterns of volatility transmissions within regime switching across GCC and global markets 0 0 1 26 1 5 7 142
Realized volatility forecasting: Robustness to measurement errors 0 0 0 14 1 2 7 50
Spatial effects in dynamic conditional correlations 0 0 0 2 1 2 2 28
The choice of time interval in seasonal adjustment: A heuristic approach 0 0 0 4 1 2 3 65
The multi-chain Markov switching model 0 1 2 133 3 7 12 322
Unconventional policies effects on stock market volatility: The MAP approach 0 0 2 2 7 7 10 10
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 3 3 4 45
Volatility transmission across markets: a Multichain Markov Switching model 0 0 0 89 1 1 1 281
Total Journal Articles 9 17 70 2,728 92 177 448 28,321

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

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Statistics updated 2026-01-09