Edoardo Otranto : Citation Profile


Are you Edoardo Otranto?

Centro Ricerche Nord Sud (CRENoS) (50% share)

11

H index

11

i10 index

343

Citations

RESEARCH PRODUCTION:

28

Articles

58

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (2001 - 2021). See details.
   Cites by year: 17
   Journals where Edoardo Otranto has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 46 (11.83 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pot5
   Updated: 2021-11-28    RAS profile: 2021-03-27    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Gallo, Giampiero (9)

Bauwens, Luc (7)

Authors registered in RePEc who have co-authored more than one work in the last five years with Edoardo Otranto.

Is cited by:

Gallo, Giampiero (8)

Masih, Abul (8)

Detotto, Claudio (7)

Balcilar, Mehmet (7)

DE TRUCHIS, Gilles (6)

Keddad, Benjamin (6)

Khalifa, Ahmed (6)

ALOY, Marcel (6)

Dufrénot, Gilles (6)

Petronevich, Anna (5)

YAYA, MEHMET (5)

Cites to:

Gallo, Giampiero (91)

Engle, Robert (73)

Hamilton, James (42)

Bollerslev, Tim (42)

Hammoudeh, Shawkat (35)

Diebold, Francis (26)

Edwards, Sebastian (24)

Andersen, Torben (20)

Hansen, Peter (18)

McAleer, Michael (17)

Lunde, Asger (17)

Main data


Where Edoardo Otranto has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis3
Economic Modelling2
Journal of Applied Statistics2
International Journal of Forecasting2
Advances in Data Analysis and Classification2

Working Papers Series with more than one paper published# docs
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"10
Econometrics / University Library of Munich, Germany6
Post-Print / HAL5
Papers / arXiv.org2
ISAE Working Papers / ISTAT - Italian National Institute of Statistics - (Rome, ITALY)2

Recent works citing Edoardo Otranto (2021 and 2020)


YearTitle of citing document
2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

Full description at Econpapers || Download paper

2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

Full description at Econpapers || Download paper

2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

Full description at Econpapers || Download paper

2020Crime, different taxation, police spending and embodied human capital. (2020). Lim, King Yoong ; Jia, Pengfei ; Raza, Ali. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:5:p:664-698.

Full description at Econpapers || Download paper

2020The economic impact of organized crime infiltration in the legal economy: evidence from the judicial administration of organized crime firms. (2020). Drago, Francesco ; Calamunci, Francesca. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14326.

Full description at Econpapers || Download paper

2020Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach. (2020). Zhang, Tonghui ; Yuan, Ying. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:140:y:2020:i:c:s0960077920306482.

Full description at Econpapers || Download paper

2021Spillovers between sovereign CDS and exchange rate markets: The role of market fear. (2021). Feng, Qianqian ; Li, Jian Ping ; Liu, Chang ; Sun, Xiaolei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301960.

Full description at Econpapers || Download paper

2021A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation. (2021). Hong, Won-Tak ; Hwang, Eunju. In: Economics Letters. RePEc:eee:ecolet:v:203:y:2021:i:c:s0165176521001324.

Full description at Econpapers || Download paper

2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

Full description at Econpapers || Download paper

2020Algorithmic trading for online portfolio selection under limited market liquidity. (2020). Zhang, Hai. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1033-1051.

Full description at Econpapers || Download paper

2020How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics. (2020). Wang, Xinyu ; Vivian, Andrew ; Sirichand, Kavita ; Tan, Xueping. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320302103.

Full description at Econpapers || Download paper

2020Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence. (2020). Chevallier, Julien ; Wang, Jiqian ; Ma, Feng ; Huang, Yisu. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302371.

Full description at Econpapers || Download paper

2020Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19. (2020). Corbet, Shaen ; Gunay, Samet ; Goodell, John W. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303182.

Full description at Econpapers || Download paper

2021Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Yoon, Seong-Min ; Hernandez, Jose Arroeola ; Mensi, Walid. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000156.

Full description at Econpapers || Download paper

2021From Shanghai to Sydney: Chinese stock market influences on Australia. (2021). Burdekin, Richard ; Tao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319301151.

Full description at Econpapers || Download paper

2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

Full description at Econpapers || Download paper

2021Does higher unemployment lead to greater criminality? Revisiting the debate over the business cycle. (2021). JAWADI, Fredj ; Cheffou, Abdoulkarim Idi ; Mallick, Sushanta K ; Augustine, Anish. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:448-471.

Full description at Econpapers || Download paper

2020When US sneezes, clichés spread: How do the commodity index funds react then?. (2020). Phani, B V ; Rahman, Abdul ; Ahmad, Wasim ; Awasthi, Kritika. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308898.

