Access Statistics for Edoardo Otranto

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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 0 3 50 1 4 24 87
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 0 277 0 0 7 917
A Realistic Model for Official Interest Rates 0 0 0 61 0 4 15 449
A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime 0 0 0 74 0 4 7 234
A Vector Multiplicative Error Model with Spillover Effects and Co-movements 0 0 2 10 0 5 14 26
Adding Flexibility to Markov Switching Models 0 1 1 77 0 6 19 107
Analisi degli effetti del residuo fiscale 0 0 0 0 0 4 7 15
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching 1 1 2 248 1 3 19 661
Classification of Volatility in Presence of Changes in Model Parameters 0 1 1 70 3 11 21 277
Classifying the Markets Volatility with ARMA Distance Measures 0 0 0 205 0 5 10 438
Clustering Heteroskedastic Time Series by Model-Based Procedures 0 0 0 140 0 10 29 472
Clustering Mutual Funds by Return and Risk Levels 0 2 6 201 1 6 17 594
Clustering Space-Time Series: A Flexible STAR Approach 0 0 0 68 2 6 13 66
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 0 0 90 0 5 15 107
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 0 57 2 5 10 60
Cycles in Crime and Economy Revised 0 0 0 106 0 2 8 368
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 1 2 5 14
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 96 1 2 8 382
Dating the Italian BUsiness Cycle: A Comparison of Procedures 0 0 1 307 1 6 23 1,273
Dating the Italian Business Cycle: A Comparison of Procedures 0 0 1 161 0 5 12 749
Does Crime Affect Economic Growth? 0 0 0 0 0 6 18 143
Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections 0 2 2 2 0 1 2 2
Extraction of Common Signal from Series with Different Frequency 0 0 0 149 1 5 11 538
Financial Clustering in Presence of Dominant Markets 0 0 0 3 0 6 10 51
Forecasting Realized Volatility with Changes of Regimes 0 0 0 100 0 3 7 136
Identifying Financial Time Series with Similar Dynamic Conditional Correlation 0 0 0 35 0 4 12 154
Il residuo fiscale nelle regioni italiane 0 0 0 0 0 3 10 17
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach 0 0 0 95 0 3 10 237
Indirect estimation of Markov switching models with endogenous switching 0 0 0 42 0 6 16 157
Measuring the Effects of Unconventional Policies on Stock Market Volatility 0 0 0 25 1 8 129 189
Misura dell’effetto criminalità sull’economia italiana 0 0 0 0 0 0 2 4
Model effect on projected mortality indicators 0 0 0 20 0 3 14 89
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models 0 0 0 0 1 2 11 20
Modeling the Dependence of Conditional Correlations on Volatility 0 0 0 148 0 3 21 241
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 0 1 6 42
Modeling the dependence of conditional correlations on volatility 0 0 0 27 1 2 6 69
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 0 7 0 3 9 33
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 1 45 0 3 15 79
Modelling the discrete and infrequent official interest rate change in the UK 0 0 0 60 0 3 8 251
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics 0 0 1 40 2 5 15 72
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 0 1 4 14 23
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 18 1 7 10 58
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 19 1 3 12 38
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 7 1 5 8 19
On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence 0 0 0 24 1 5 21 36
Realized Covariance Models with Time-varying Parameters and Spillover Effects 0 0 1 17 0 2 14 35
Realized Volatility Forecasting: Robustness to Measurement Errors 0 0 0 59 0 6 12 92
Realized Volatility and Change of Regimes 0 0 0 81 0 3 11 189
Realized covariance models with time-varying parameters and spillover effects 0 0 0 0 1 3 3 3
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models 0 0 0 252 0 2 14 706
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect 0 0 0 26 1 3 12 77
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter 0 0 0 356 0 4 16 769
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS 2 2 5 27 3 7 17 44
Spatial Effects in Dynamic Conditional Correlations 0 0 0 68 1 5 20 114
Spillover Effects in the Volatility of Financial Markets 0 0 1 54 1 2 12 150
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach 0 0 0 88 0 14 23 260
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools 0 0 0 15 1 5 12 131
The Markov Switching Asymmetric Multiplicative Error Model 0 1 1 55 1 6 19 131
Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models 0 0 6 6 1 4 7 7
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach 0 0 0 9 0 0 11 34
VOLatility Archive for Realized Estimates (VOLARE) 1 16 19 19 4 33 38 38
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 3 13 166
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 0 0 235 0 4 17 534
Volatility Swings in the US Financial Markets 0 0 0 45 0 3 7 119
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 1 1 1 120 1 3 11 305
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation 0 0 0 98 2 4 13 288
Volatility Transmission in Financial Markets: A New Approach 0 0 0 89 1 4 11 214
Volatility jumps and the classification of monetary policy announcements 0 0 0 4 0 2 12 20
Volatility jumps and the classification of monetary policy announcements 0 0 2 15 1 6 15 25
the Multi-State Markov Switching Model 1 1 1 356 2 3 13 643
Total Working Papers 6 28 58 5,297 46 320 1,033 15,088

