Edoardo Otranto : Citation Profile


Are you Edoardo Otranto?

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

9

H index

9

i10 index

213

Citations

RESEARCH PRODUCTION:

19

Articles

40

Papers

RESEARCH ACTIVITY:

   15 years (2001 - 2016). See details.
   Cites by year: 14
   Journals where Edoardo Otranto has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 31 (12.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pot5
   Updated: 2017-06-10    RAS profile: 2017-06-06    
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Relations with other researchers


Works with:

Gallo, Giampiero (6)

Hammoudeh, Shawkat (4)

Bauwens, Luc (2)

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

Is cited by:

Detotto, Claudio (7)

Masih, Abul (7)

Balcilar, Mehmet (7)

Dufrénot, Gilles (6)

Gallo, Giampiero (6)

ALOY, Marcel (6)

DE TRUCHIS, Gilles (6)

Keddad, Benjamin (6)

YAYA, MEHMET (5)

Afonso, Antonio (4)

Balli, Faruk (4)

Cites to:

Gallo, Giampiero (69)

Engle, Robert (56)

Hamilton, James (41)

Bollerslev, Tim (35)

Hammoudeh, Shawkat (28)

Diebold, Francis (27)

Edwards, Sebastian (22)

Andersen, Torben (15)

McAleer, Michael (11)

Kim, Chang-Jin (11)

Engel, Charles (11)

Main data


Where Edoardo Otranto has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis3
Economic Modelling2

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"8
ISAE Working Papers / ISTAT - Italian National Institute of Statistics - (Rome, ITALY)2

Recent works citing Edoardo Otranto (2017 and 2016)


YearTitle of citing document
2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:1604.01338.

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2016A Flexible Specification of Space–Time AutoRegressive Models. (2016). Mucciardi, M ; Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201608.

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2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Bauwens, Luc ; Augustyniak, Maciej ; Dufays, Arnaud . In: CORE Discussion Papers. RePEc:cor:louvco:2016042.

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2016What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets. (2016). Masih, Abul ; Mansur, A ; Dewandaru, Ginanjar . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:981-996.

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2016Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries. (2016). Brooks, Rob ; Fenech, Jean Pierre ; Silvapulle, Param ; Thomas, Alice. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:83-92.

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2017Testing the dependency theory on small island economies: The case of Cyprus. (2017). YAYA, MEHMET ; Balcilar, Mehmet ; Kutan, Ali M. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:1-11.

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2017Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect. (2017). Ahmed, Abdullahi D ; Huo, Rui . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:260-272.

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2016Volatility transmission across currencies and commodities with US uncertainty measures. (2016). , Ahmed ; Ramchander, Sanjay ; Hammoudeh, Shawkat ; Otranto, Edoardo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:63-83.

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2017Chasing volatility. (2017). Caporin, Massimiliano ; de Magistris, Paolo Santucci ; Rossi, Eduardo . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2016Dynamic spillovers between Nigerian, South African and international equity markets. (2016). Shuaibu, Mohammed ; Fowowe, Babajide . In: International Economics. RePEc:eee:inteco:v:148:y:2016:i:c:p:59-80.

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2017Asymptotic Fisher information matrix of Markov switching VARMA models. (2017). Cavicchioli, Maddalena . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:124-135.

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2017Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach. (2017). Liu, Zhixue ; Gu, Huaying ; Weng, Yingliang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:460-472.

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2017Identification of market trends with string and D2-brane maps. (2017). Barto, Erik ; Pinak, Richard . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:57-70.

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2016Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500. (2016). Yang, Jen-Wei ; Chang, Chia-Chien ; Shyu, So-De ; Tsai, Shu-Yu . In: International Review of Economics & Finance. RePEc:eee:reveco:v:43:y:2016:i:c:p:139-150.

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2016Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations. (2016). Masih, Abul ; Dewandaru, Ginanjar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:43:y:2016:i:c:p:363-377.

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2017Financial integration in small Islands: The case of Cyprus. (2017). YAYA, MEHMET ; Balcilar, Mehmet ; Kutan, Ali M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:201-219.

