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 0 0 349
A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors 0 0 0 100 0 0 1 99
A multivariate GARCH model for exchange rates volatility 0 0 1 551 0 0 2 1,424
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 0 25 0 0 3 114
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 0 3 127
Conditional jumps in volatility and their economic determinants 0 0 1 63 0 1 2 197
Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach 0 1 2 109 2 5 18 227
Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study 0 0 1 41 0 0 1 152
Estimation of long memory in integrated variance 0 0 0 49 0 0 3 156
Estimation of long memory in integrated variance 0 0 0 42 0 0 0 120
Euro corporate bonds risk factors 0 0 0 127 0 0 1 357
Fast Online Changepoint Detection 0 1 1 9 0 1 6 17
Independent Factor Autoregressive Conditional Density Model 0 0 0 138 0 1 3 385
Indirect inference with time series observed with error 0 0 0 55 0 0 2 85
Inference on Factor Structures in Heterogeneous Panels 0 0 0 10 0 0 0 53
Inference on Factor Structures in Heterogeneous Panels 0 0 0 77 0 0 0 184
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 0 137 1 1 1 366
Long memory and Periodicity in Intraday Volatility 0 0 0 135 0 2 4 327
Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis 0 0 0 157 0 0 1 398
Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows 0 0 0 48 0 0 1 145
Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows 0 1 1 36 0 1 5 107
Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows 0 0 3 99 0 1 11 214
Testing for no factor structures: on the use of average-type and Hausman-type statistics 0 0 2 54 0 0 3 75
Volatility jumps and their economic determinants 0 0 1 70 0 0 3 147
Total Working Papers 0 3 13 2,318 3 13 74 5,825

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 0 75
A two-stage estimator for heterogeneous panel models with common factors 0 0 0 4 0 0 2 20
Artificial regression testing in the GARCH-in-mean model 0 0 0 111 0 0 3 456
Chasing volatility 0 0 0 20 1 1 3 99
EURO CORPORATE BOND RISK FACTORS 0 0 0 0 0 0 1 82
Efficient importance sampling maximum likelihood estimation of stochastic differential equations 0 0 0 19 0 1 3 147
Estimation of Long Memory in Integrated Variance 0 0 0 6 2 2 2 77
Hedging interest rate risk with multivariate GARCH 0 0 0 223 0 0 1 586
Independent Factor Autoregressive Conditional Density Model 1 1 2 11 1 2 4 82
Indirect inference with time series observed with error 0 0 1 6 0 0 3 26
Inference on factor structures in heterogeneous panels 0 0 0 22 1 1 2 97
Long Memory and Periodicity in Intraday Volatility 0 0 1 13 0 0 1 62
Long memory and tail dependence in trading volume and volatility 0 0 0 27 0 0 1 133
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis 0 0 1 21 0 0 1 101
Structural analysis with mixed-frequency data: A model of US capital flows 0 0 0 15 3 5 8 69
Testing for no factor structures: On the use of Hausman-type statistics 0 1 1 8 0 1 2 78
The role of uncertainty in forecasting volatility comovements across stock markets 0 0 0 5 0 1 4 18
Univariate GARCH models: a survey (in Russian) 0 0 1 106 0 1 11 269
Volatility Jumps and Their Economic Determinants 0 0 1 9 0 1 8 81
Total Journal Articles 1 2 8 626 8 16 60 2,558

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Statistics updated 2025-08-05