Full description at Econpapers || Download paper

2021The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China. (2021). Zhang, Hongwei ; Gao, Wang ; Liu, Yuanyuan ; Niu, Zibo. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001872.

Full description at Econpapers || Download paper

2020Volatility connectedness in global foreign exchange markets. (2020). Wang, Gang-Jin ; Wen, Tiange. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:54:y:2020:i:c:s1042444x20300062.

Full description at Econpapers || Download paper

2020Forecasting volatility of the Chinese stock markets using TVP HAR-type models. (2020). Zhang, Yifeng ; Chen, Xiaodan ; Wang, Yan ; Liu, Guangqiang ; Shang, Yue. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319247.

Full description at Econpapers || Download paper

2020The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market. (2020). Lee, Chingnun ; Chang, Kuang-Liang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:374-388.

Full description at Econpapers || Download paper

2021Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Ding, Hui ; Wang, Jiqian ; Ma, Feng ; Lu, Botao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:672-689.

Full description at Econpapers || Download paper

2020Inter- and intra-regional stock market relations for the GCC bloc. (2020). Herbst, Patrick ; Ziadat, Salem Adel ; McMillan, David G. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310013.

Full description at Econpapers || Download paper

2021Effects of Price of Gold on Bombay Stock Exchange Sectoral Indices: New Evidence for Portfolio Risk Management. (2021). Tiwari, Aviral ; Gözgör, Giray ; Hammoudeh, Shawkat ; Gozgor, Giray ; Trabelsi, Nader. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920305560.

Full description at Econpapers || Download paper

2020Effects of crime and violence on business confidence: evidence from Rio de Janeiro. (2020). Montes, Gabriel ; Guedes, Andre Filipe. In: Journal of Economic Studies. RePEc:eme:jespps:jes-07-2019-0300.

Full description at Econpapers || Download paper

2020Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters. (2020). Storti, Giuseppe ; la Rocca, Michele ; Coretto, Pietro. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:64-:d:338390.

Full description at Econpapers || Download paper

2021The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa. (2021). Giouvris, Evangelos ; Korley, Maud. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:122-:d:517039.

Full description at Econpapers || Download paper

2021The Incidence of Spillover Effects during the Unconventional Monetary Policies Era. (2021). Domianello, Luca Scaffidi ; Lacava, Demetrio. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:242-:d:566026.

Full description at Econpapers || Download paper

2021Commodity markets dynamics: What do crosscommodities over different nearest-to-maturities tell us?. (2021). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad. In: Working Papers. RePEc:hal:wpaper:halshs-03211699.

Full description at Econpapers || Download paper

2020Risk Transmissions between Major Foreign Currencies: An Empirical Analysis from the U.S. Perspective. (2020). Baek, Chung. In: International Journal of Business and Economics. RePEc:ijb:journl:v:19:y:2020:i:2:p:151-168.

Full description at Econpapers || Download paper

2021On the classification of financial data with domain agnostic features. (2021). Caiado, Jorge ; Bastos, João. In: Working Papers REM. RePEc:ise:remwps:wp01852021.

Full description at Econpapers || Download paper

2020The Economic Impact of Organized Crime Infiltration in the Legal Economy: Evidence from the Judicial Administration of Organized Crime Firms. (2020). Drago, Francesco ; Calamunci, Francesca. In: IZA Discussion Papers. RePEc:iza:izadps:dp13028.

Full description at Econpapers || Download paper

2020Financial Integration in the GCC Region: Market Size Versus National Effects. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Arin, Kerim ; Kyriacou, Kyriacos. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:2:d:10.1007_s11079-019-09554-6.

Full description at Econpapers || Download paper

2020Destructive entrepreneurship in the small business sector: bankruptcy fraud in Sweden, 1830–2010. (2020). Lin, Xiang ; Gratzer, Karl ; Box, Marcus. In: Small Business Economics. RePEc:kap:sbusec:v:54:y:2020:i:2:d:10.1007_s11187-018-0043-3.

Full description at Econpapers || Download paper

2020Revisiting the relationship between traffic congestion and the economy: a longitudinal examination of U.S. metropolitan areas. (2020). Dumbaugh, Eric ; Marshall, Wesley E. In: Transportation. RePEc:kap:transp:v:47:y:2020:i:1:d:10.1007_s11116-018-9884-5.

Full description at Econpapers || Download paper

2020Periodic autoregressive conditional duration. (2020). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:101696.

Full description at Econpapers || Download paper

2021Dynamic Commodity Portfolio Management: A Regime-switching VAR Model. (2021). Biswal, Pratap Chandra ; Singhal, Shelly. In: Global Business Review. RePEc:sae:globus:v:22:y:2021:i:2:p:532-549.

