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 42 0 0 4 48
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 0 277 0 0 1 908
A Realistic Model for Official Interest Rates 0 0 0 61 0 0 0 432
A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime 0 1 1 74 0 1 1 226
Adding Flexibility to Markov Switching Models 1 1 2 76 2 2 3 85
Analisi degli effetti del residuo fiscale 0 0 0 0 0 0 0 6
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching 0 0 1 244 0 0 2 638
Classification of Volatility in Presence of Changes in Model Parameters 0 0 1 69 0 1 8 255
Classifying the Markets Volatility with ARMA Distance Measures 0 0 0 203 0 1 3 424
Clustering Heteroskedastic Time Series by Model-Based Procedures 1 2 4 140 1 3 12 440
Clustering Mutual Funds by Return and Risk Levels 0 0 3 191 0 0 4 570
Clustering Space-Time Series: A Flexible STAR Approach 0 0 0 68 0 0 0 51
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 0 0 88 0 0 0 90
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 0 56 0 0 0 48
Cycles in Crime and Economy Revised 0 0 0 106 0 1 3 357
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 96 0 3 8 371
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors 0 0 0 0 0 0 0 7
Dating the Italian BUsiness Cycle: A Comparison of Procedures 2 2 7 298 5 5 27 1,214
Dating the Italian Business Cycle: A Comparison of Procedures 0 0 1 157 1 1 3 731
Does Crime Affect Economic Growth? 0 0 0 0 1 8 19 113
Extraction of Common Signal from Series with Different Frequency 0 0 0 149 0 0 2 525
Financial Clustering in Presence of Dominant Markets 0 0 0 3 0 0 1 41
Forecasting Realized Volatility with Changes of Regimes 1 1 1 99 1 1 1 126
Identifying Financial Time Series with Similar Dynamic Conditional Correlation 0 0 0 35 0 1 1 141
Il residuo fiscale nelle regioni italiane 0 0 0 0 0 0 0 5
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach 0 0 0 95 0 0 0 227
Indirect estimation of Markov switching models with endogenous switching 0 0 1 41 1 1 2 138
Measuring the Effects of Unconventional Policies on Stock Market Volatility 0 0 1 25 0 0 3 57
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 1 1 74
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models 0 0 0 0 0 1 1 8
Modeling the Dependence of Conditional Correlations on Volatility 0 0 1 148 0 1 2 218
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 0 0 0 34
Modeling the dependence of conditional correlations on volatility 0 0 0 27 0 0 0 62
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 0 7 0 0 0 21
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models 0 0 2 42 1 2 6 57
Modelling the discrete and infrequent official interest rate change in the UK 0 0 0 60 0 0 0 242
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 0 0 0 1 8
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 18 0 0 0 47
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 19 0 1 1 25
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 7 0 0 1 11
On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence 0 0 23 23 0 2 12 12
Realized Volatility Forecasting: Robustness to Measurement Errors 0 0 1 58 0 0 3 75
Realized Volatility and Change of Regimes 0 0 0 81 0 0 0 177
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models 0 1 2 250 0 1 5 686
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect 0 0 1 26 0 1 4 61
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter 0 0 0 356 0 0 2 750
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS 0 1 5 22 3 6 14 24
Spatial Effects in Dynamic Conditional Correlations 1 1 2 68 1 1 2 90
Spillover Effects in the Volatility of Financial Markets 0 0 0 53 0 0 1 138
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach 0 0 0 88 0 0 0 237
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools 0 0 0 15 0 0 0 116
The Markov Switching Asymmetric Multiplicative Error Model 0 0 0 54 0 0 0 110
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach 0 0 0 9 0 0 0 23
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 2 149
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 0 0 235 0 0 1 517
Volatility Swings in the US Financial Markets 0 0 0 45 0 0 1 112
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 0 1 2 119 0 1 2 294
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation 0 0 1 98 0 0 2 273
Volatility Transmission in Financial Markets: A New Approach 0 0 0 89 0 0 1 201
Volatility jumps and the classification of monetary policy announcements 0 1 4 4 0 2 5 5
Volatility jumps and the classification of monetary policy announcements 0 0 12 12 0 1 6 6
the Multi-State Markov Switching Model 0 0 1 354 0 0 2 628
Total Working Papers 6 12 81 5,139 17 50 186 13,766


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 1 226
A realistic model for official interest rate movements and their consequences 0 0 0 21 0 0 0 89
Asset allocation using flexible dynamic correlation models with regime switching 0 0 0 38 0 0 1 129
Capturing the Spillover Effect With Multiplicative Error Models 0 0 0 0 0 0 0 2
Clustering heteroskedastic time series by model-based procedures 0 0 1 33 0 0 1 111
Clustering space-time series: FSTAR as a flexible STAR approach 0 0 1 3 0 0 3 42
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 0 3 0 0 0 27
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 0 0
Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach 0 0 2 9 0 3 10 43
Does Crime Affect Economic Growth? 5 23 104 1,886 45 210 1,516 24,737
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy 0 0 0 10 0 0 0 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 42
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 0 1 3 79
Forecasting the macro determinants of bank credit quality: a non-linear perspective 0 0 0 4 0 0 3 8
Frontiers in Time Series Analysis: Introduction 0 0 0 57 0 0 1 163
Identifying financial time series with similar dynamic conditional correlation 0 0 0 31 0 0 1 100
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 0 9 0 0 1 46
Models to date the business cycle: The Italian case 0 0 0 43 0 0 0 139
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 1 4 0 0 1 33
Patterns of volatility transmissions within regime switching across GCC and global markets 0 0 0 25 0 0 1 134
Realized volatility forecasting: Robustness to measurement errors 0 0 4 12 0 0 7 39
Spatial effects in dynamic conditional correlations 0 0 0 2 0 0 0 22
The choice of time interval in seasonal adjustment: A heuristic approach 0 0 0 4 0 0 1 62
The multi-chain Markov switching model 0 0 1 129 0 0 2 307
Unconventional policies effects on stock market volatility: The MAP approach 0 0 0 0 0 0 0 0
Volatility clustering in the presence of time-varying model parameters 0 0 0 0 0 0 1 5
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 1 1 87 0 1 2 260
Volatility transmission across currencies and commodities with US uncertainty measures 0 1 1 9 1 2 2 40
Total Journal Articles 5 25 116 2,501 46 217 1,559 26,982
1 registered items for which data could not be found


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 2
Total Chapters 0 0 0 0 0 0 0 2


Statistics updated 2024-02-04