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 1 2 351
A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors 0 0 0 100 1 7 12 110
A multivariate GARCH model for exchange rates volatility 0 0 1 551 0 6 13 1,436
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 1 26 0 5 10 123
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 2 5 131
Conditional jumps in volatility and their economic determinants 0 0 0 63 3 7 11 207
Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach 0 0 1 109 1 4 17 235
Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study 0 0 0 41 0 8 10 162
Estimation of long memory in integrated variance 0 0 0 42 1 2 6 126
Estimation of long memory in integrated variance 0 0 0 49 2 5 8 164
Euro corporate bonds risk factors 0 0 1 128 0 4 8 365
Fast Online Changepoint Detection 0 0 1 9 0 2 7 22
Independent Factor Autoregressive Conditional Density Model 0 0 0 138 1 7 9 392
Indirect inference with time series observed with error 0 0 1 56 0 2 5 90
Inference on Factor Structures in Heterogeneous Panels 0 0 0 10 1 5 6 59
Inference on Factor Structures in Heterogeneous Panels 0 0 0 77 2 8 11 195
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 0 137 0 3 6 371
Long memory and Periodicity in Intraday Volatility 0 0 0 135 2 8 12 337
Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis 0 0 0 157 0 13 16 413
Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows 0 0 0 48 1 5 7 151
Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows 0 0 1 36 0 7 12 118
Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows 0 0 0 99 0 3 8 221
Testing for no factor structures: on the use of average-type and Hausman-type statistics 0 0 2 54 2 6 9 82
Volatility jumps and their economic determinants 0 0 0 70 0 1 9 155
Total Working Papers 0 0 9 2,321 17 121 219 6,016

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 3 6 81
A two-stage estimator for heterogeneous panel models with common factors 0 1 1 5 1 8 10 30
Artificial regression testing in the GARCH-in-mean model 0 0 0 111 0 1 5 461
Chasing volatility 0 0 1 21 1 9 16 113
EURO CORPORATE BOND RISK FACTORS 0 0 0 0 0 0 5 86
Efficient importance sampling maximum likelihood estimation of stochastic differential equations 0 0 0 19 0 7 9 155
Estimation of Long Memory in Integrated Variance 0 0 0 6 1 11 13 88
Hedging interest rate risk with multivariate GARCH 0 0 0 223 1 5 7 593
Independent Factor Autoregressive Conditional Density Model 0 0 2 11 0 4 10 89
Indirect inference with time series observed with error 0 0 0 6 0 6 8 34
Inference on factor structures in heterogeneous panels 0 0 1 23 0 3 6 102
Long Memory and Periodicity in Intraday Volatility 0 0 1 13 0 9 13 74
Long memory and tail dependence in trading volume and volatility 0 0 0 27 1 7 12 145
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis 0 0 2 22 1 8 13 113
Structural analysis with mixed-frequency data: A model of US capital flows 0 0 1 16 1 9 18 81
Testing for no factor structures: On the use of Hausman-type statistics 0 0 1 8 1 4 5 82
The role of uncertainty in forecasting volatility comovements across stock markets 0 0 0 5 2 7 8 25
Univariate GARCH models: a survey (in Russian) 0 0 1 107 2 6 13 279
Volatility Jumps and Their Economic Determinants 0 0 0 9 2 5 8 88
Total Journal Articles 0 1 11 632 14 112 185 2,719

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Statistics updated 2026-03-04