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 1 4 6 355
A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors 0 0 0 100 1 1 12 111
A multivariate GARCH model for exchange rates volatility 0 0 0 551 0 5 17 1,441
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 1 26 0 3 12 126
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 3 7 134
Conditional jumps in volatility and their economic determinants 0 0 0 63 0 3 14 210
Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach 0 0 0 109 1 7 18 242
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 42 0 4 10 130
Estimation of long memory in integrated variance 0 0 0 49 0 2 10 166
Euro corporate bonds risk factors 0 0 1 128 1 1 9 366
Fast Online Changepoint Detection 0 0 0 9 0 3 8 25
Independent Factor Autoregressive Conditional Density Model 0 0 0 138 2 5 13 397
Indirect inference with time series observed with error 0 0 1 56 2 3 8 93
Inference on Factor Structures in Heterogeneous Panels 0 0 0 10 0 0 6 59
Inference on Factor Structures in Heterogeneous Panels 0 0 0 77 0 1 12 196
Long Memory and Tail dependence in Trading Volume and Volatility 0 1 1 138 1 4 10 375
Long memory and Periodicity in Intraday Volatility 0 0 0 135 1 8 18 345
Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis 0 0 0 157 0 1 16 414
Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows 0 0 0 48 1 2 8 153
Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows 0 0 0 36 0 1 12 119
Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows 0 0 0 99 4 7 14 228
Testing for no factor structures: on the use of average-type and Hausman-type statistics 0 0 0 54 0 1 8 83
Volatility jumps and their economic determinants 0 0 0 70 0 1 9 156
Total Working Papers 0 1 4 2,322 15 70 267 6,086

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 4 10 85
A two-stage estimator for heterogeneous panel models with common factors 0 0 1 5 2 4 14 34
Artificial regression testing in the GARCH-in-mean model 0 0 0 111 0 3 8 464
Chasing volatility 0 0 1 21 2 5 20 118
EURO CORPORATE BOND RISK FACTORS 0 0 0 0 0 1 5 87
Efficient importance sampling maximum likelihood estimation of stochastic differential equations 0 0 0 19 0 4 13 159
Estimation of Long Memory in Integrated Variance 0 0 0 6 1 5 18 93
Hedging interest rate risk with multivariate GARCH 0 0 0 223 0 3 10 596
Independent Factor Autoregressive Conditional Density Model 0 0 1 11 0 2 11 91
Indirect inference with time series observed with error 0 0 0 6 0 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 5 17 79
Long memory and tail dependence in trading volume and volatility 0 0 0 27 1 4 16 149
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis 0 0 1 22 0 2 14 115
Structural analysis with mixed-frequency data: A model of US capital flows 0 1 2 17 2 4 21 85
Testing for no factor structures: On the use of Hausman-type statistics 0 0 0 8 0 0 4 82
The role of uncertainty in forecasting volatility comovements across stock markets 0 0 0 5 0 3 11 28
Univariate GARCH models: a survey (in Russian) 0 1 2 108 1 5 15 284
Volatility Jumps and Their Economic Determinants 0 0 0 9 2 3 10 91
Total Journal Articles 0 2 9 634 13 60 234 2,779

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Statistics updated 2026-06-04