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2016Contagion effects in selected European capital markets during the financial crisis of 2007–2009. (2016). Burzala, Milda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:556-571.

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2017Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model. (2017). Khalifa, Ahmed A ; Bertuccelli, Pietro ; Alsarhan, Abdulwahab A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:307-314.

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2017Desempleo y criminalidad en los estados de la frontera norte de México: un enfoque espacial bayesiano de vectores auto-regresivos. (Unemployment and crime in the Northern-border states of Mexico: a s. (2017). Torres, Victor Hugo . In: Ensayos Revista de Economia. RePEc:ere:journl:v:xxxvi:y:2017:i:1:p:25-58.

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2016The Russian Stock Market during the Ukrainian Crisis: A Network Perspective. (2016). Uluceviz, Erhan ; Schmidbauer, Harald ; Erkol, Narod ; Rosch, Angi . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:6:p:478-509.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_04.

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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Cipollini, Fabrizio ; Engle, Robert F. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

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2017Sustainability Matters in National Development Visions—Evidence from Saudi Arabia’s Vision for 2030. (2017). Alshuwaikhat, Habib M ; Mohammed, Ishak . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:3:p:408-:d:92588.

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2016Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices. (2016). Smirnov, Sergey ; Petronevich, Anna ; Kondrashov, Nikolai V. In: HSE Working papers. RePEc:hig:wpaper:122/ec/2016.

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2016A new approach to volatility modeling: the High-Dimensional Markov model. (2016). Bauwens, Luc ; Dufays, Arnaud ; Augustyniak, Maciej . In: Cahiers de recherche. RePEc:lvl:crrecr:1609.

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2016Seasonal adjustment of Indian macroeconomic time-series.. (2016). Shah, Ajay ; Pandey, Radhika ; Patnaik, Ila ; Bhattacharya, Rudrani . In: Working Papers. RePEc:npf:wpaper:16/160.

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2016The Markov-switching Granger Causality of Asia-Pacific Exchange Rates. (2016). Wu, Jing-Tung . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2016:i:3:p:94-115.

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2016Clustering of time series using quantile autocovariances. (2016). Lafuente-Rego, Borja ; Vilar, Jose A. In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:10:y:2016:i:3:d:10.1007_s11634-015-0208-8.

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2016Multivariate Wishart stochastic volatility and changes in regime. (2016). Gribisch, Bastian . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:100:y:2016:i:4:d:10.1007_s10182-016-0269-9.

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2016Violence in Mexico and its effects on labor productivity. (2016). Mollick, Andre ; Cabral, Rene ; Saucedo, Eduardo . In: The Annals of Regional Science. RePEc:spr:anresc:v:56:y:2016:i:2:d:10.1007_s00168-016-0741-1.

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Works by Edoardo Otranto:


