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 3 3 5 354
A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors 0 0 0 100 0 1 11 110
A multivariate GARCH model for exchange rates volatility 0 0 0 551 4 5 17 1,441
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 1 26 2 3 12 126
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 1 3 7 134
Conditional jumps in volatility and their economic determinants 0 0 0 63 3 6 14 210
Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach 0 0 1 109 5 7 19 241
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 49 2 4 10 166
Estimation of long memory in integrated variance 0 0 0 42 4 5 10 130
Euro corporate bonds risk factors 0 0 1 128 0 0 8 365
Fast Online Changepoint Detection 0 0 1 9 2 3 9 25
Independent Factor Autoregressive Conditional Density Model 0 0 0 138 3 4 11 395
Indirect inference with time series observed with error 0 0 1 56 1 1 6 91
Inference on Factor Structures in Heterogeneous Panels 0 0 0 77 1 3 12 196
Inference on Factor Structures in Heterogeneous Panels 0 0 0 10 0 1 6 59
Long Memory and Tail dependence in Trading Volume and Volatility 1 1 1 138 3 3 9 374
Long memory and Periodicity in Intraday Volatility 0 0 0 135 4 9 19 344
Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis 0 0 0 157 1 1 16 414
Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows 0 0 0 48 1 2 7 152
Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows 0 0 1 36 1 1 13 119
Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows 0 0 0 99 3 3 11 224
Testing for no factor structures: on the use of average-type and Hausman-type statistics 0 0 0 54 1 3 8 83
Volatility jumps and their economic determinants 0 0 0 70 1 1 9 156
Total Working Papers 1 1 7 2,322 46 72 259 6,071

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 3 4 10 85
A two-stage estimator for heterogeneous panel models with common factors 0 0 1 5 1 3 12 32
Artificial regression testing in the GARCH-in-mean model 0 0 0 111 3 3 8 464
Chasing volatility 0 0 1 21 1 4 18 116
EURO CORPORATE BOND RISK FACTORS 0 0 0 0 1 1 5 87
Efficient importance sampling maximum likelihood estimation of stochastic differential equations 0 0 0 19 3 4 13 159
Estimation of Long Memory in Integrated Variance 0 0 0 6 4 5 17 92
Hedging interest rate risk with multivariate GARCH 0 0 0 223 3 4 10 596
Independent Factor Autoregressive Conditional Density Model 0 0 1 11 2 2 11 91
Indirect inference with time series observed with error 0 0 0 6 2 3 11 37
Inference on factor structures in heterogeneous panels 0 0 1 23 0 0 6 102
Long Memory and Periodicity in Intraday Volatility 0 0 0 13 2 3 15 77
Long memory and tail dependence in trading volume and volatility 0 0 0 27 3 4 15 148
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis 0 0 1 22 2 3 14 115
Structural analysis with mixed-frequency data: A model of US capital flows 1 1 2 17 2 3 19 83
Testing for no factor structures: On the use of Hausman-type statistics 0 0 1 8 0 1 5 82
The role of uncertainty in forecasting volatility comovements across stock markets 0 0 0 5 3 5 11 28
Univariate GARCH models: a survey (in Russian) 0 1 2 108 3 6 15 283
Volatility Jumps and Their Economic Determinants 0 0 0 9 1 3 9 89
Total Journal Articles 1 2 10 634 39 61 224 2,766

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Statistics updated 2026-05-06