Edoardo Otranto : Citation Profile


Are you Edoardo Otranto?

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

11

H index

11

i10 index

312

Citations

RESEARCH PRODUCTION:

23

Articles

47

Papers

RESEARCH ACTIVITY:

   18 years (2001 - 2019). See details.
   Cites by year: 17
   Journals where Edoardo Otranto has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 39 (11.11 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pot5
   Updated: 2020-11-21    RAS profile: 2020-08-29    
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Relations with other researchers


Works with:

Gallo, Giampiero (4)

Bauwens, Luc (3)

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 (11)

Bauwens, Luc (9)

Masih, Abul (8)

Detotto, Claudio (7)

Balcilar, Mehmet (7)

DE TRUCHIS, Gilles (6)

Dufrénot, Gilles (6)

Khalifa, Ahmed (6)

ALOY, Marcel (6)

Keddad, Benjamin (6)

Engle, Robert (5)

Cites to:

Gallo, Giampiero (71)

Engle, Robert (49)

Hamilton, James (42)

Hammoudeh, Shawkat (35)

Bollerslev, Tim (33)

Edwards, Sebastian (24)

Diebold, Francis (23)

McAleer, Michael (16)

Andersen, Torben (15)

Cipollini, Fabrizio (12)

Kim, Chang-Jin (11)

Main data


Where Edoardo Otranto has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis3
Advances in Data Analysis and Classification2
Journal of Applied Statistics2
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"9
Econometrics / University Library of Munich, Germany6
ISAE Working Papers / ISTAT - Italian National Institute of Statistics - (Rome, ITALY)2
Post-Print / HAL2

Recent works citing Edoardo Otranto (2020 and 2019)


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

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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.

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2019FOREIGN DIRECT INVESTMENT IN MEXICO, CRIME, AND ECONOMIC FORCES. (2019). Cabral, Rene ; Saucedo, Eduardo ; Mollick, Andre Varella. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:37:y:2019:i:1:p:68-85.

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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.

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2019Which indicator of income distribution explains crime better? Evidence from China. (2019). Wan, Guanghua ; Li, Jing ; Zhang, Xueliang ; Wang, Chen. In: China Economic Review. RePEc:eee:chieco:v:54:y:2019:i:c:p:51-72.

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2019Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Fadziski, Marcin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2019Political tensions, stock market dependence and volatility spillover: Evidence from the recent intra-GCC crises. (2019). Charfeddine, Lanouar ; al Refai, Hisham. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300841.

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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.

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2020Nonlinearities and regimes in conditional correlations with different dynamics. (2020). Bauwens, Luc ; Otranto, Edoardo. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:496-522.

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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.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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2019Business cycles, credit cycles, and asymmetric effects of credit fluctuations: Evidence from Italy for the period of 1861–2013. (2019). Piselli, Paolo ; Marzano, Elisabetta ; Chiarini, Bruno ; Bartoletto, Silvana . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:61:y:2019:i:c:16.

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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.

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2019Diversification benefits of Shariah compliant equity ETFs in emerging markets. (2019). Andrikopoulos, Panagiotis ; Gad, Samar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:133-144.

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2019Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets. (2019). Brooks, Robert ; Dash, Saumya Ranjan ; Maitra, Debasish ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x18305912.

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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.

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2019Realized Volatility Forecasting: Robustness to Measurement Errors. (2019). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_04.

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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.

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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.

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2019Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns. (2019). Natoli, Riccardo ; Kulendran, Nada ; Erdugan, Riza. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:4:d:10.1007_s11408-019-00338-z.

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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.

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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.

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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.

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2019STRUCTURAL CHANGES AND ECONOMIC GROWTH IN PAKISTAN. (2019). Farooq, Sohail ; Ajmair, Muhammad ; Gilal, Muhammad Akram. In: Pakistan Journal of Applied Economics. RePEc:pje:journl:article29sumii.

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

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:93802.

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2019Decomposing the Societal Opportunity Costs of Property Crime. (2019). Compton, Andrew. In: MPRA Paper. RePEc:pra:mprapa:97002.

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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.

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2019Crime and Economic Growth: A Case Study of Manaus, Brazil. (2019). Pereda, Paula ; Drugowick, Pedro. In: Working Papers, Department of Economics. RePEc:spa:wpaper:2019wpecon19.

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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.

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2019Drug-related violence in Mexico and its effects on employment. (2019). Coronado, Roberto ; Saucedo, Eduardo. In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:2:d:10.1007_s00181-018-1458-z.