Full description at Econpapers || Download paper

2020The Economic Impact of Organized Crime Infiltration in the Legal Economy: Evidence from the Judicial Administration of Organized Crime Firms. (2020). Drago, Francesco ; Calamunci, Francesca. In: CSEF Working Papers. RePEc:sef:csefwp:556.

Full description at Econpapers || Download paper

2020A fragmented-periodogram approach for clustering big data time series. (2020). Crato, Nuno ; Caiado, Jorge ; Poncela, Pilar. In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:14:y:2020:i:1:d:10.1007_s11634-019-00365-8.

Full description at Econpapers || Download paper

2021Dirichlet process mixtures under affine transformations of the data. (2021). Corradin, Riccardo ; Arbel, Julyan ; Nipoti, Bernardo. In: Computational Statistics. RePEc:spr:compst:v:36:y:2021:i:1:d:10.1007_s00180-020-01013-y.

Full description at Econpapers || Download paper

2020The Economic Impact of Organized Crime Infiltration in the Legal Economy: Evidence from the Judicial Administration of Organized Crime Firms. (2020). Drago, Francesco ; Calamunci, Francesca. In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti. RePEc:spr:italej:v:6:y:2020:i:2:d:10.1007_s40797-020-00128-x.

Full description at Econpapers || Download paper

2021Security Perception and People Well-Being. (2021). Polli, Alessandro ; Greco, Francesca. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:153:y:2021:i:2:d:10.1007_s11205-020-02341-8.

Full description at Econpapers || Download paper

2021Direct and Indirect Effects of Individualism and Institutions on Homicides. (2021). Ehrl, Philipp ; Zanchi, Vinicius V ; Daniel, . In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:153:y:2021:i:3:d:10.1007_s11205-020-02531-4.

Full description at Econpapers || Download paper

2020Robust fuzzy clustering based on quantile autocovariances. (2020). Vilar, J A ; Durso, P ; Lafuente-Rego, B. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1053-6.

Full description at Econpapers || Download paper

2021Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach.. (2021). Zanetti Chini, Emilio ; Canepa, Alessandra ; Alqaralleh, Huthaifa. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202110.

Full description at Econpapers || Download paper

2021Macroeconomic Determinants Affecting Credit Risk in Central and Eastern Europe. (2021). Anna, Pluskota. In: Folia Oeconomica Stetinensia. RePEc:vrs:foeste:v:21:y:2021:i:1:p:92-104:n:11.

Full description at Econpapers || Download paper

2021The contagion phenomena of the Brexit process on main stock markets. (2021). Iiguez, Cristina ; Escribano, Ana. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4462-4481.

Full description at Econpapers || Download paper

2020Probit based time series models in recession forecasting – A survey with an empirical illustration for Finland. (2020). Nissila, Wilma. In: BoF Economics Review. RePEc:zbw:bofecr:72020.

Full description at Econpapers || Download paper

2020What Happens in Criminal Firms after Godfather Management Removal? Judicial Administration and Firms Performance. (2020). Calamunci, Francesca M. In: GLO Discussion Paper Series. RePEc:zbw:glodps:698.

Full description at Econpapers || Download paper

Works by Edoardo Otranto:


YearTitleTypeCited
2021Unconventional Policies Effects on Stock Market Volatility: A MAP Approach In: Papers.
[Full Text][Citation analysis]
paper0
2021On Classifying the Effects of Policy Announcements on Volatility In: Papers.
[Full Text][Citation analysis]
paper0
2020On Classifying the Effects of Policy Announcements on Volatility.(2020) In: Working Paper CRENoS.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]
article3
2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach.(2017) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2010Does Crime Affect Economic Growth? In: Kyklos.
[Full Text][Citation analysis]
article59
2010Does Crime Affect Economic Growth?.(2010) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 59
paper
2006Frontiers in Time Series Analysis: Introduction In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article0
2008Clustering Heteroskedastic Time Series by Model-Based Procedures In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper21
2008Clustering heteroskedastic time series by model-based procedures.(2008) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
article
2008A Realistic Model for Official Interest Rates In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2008Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper2
2008Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper5
2010Asset allocation using flexible dynamic correlation models with regime switching.(2010) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2008Clustering Mutual Funds by Return and Risk Levels In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper1
2008Identifying Financial Time Series with Similar Dynamic Conditional Correlation In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper14
2010Identifying financial time series with similar dynamic conditional correlation.(2010) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
article
2009Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2010A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper1
2010Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper6
2012Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors.(2012) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
2011Cycles in Crime and Economy Revised In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper2
2011Classification of Volatility in Presence of Changes in Model Parameters In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2012The Markov Switching Asymmetric Multiplicative Error Model In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2012Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper6
2012Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper5
2012Model effect on projected mortality indicators In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2012Spillover Effects in the Volatility of Financial Markets In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2013Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper11
2013Modeling the dependence of conditional correlations on volatility.(2013) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2013Financial Clustering in Presence of Dominant Markets In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2015Financial clustering in presence of dominant markets.(2015) In: Advances in Data Analysis and Classification.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2014Spatial Effects in Dynamic Conditional Correlations In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper1
2016Spatial effects in dynamic conditional correlations.(2016) In: Journal of Applied Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2015Adding Flexibility to Markov Switching Models In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2016A Flexible Specification of Space–Time AutoRegressive Models In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2017Clustering Space-Time Series: A Flexible STAR Approach In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2018Reducing Bias in a Matching Estimation of Endogenous Treatment Effect In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2020Measuring the Effects of Unconventional Policies on Stock Market Volatility In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models.(2020) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Nonlinearities and regimes in conditional correlations with different dynamics In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper1
2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2016Modeling the dependence of conditional correlations on market volatility In: LIDAM Reprints CORE.
[Citation analysis]
paper7
2016Modeling the Dependence of Conditional Correlations on Market Volatility.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2006Modelling the discrete and infrequent official interest rate change in the UK In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
2008Volatility spillovers, interdependence and comovements: A Markov Switching approach In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article58
2007Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach.(2007) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 58
paper
2008Models to date the business cycle: The Italian case In: Economic Modelling.
[Full Text][Citation analysis]
article5
2014Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets In: Economic Modelling.
[Full Text][Citation analysis]
article3
2016Volatility transmission across currencies and commodities with US uncertainty measures In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article9
2015Forecasting realized volatility with changing average levels In: International Journal of Forecasting.
[Full Text][Citation analysis]
article21
2021Realized volatility forecasting: Robustness to measurement errors In: International Journal of Forecasting.
[Full Text][Citation analysis]
article2
2019Realized Volatility Forecasting: Robustness to Measurement Errors.(2019) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2014Patterns of volatility transmissions within regime switching across GCC and global markets In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article23
2020Forecasting the macro determinants of bank credit quality: a non-linear perspective In: Journal of Risk Finance.
[Full Text][Citation analysis]
article0
2001A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper16
2002A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS.(2002) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
2005Volatility Transmission in Financial Markets: A New Approach In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper1
2006Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper19
2007Volatility transmission across markets: a Multichain Markov Switching model.(2007) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
article
2012Realized Volatility and Change of Regimes In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper0
2012Volatility Swings in the US Financial Markets In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper0
2014Forecasting Realized Volatility with Changes of Regimes In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper2
2016Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper0
2021Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach In: JRFM.
[Full Text][Citation analysis]
article1
2009Misura dell’effetto criminalità sull’economia italiana In: Post-Print.
[Citation analysis]
paper0
2015Il residuo fiscale nelle regioni italiane In: Post-Print.
[Citation analysis]
paper0
2015Analisi degli effetti del residuo fiscale In: Post-Print.
[Citation analysis]
paper0
2001The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools In: ISAE Working Papers.
[Full Text][Citation analysis]
paper1
2004Dating the Italian BUsiness Cycle: A Comparison of Procedures. In: ISAE Working Papers.
[Full Text][Citation analysis]
paper19
2003Dating the Italian Business Cycle: A Comparison of Procedures.(2003) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2005The multi-chain Markov switching model In: Journal of Forecasting.
[Full Text][Citation analysis]
article13
2006Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy In: Journal of Business Cycle Measurement and Analysis.
[Full Text][Citation analysis]
article0
2005Indirect estimation of Markov switching models with endogenous switching In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2019Clustering space-time series: FSTAR as a flexible STAR approach In: Advances in Data Analysis and Classification.
[Full Text][Citation analysis]
article0
2008Classifying Italian Pension Funds via GARCH Distance In: Springer Books.
[Citation analysis]
chapter0
2006The choice of time interval in seasonal adjustment: A heuristic approach In: Statistical Papers.
[Full Text][Citation analysis]
article1
2004The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach.(2004) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2011A realistic model for official interest rate movements and their consequences In: Applied Economics.
[Full Text][Citation analysis]
article2
2013Volatility clustering in the presence of time-varying model parameters In: Journal of Applied Statistics.
[Full Text][Citation analysis]
article0
2015Capturing the Spillover Effect With Multiplicative Error Models In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]
article1
2003the Multi-State Markov Switching Model In: Econometrics.
[Full Text][Citation analysis]
paper0
2003Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter In: Econometrics.
[Full Text][Citation analysis]
paper1
2004Classifying the Markets Volatility with ARMA Distance Measures In: Econometrics.
[Full Text][Citation analysis]
paper0
2005Extraction of Common Signal from Series with Different Frequency In: Econometrics.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team