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 0 346
A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors 0 1 3 99 0 2 4 96
A multivariate GARCH model for exchange rates volatility 0 0 1 548 0 3 8 1,413
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 2 3 25 0 7 15 109
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 0 0 122
Conditional jumps in volatility and their economic determinants 0 0 1 58 1 1 6 190
Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach 2 5 12 97 5 12 31 177
Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study 0 0 0 40 0 0 1 151
Estimation of long memory in integrated variance 0 1 2 48 0 1 4 151
Estimation of long memory in integrated variance 0 0 0 42 0 0 3 120
Euro corporate bonds risk factors 0 0 2 127 0 0 6 355
Independent Factor Autoregressive Conditional Density Model 0 1 1 135 0 3 7 371
Indirect inference with time series observed with error 0 0 0 55 1 1 2 81
Inference on Factor Structures in Heterogeneous Panels 0 0 0 10 0 0 1 53
Inference on Factor Structures in Heterogeneous Panels 0 2 4 77 1 3 8 182
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 0 137 0 0 5 363
Long memory and Periodicity in Intraday Volatility 0 1 2 132 0 1 7 319
Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis 0 0 0 157 0 0 1 394
Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows 0 1 1 34 0 1 3 99
Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows 0 1 3 92 1 3 21 183
Testing for no factor structures: on the use of average-type and Hausman-type statistics 0 1 1 52 0 1 1 70
Volatility jumps and their economic determinants 1 1 2 65 1 1 2 137
Total Working Papers 3 17 38 2,216 10 40 136 5,482


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 74
A two-stage estimator for heterogeneous panel models with common factors 0 0 3 4 0 0 5 18
Artificial regression testing in the GARCH-in-mean model 0 0 0 111 1 3 8 449
Chasing volatility 0 0 2 16 0 0 11 82
EURO CORPORATE BOND RISK FACTORS 0 0 0 0 0 0 5 78
Efficient importance sampling maximum likelihood estimation of stochastic differential equations 0 0 0 19 1 1 1 143
Estimation of Long Memory in Integrated Variance 0 0 0 6 0 0 5 74
Hedging interest rate risk with multivariate GARCH 0 0 0 223 1 1 2 583
Independent Factor Autoregressive Conditional Density Model 0 0 0 9 0 0 1 74
Indirect inference with time series observed with error 0 1 1 3 0 1 2 20
Inference on factor structures in heterogeneous panels 0 0 0 20 1 1 2 87
Long Memory and Periodicity in Intraday Volatility 0 0 0 12 0 0 1 58
Long memory and tail dependence in trading volume and volatility 0 0 0 27 1 1 3 131
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis 0 0 0 20 0 0 0 98
Structural analysis with mixed-frequency data: A model of US capital flows 0 1 6 11 0 2 21 42
Testing for no factor structures: On the use of Hausman-type statistics 0 0 0 7 0 0 0 73
Univariate GARCH models: a survey (in Russian) 0 0 3 101 2 3 17 243
Volatility Jumps and Their Economic Determinants 0 0 0 5 28 28 30 59
Total Journal Articles 0 2 15 594 35 41 114 2,386


Statistics updated 2022-11-05