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 1 350
A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors 0 0 0 100 3 4 5 103
A multivariate GARCH model for exchange rates volatility 0 0 1 551 3 6 7 1,430
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 1 1 26 1 4 6 118
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 1 2 4 129
Conditional jumps in volatility and their economic determinants 0 0 0 63 2 3 4 200
Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach 0 0 2 109 0 2 18 231
Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study 0 0 1 41 1 1 3 154
Estimation of long memory in integrated variance 0 0 0 42 1 3 4 124
Estimation of long memory in integrated variance 0 0 0 49 2 2 5 159
Euro corporate bonds risk factors 1 1 1 128 3 4 4 361
Fast Online Changepoint Detection 0 0 1 9 0 2 7 20
Independent Factor Autoregressive Conditional Density Model 0 0 0 138 0 0 2 385
Indirect inference with time series observed with error 1 1 1 56 3 3 5 88
Inference on Factor Structures in Heterogeneous Panels 0 0 0 10 1 1 1 54
Inference on Factor Structures in Heterogeneous Panels 0 0 0 77 2 3 3 187
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 0 137 1 2 3 368
Long memory and Periodicity in Intraday Volatility 0 0 0 135 0 1 5 329
Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis 0 0 0 157 2 2 3 400
Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows 0 0 0 48 1 1 2 146
Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows 0 0 1 36 1 4 6 111
Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows 0 0 1 99 2 4 7 218
Testing for no factor structures: on the use of average-type and Hausman-type statistics 0 0 2 54 1 1 3 76
Volatility jumps and their economic determinants 0 0 0 70 4 5 9 154
Total Working Papers 2 3 12 2,321 35 60 117 5,895

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 2 3 3 78
A two-stage estimator for heterogeneous panel models with common factors 0 0 0 4 1 2 2 22
Artificial regression testing in the GARCH-in-mean model 0 0 0 111 4 4 4 460
Chasing volatility 0 1 1 21 4 5 7 104
EURO CORPORATE BOND RISK FACTORS 0 0 0 0 2 3 5 86
Efficient importance sampling maximum likelihood estimation of stochastic differential equations 0 0 0 19 1 1 3 148
Estimation of Long Memory in Integrated Variance 0 0 0 6 0 0 2 77
Hedging interest rate risk with multivariate GARCH 0 0 0 223 1 2 3 588
Independent Factor Autoregressive Conditional Density Model 0 0 2 11 3 3 7 85
Indirect inference with time series observed with error 0 0 0 6 1 2 3 28
Inference on factor structures in heterogeneous panels 0 1 1 23 1 2 4 99
Long Memory and Periodicity in Intraday Volatility 0 0 1 13 2 2 4 65
Long memory and tail dependence in trading volume and volatility 0 0 0 27 2 5 6 138
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis 0 1 2 22 2 4 5 105
Structural analysis with mixed-frequency data: A model of US capital flows 0 0 1 16 1 1 10 72
Testing for no factor structures: On the use of Hausman-type statistics 0 0 1 8 0 0 1 78
The role of uncertainty in forecasting volatility comovements across stock markets 0 0 0 5 0 0 1 18
Univariate GARCH models: a survey (in Russian) 1 1 1 107 1 4 9 273
Volatility Jumps and Their Economic Determinants 0 0 1 9 1 2 10 83
Total Journal Articles 1 4 11 631 29 45 89 2,607

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Statistics updated 2025-12-06