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 61 0 4 19 248
A realistic model for official interest rate movements and their consequences 0 0 0 21 0 6 18 109
Asset allocation using flexible dynamic correlation models with regime switching 0 0 0 39 0 5 18 148
Capturing the Spillover Effect With Multiplicative Error Models 0 0 2 3 2 6 23 27
Clustering heteroskedastic time series by model-based procedures 0 0 1 34 0 3 13 125
Clustering space-time series: FSTAR as a flexible STAR approach 0 0 0 3 1 2 9 56
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 0 3 1 6 13 42
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 0 3 3 3
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 5 8
Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach 0 0 1 12 0 3 19 69
Does Crime Affect Economic Growth? 3 13 50 2,020 21 81 294 25,747
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy 0 0 0 10 1 1 11 64
Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets 0 0 0 6 0 5 11 57
Financial clustering in presence of dominant markets 0 0 0 3 1 3 6 51
Forecasting realized volatility with changing average levels 0 0 0 15 1 7 17 97
Forecasting the macro determinants of bank credit quality: a non-linear perspective 0 0 0 5 1 6 14 26
Frontiers in Time Series Analysis: Introduction 0 0 0 57 0 2 9 172
Identifying financial time series with similar dynamic conditional correlation 0 0 0 31 0 1 12 115
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models 0 1 1 5 0 3 11 17
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 1 11 0 2 10 60
Models to date the business cycle: The Italian case 0 0 0 45 0 5 13 155
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 1 5 0 4 17 50
On using fuzzy clustering for detecting the number of states in Markov switching models 0 0 0 0 0 5 16 16
Patterns of volatility transmissions within regime switching across GCC and global markets 0 0 0 26 0 5 17 154
Realized volatility forecasting: Robustness to measurement errors 1 1 1 15 2 13 22 66
Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS 2 2 2 4 2 3 12 17
Spatial effects in dynamic conditional correlations 0 0 0 2 0 0 7 33
The choice of time interval in seasonal adjustment: A heuristic approach 0 0 0 4 1 2 8 71
The multi-chain Markov switching model 0 1 3 134 0 4 19 332
Unconventional policies effects on stock market volatility: The MAP approach 0 0 0 2 0 3 16 19
Volatility clustering in the presence of time-varying model parameters 0 0 0 0 0 0 1 7
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 0 0 87 0 5 10 272
Volatility transmission across currencies and commodities with US uncertainty measures 0 0 0 9 2 4 15 57
Volatility transmission across markets: a Multichain Markov Switching model 0 0 0 89 3 3 6 286
Total Journal Articles 6 18 63 2,761 39 205 714 28,776

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 6 13
Clustering mutual funds by return and risk levels 0 0 0 0 0 2 2 2
Total Chapters 0 0 0 0 0 2 8 15

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Statistics updated 2026-06-04