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2019Volatility-dependent correlations: further evidence of when, where and how. (2019). Silvennoinen, Annastiina ; Clements, Adam ; Scott, Ayesha . In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:2:d:10.1007_s00181-018-1473-0.

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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.

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2019Inspecting the Relationship Between Business Confidence and Industrial Production: Evidence on Italian Survey Data. (2019). MARGANI, PATRIZIA ; Bruno, Giancarlo ; Crosilla, L. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:15:y:2019:i:1:d:10.1007_s41549-018-00033-4.

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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.

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2019Mafia Firms and Aftermaths. (2019). cantabene, claudia ; Silipo, Damiano Bruno ; Alfano, Maria Rosaria. In: EconStor Preprints. RePEc:zbw:esprep:200255.

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Works by Edoardo Otranto:


YearTitleTypeCited
2018Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach In: Journal of the Royal Statistical Society Series C.
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article4
2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach.(2017) In: Econometrics Working Papers Archive.
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This paper has another version. Agregated cites: 4
paper
2010Does Crime Affect Economic Growth? In: Kyklos.
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article53
2010Does Crime Affect Economic Growth?.(2010) In: Post-Print.
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This paper has another version. Agregated cites: 53
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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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paper19
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: 19
article
2008A Realistic Model for Official Interest Rates In: Working Paper CRENoS.
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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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paper6
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: 6
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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2010Identifying financial time series with similar dynamic conditional correlation.(2010) In: Computational Statistics & Data Analysis.
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article
2009Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach In: Working Paper CRENoS.
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2010A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime In: Working Paper CRENoS.
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paper1
2010Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors In: Working Paper CRENoS.
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2012Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors.(2012) In: Post-Print.
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2011Cycles in Crime and Economy Revised In: Working Paper CRENoS.
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2011Classification of Volatility in Presence of Changes in Model Parameters In: Working Paper CRENoS.
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2012The Markov Switching Asymmetric Multiplicative Error Model In: Working Paper CRENoS.
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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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2012Model effect on projected mortality indicators In: Working Paper CRENoS.
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2012Spillover Effects in the Volatility of Financial Markets In: Working Paper CRENoS.
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2013Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS.
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2013Modeling the dependence of conditional correlations on volatility.(2013) In: CORE Discussion Papers.
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2013Financial Clustering in Presence of Dominant Markets In: Working Paper CRENoS.
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2015Financial clustering in presence of dominant markets.(2015) In: Advances in Data Analysis and Classification.
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2014Spatial Effects in Dynamic Conditional Correlations In: Working Paper CRENoS.
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2016Spatial effects in dynamic conditional correlations.(2016) In: Journal of Applied Statistics.
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This paper has another version. Agregated cites: 1
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2015Adding Flexibility to Markov Switching Models In: Working Paper CRENoS.
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2016A Flexible Specification of Space–Time AutoRegressive Models In: Working Paper CRENoS.
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2017Clustering Space-Time Series: A Flexible STAR Approach In: Working Paper CRENoS.
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2018Reducing Bias in a Matching Estimation of Endogenous Treatment Effect In: Working Paper CRENoS.
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2018Nonlinearities and regimes in conditional correlations with different dynamics In: CORE Discussion Papers.
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paper1
2016Modeling the dependence of conditional correlations on market volatility In: CORE Discussion Papers RP.
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paper7
2016Modeling the Dependence of Conditional Correlations on Market Volatility.(2016) In: Journal of Business & Economic Statistics.
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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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2007Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach.(2007) In: Econometrics Working Papers Archive.
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2008Models to date the business cycle: The Italian case In: Economic Modelling.
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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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2016Volatility transmission across currencies and commodities with US uncertainty measures In: The North American Journal of Economics and Finance.
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2015Forecasting realized volatility with changing average levels In: International Journal of Forecasting.
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2014Patterns of volatility transmissions within regime switching across GCC and global markets In: International Review of Economics & Finance.
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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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2006Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model In: Econometrics Working Papers Archive.
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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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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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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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2019Clustering space-time series: FSTAR as a flexible STAR approach In: Advances in Data Analysis and Classification.
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2006The choice of time interval in seasonal adjustment: A heuristic approach In: Statistical Papers.
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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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2013Volatility clustering in the presence of time-varying model parameters In: Journal of Applied Statistics.
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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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