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 6 345
A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors 0 0 0 95 0 0 1 87
A multivariate GARCH model for exchange rates volatility 0 1 8 545 0 1 30 1,396
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 1 2 22 1 2 9 86
Chasing volatility - A persistent multiplicative error model with jumps 0 0 1 91 0 1 7 120
Conditional jumps in volatility and their economic determinants 1 1 3 52 1 3 8 172
Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach 3 6 26 71 5 15 64 107
Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study 0 0 1 40 0 0 1 148
Estimation of long memory in integrated variance 0 0 0 44 1 1 4 140
Estimation of long memory in integrated variance 0 0 0 42 1 1 5 112
Euro corporate bonds risk factors 0 0 4 119 1 2 10 340
Independent Factor Autoregressive Conditional Density Model 0 1 3 132 2 5 21 354
Indirect inference with time series observed with error 0 0 1 55 0 0 5 77
Inference on Factor Structures in Heterogeneous Panels 0 0 0 71 0 2 3 169
Inference on Factor Structures in Heterogeneous Panels 0 0 0 9 0 0 1 48
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 0 137 2 6 16 335
Long memory and Periodicity in Intraday Volatility 0 1 3 129 0 1 18 303
Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis 0 0 1 156 0 0 8 390
Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows 0 1 3 29 2 3 21 85
Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows 1 1 4 85 4 10 42 144
Testing for no factor structures: on the use of average-type and Hausman-type statistics 0 0 2 51 0 0 5 68
Volatility jumps and their economic determinants 1 1 2 61 1 2 12 131
Total Working Papers 6 14 64 2,131 21 57 297 5,157


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 0 0 6 71
A two-stage estimator for heterogeneous panel models with common factors 0 1 1 1 1 3 8 12
Artificial regression testing in the GARCH-in-mean model 0 0 1 111 1 2 5 439
Chasing volatility 0 0 3 13 1 4 12 60
EURO CORPORATE BOND RISK FACTORS 0 0 0 0 1 1 5 65
Efficient importance sampling maximum likelihood estimation of stochastic differential equations 0 0 0 19 0 3 10 137
Estimation of Long Memory in Integrated Variance 0 0 0 6 1 9 13 65
Hedging interest rate risk with multivariate GARCH 0 1 1 222 0 1 2 580
Independent Factor Autoregressive Conditional Density Model 1 1 1 9 2 2 3 67
Indirect inference with time series observed with error 0 0 0 2 0 1 5 17
Inference on factor structures in heterogeneous panels 0 0 1 20 0 0 2 84
Long Memory and Periodicity in Intraday Volatility 0 0 0 12 0 0 5 55
Long memory and tail dependence in trading volume and volatility 0 0 1 25 1 1 2 119
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis 0 0 0 20 0 0 6 94
Structural analysis with mixed-frequency data: A model of US capital flows 0 0 1 1 2 7 11 11
Testing for no factor structures: On the use of Hausman-type statistics 0 0 0 7 1 1 4 68
Univariate GARCH models: a survey (in Russian) 0 1 9 96 3 7 23 216
Volatility Jumps and Their Economic Determinants 1 1 3 4 2 3 11 22
Total Journal Articles 2 5 22 568 16 45 133 2,182


Statistics updated 2021-01-03