YearTitleTypeCited
2010Does Crime Affect Economic Growth? In: Kyklos.
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article26
2006Frontiers in Time Series Analysis: Introduction In: Oxford Bulletin of Economics and Statistics.
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article0
2008Clustering Heteroskedastic Time Series by Model-Based Procedures In: Working Paper CRENoS.
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paper17
2008Clustering heteroskedastic time series by model-based procedures.(2008) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 17
article
2008A Realistic Model for Official Interest Rates In: Working Paper CRENoS.
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paper0
2008Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models In: Working Paper CRENoS.
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paper2
2008Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching In: Working Paper CRENoS.
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paper1
2010Asset allocation using flexible dynamic correlation models with regime switching.(2010) In: Quantitative Finance.
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This paper has another version. Agregated cites: 1
article
2008Clustering Mutual Funds by Return and Risk Levels In: Working Paper CRENoS.
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paper1
2008Identifying Financial Time Series with Similar Dynamic Conditional Correlation In: Working Paper CRENoS.
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paper0
2009Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach In: Working Paper CRENoS.
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paper0
2010A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime In: Working Paper CRENoS.
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paper0
2010Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors In: Working Paper CRENoS.
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paper4
2011Cycles in Crime and Economy Revised In: Working Paper CRENoS.
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paper2
2011Classification of Volatility in Presence of Changes in Model Parameters In: Working Paper CRENoS.
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paper0
2012The Markov Switching Asymmetric Multiplicative Error Model In: Working Paper CRENoS.
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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.
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paper6
2012Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation In: Working Paper CRENoS.
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paper2
2012Model effect on projected mortality indicators In: Working Paper CRENoS.
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paper0
2012Spillover Effects in the Volatility of Financial Markets In: Working Paper CRENoS.
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paper0
2013Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS.
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paper9
2013Modeling the dependence of conditional correlations on volatility.(2013) In: CORE Discussion Papers.
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paper
2013Financial Clustering in Presence of Dominant Markets In: Working Paper CRENoS.
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paper1
2015Financial clustering in presence of dominant markets.(2015) In: Advances in Data Analysis and Classification.
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This paper has another version. Agregated cites: 1
article
2014Spatial Effects in Dynamic Conditional Correlations In: Working Paper CRENoS.
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paper0
2015Adding Flexibility to Markov Switching Models In: Working Paper CRENoS.
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paper0
2016A Flexible Specification of Space–Time AutoRegressive Models In: Working Paper CRENoS.
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paper0
2006Modelling the discrete and infrequent official interest rate change in the UK In: DES - Working Papers. Statistics and Econometrics. WS.
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2008Volatility spillovers, interdependence and comovements: A Markov Switching approach In: Computational Statistics & Data Analysis.
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article43
2007Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach.(2007) In: Econometrics Working Papers Archive.
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2010Identifying financial time series with similar dynamic conditional correlation In: Computational Statistics & Data Analysis.
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article11
2008Models to date the business cycle: The Italian case In: Economic Modelling.
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article3
2014Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets In: Economic Modelling.
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article1
2016Volatility transmission across currencies and commodities with US uncertainty measures In: The North American Journal of Economics and Finance.
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article0
2015Forecasting realized volatility with changing average levels In: International Journal of Forecasting.
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article9
2014Patterns of volatility transmissions within regime switching across GCC and global markets In: International Review of Economics & Finance.
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article13
2001A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models In: Econometrics Working Papers Archive.
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2002A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS.(2002) In: Econometric Reviews.
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2005Volatility Transmission in Financial Markets: A New Approach In: Econometrics Working Papers Archive.
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paper1
2006Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model In: Econometrics Working Papers Archive.
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paper18
2007Volatility transmission across markets: a Multichain Markov Switching model.(2007) In: Applied Financial Economics.
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2012Realized Volatility and Change of Regimes In: Econometrics Working Papers Archive.
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2012Volatility Swings in the US Financial Markets In: Econometrics Working Papers Archive.
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2014Forecasting Realized Volatility with Changes of Regimes In: Econometrics Working Papers Archive.
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2016Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM In: Econometrics Working Papers Archive.
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2001The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools In: ISAE Working Papers.
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paper1
2004Dating the Italian BUsiness Cycle: A Comparison of Procedures. In: ISAE Working Papers.
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2003Dating the Italian Business Cycle: A Comparison of Procedures.(2003) In: Econometrics.
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2005The multi-chain Markov switching model In: Journal of Forecasting.
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article12
2006Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy In: Journal of Business Cycle Measurement and Analysis.
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2005Indirect estimation of Markov switching models with endogenous switching In: MPRA Paper.
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2006The choice of time interval in seasonal adjustment: A heuristic approach In: Statistical Papers.
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article1
2004The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach.(2004) In: Econometrics.
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2011A realistic model for official interest rate movements and their consequences In: Applied Economics.
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article2
2016Spatial effects in dynamic conditional correlations In: Journal of Applied Statistics.
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article2
2003the Multi-State Markov Switching Model In: Econometrics.
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2003Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter In: Econometrics.
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2004Classifying the Markets Volatility with ARMA Distance Measures In: Econometrics.
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2005Extraction of Common Signal from Series with Different Frequency In: Econometrics.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 1st 2017. Contact: CitEc Team