Access Statistics for Eduardo Rossi

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 No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility 0 0 0 95 0 2 7 356
A Structural Matrix Autoregressive Model for the Joint Dynamics of Volume, Volatility, and Returns 0 4 4 4 2 6 6 6
A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors 0 0 0 100 0 2 13 112
A multivariate GARCH model for exchange rates volatility 0 0 0 551 0 1 18 1,442
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 1 26 0 0 12 126
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 0 7 134
Conditional jumps in volatility and their economic determinants 0 0 0 63 0 2 15 212
Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach 1 1 1 110 3 4 18 245
Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study 0 0 0 41 0 0 10 162
Estimation of long memory in integrated variance 0 0 0 42 0 0 10 130
Estimation of long memory in integrated variance 0 0 0 49 2 2 12 168
Euro corporate bonds risk factors 0 0 1 128 1 2 10 367
Fast Online Changepoint Detection 1 2 2 11 1 2 10 27
Independent Factor Autoregressive Conditional Density Model 0 0 0 138 0 3 13 398
Indirect inference with time series observed with error 0 0 1 56 1 3 9 94
Inference on Factor Structures in Heterogeneous Panels 0 0 0 10 0 0 6 59
Inference on Factor Structures in Heterogeneous Panels 0 0 0 77 0 0 12 196
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 1 138 0 2 10 376
Long memory and Periodicity in Intraday Volatility 0 0 0 135 0 2 19 346
Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis 0 0 0 157 0 0 16 414
Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows 0 0 0 48 1 2 9 154
Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows 0 0 0 36 1 1 13 120
Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows 1 1 1 100 1 7 17 231
Testing for no factor structures: on the use of average-type and Hausman-type statistics 0 0 0 54 0 0 8 83
Volatility jumps and their economic determinants 0 0 0 70 0 0 9 156
Total Working Papers 3 8 12 2,330 13 43 289 6,114

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges 0 0 0 0 1 1 11 86
A two-stage estimator for heterogeneous panel models with common factors 0 0 1 5 0 2 14 34
Artificial regression testing in the GARCH-in-mean model 0 0 0 111 0 1 9 465
Chasing volatility 0 0 1 21 1 3 20 119
EURO CORPORATE BOND RISK FACTORS 0 0 0 0 2 2 7 89
Efficient importance sampling maximum likelihood estimation of stochastic differential equations 0 0 0 19 0 0 12 159
Estimation of Long Memory in Integrated Variance 0 0 0 6 0 1 16 93
Fast on-line changepoint detection using heavily-weighted CUSUM and veto-based decision rules 1 4 4 4 1 5 20 20
Hedging interest rate risk with multivariate GARCH 0 0 0 223 0 0 10 596
Independent Factor Autoregressive Conditional Density Model 0 0 0 11 0 0 9 91
Indirect inference with time series observed with error 0 0 0 6 2 2 13 39
Inference on factor structures in heterogeneous panels 0 0 1 23 0 1 6 103
Long Memory and Periodicity in Intraday Volatility 0 0 0 13 0 3 18 80
Long memory and tail dependence in trading volume and volatility 0 0 0 27 1 2 17 150
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis 0 0 1 22 2 2 16 117
Structural analysis with mixed-frequency data: A model of US capital flows 0 0 2 17 1 4 18 87
Testing for no factor structures: On the use of Hausman-type statistics 0 0 0 8 0 0 4 82
The role of uncertainty in forecasting volatility comovements across stock markets 0 0 0 5 0 0 10 28
Univariate GARCH models: a survey (in Russian) 0 0 2 108 0 1 15 284
Volatility Jumps and Their Economic Determinants 0 0 0 9 3 5 13 94
Total Journal Articles 1 4 12 638 14 35 258 2,816

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Statistics updated 2026-08-07