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 0 1 40 0 0 3 35
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 0 271 1 4 10 895
A Realistic Model for Official Interest Rates 0 0 0 61 0 6 8 420
A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime 0 0 0 72 0 0 2 215
Adding Flexibility to Markov Switching Models 0 0 0 69 0 1 4 63
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching 0 0 0 242 0 0 6 629
Classification of Volatility in Presence of Changes in Model Parameters 0 0 3 60 0 7 31 181
Classifying the Markets Volatility with ARMA Distance Measures 0 0 1 203 0 0 7 417
Clustering Heteroskedastic Time Series by Model-Based Procedures 1 2 2 133 1 4 6 411
Clustering Mutual Funds by Return and Risk Levels 0 1 5 183 0 6 15 541
Clustering Space-Time Series: A Flexible STAR Approach 0 0 2 68 0 1 4 39
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 1 1 84 1 3 8 73
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 0 56 0 0 3 42
Cycles in Crime and Economy Revised 0 0 0 105 0 1 6 339
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 0 1 5 6
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 92 0 2 14 344
Dating the Italian BUsiness Cycle: A Comparison of Procedures 0 1 3 276 1 4 22 1,135
Dating the Italian Business Cycle: A Comparison of Procedures 0 0 2 152 0 2 13 716
Does Crime Affect Economic Growth? 0 0 0 0 4 10 30 42
Extraction of Common Signal from Series with Different Frequency 0 0 1 149 1 1 8 520
Financial Clustering in Presence of Dominant Markets 0 0 0 3 0 0 3 32
Forecasting Realized Volatility with Changes of Regimes 0 0 0 98 1 4 8 117
Identifying Financial Time Series with Similar Dynamic Conditional Correlation 0 0 0 33 1 6 10 125
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach 0 0 0 94 0 1 9 222
Indirect estimation of Markov switching models with endogenous switching 0 0 3 40 0 3 16 132
Model effect on projected mortality indicators 0 0 0 20 2 5 11 71
Modeling the Dependence of Conditional Correlations on Volatility 0 0 0 146 1 3 6 208
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 0 1 6 26
Modeling the dependence of conditional correlations on volatility 0 0 0 27 0 0 1 57
Modelling the discrete and infrequent official interest rate change in the UK 0 0 0 58 0 0 9 235
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 2 16 0 0 10 40
Realized Volatility and Change of Regimes 0 0 0 81 1 2 5 168
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models 0 0 0 247 0 0 4 673
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect 0 0 3 25 0 3 15 44
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter 0 0 0 356 0 0 3 747
Spatial Effects in Dynamic Conditional Correlations 0 0 1 66 3 4 10 83
Spillover Effects in the Volatility of Financial Markets 0 0 0 52 0 1 6 129
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach 0 0 0 88 0 1 3 232
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools 0 0 1 15 0 2 4 110
The Markov Switching Asymmetric Multiplicative Error Model 0 0 2 53 0 0 7 105
Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment 0 0 2 39 0 0 7 140
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 1 1 235 1 2 13 507
Volatility Swings in the US Financial Markets 0 0 2 45 1 1 10 109
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 0 1 3 117 1 4 9 287
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation 0 0 0 96 0 2 3 265
Volatility Transmission in Financial Markets: A New Approach 0 0 0 86 1 1 4 195
the Multi-State Markov Switching Model 0 0 3 337 0 1 11 595
Total Working Papers 1 7 44 4,789 22 100 408 12,717


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 60 0 0 2 220
A realistic model for official interest rate movements and their consequences 0 0 0 20 0 0 4 86
Asset allocation using flexible dynamic correlation models with regime switching 0 0 0 38 0 2 7 125
Clustering heteroskedastic time series by model-based procedures 0 0 0 29 0 0 5 99
Clustering space-time series: FSTAR as a flexible STAR approach 0 0 2 2 0 4 20 29
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 2 2 0 1 7 18
Does Crime Affect Economic Growth? 17 36 162 1,331 203 598 2,441 14,474
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy 0 0 0 9 0 0 1 47
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 37
Financial clustering in presence of dominant markets 0 0 0 3 1 3 10 44
Forecasting realized volatility with changing average levels 0 0 2 15 0 0 4 66
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 6 92
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 0 4 1 2 11 28
Models to date the business cycle: The Italian case 0 1 1 43 3 6 9 127
Patterns of volatility transmissions within regime switching across GCC and global markets 0 0 2 24 3 9 16 101
Spatial effects in dynamic conditional correlations 0 0 1 1 0 0 5 16
The choice of time interval in seasonal adjustment: A heuristic approach 0 0 0 4 0 0 2 59
The multi-chain Markov switching model 0 1 3 125 0 2 8 289
Volatility clustering in the presence of time-varying model parameters 0 0 0 0 0 0 3 3
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 1 2 80 0 2 8 235
Volatility transmission across currencies and commodities with US uncertainty measures 0 1 1 7 0 1 4 30
Volatility transmission across markets: a Multichain Markov Switching model 0 0 0 89 0 0 1 275
Total Journal Articles 17 40 179 1,978 211 630 2,575 16,662


Statistics updated 2020-11-03