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 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


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 60 0 0 1 225
A realistic model for official interest rate movements and their consequences 0 0 0 20 0 0 2 88
Asset allocation using flexible dynamic correlation models with regime switching 0 0 0 38 0 1 2 128
Capturing the Spillover Effect With Multiplicative Error Models 0 0 0 0 0 0 2 2
Clustering heteroskedastic time series by model-based procedures 0 0 1 31 0 0 2 109
Clustering space-time series: FSTAR as a flexible STAR approach 0 0 0 2 0 0 8 39
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 1 3 0 0 7 26
Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach 0 0 1 6 0 0 13 29
Does Crime Affect Economic Growth? 32 74 221 1,677 555 1,484 4,311 21,081
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy 0 0 1 10 0 0 5 52
Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets 0 0 0 4 0 0 1 41
Financial clustering in presence of dominant markets 0 0 0 3 0 0 1 45
Forecasting realized volatility with changing average levels 0 0 0 15 0 1 5 75
Forecasting the macro determinants of bank credit quality: a non-linear perspective 0 0 1 3 0 0 1 3
Frontiers in Time Series Analysis: Introduction 0 0 0 57 0 0 0 162
Identifying financial time series with similar dynamic conditional correlation 0 0 0 31 0 0 4 98
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 3 8 0 1 8 43
Models to date the business cycle: The Italian case 0 0 0 43 0 0 6 138
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 2 3 0 1 9 31
Patterns of volatility transmissions within regime switching across GCC and global markets 0 0 1 25 0 0 14 129
Realized volatility forecasting: Robustness to measurement errors 0 0 1 7 0 4 8 26
Spatial effects in dynamic conditional correlations 0 0 1 2 0 1 4 21
The choice of time interval in seasonal adjustment: A heuristic approach 0 0 0 4 0 0 1 61
The multi-chain Markov switching model 0 0 0 128 0 1 7 303
Volatility clustering in the presence of time-varying model parameters 0 0 0 0 0 0 0 4
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 1 4 85 1 2 9 253
Volatility transmission across currencies and commodities with US uncertainty measures 0 0 1 8 0 1 5 36
Volatility transmission across markets: a Multichain Markov Switching model 0 0 0 89 0 0 2 280
Total Journal Articles 32 75 239 2,362 556 1,497 4,438 23,528


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 0 0
Total Chapters 0 0 0 0 0 0 0 0


Statistics updated 2022-06-07