13
H index
13
i10 index
450
Citations
Edoardo Otranto : Citation Profile
Centro Ricerche Nord Sud (CRENoS) (50% share) | RESEARCH PRODUCTION: 30 Articles 63 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (2001 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Edoardo Otranto. | Is cited by:
| Cites to:
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Main data
Where Edoardo Otranto has published?
| Journals with more than one article published | # docs |
|---|---|
| Computational Statistics & Data Analysis | 3 |
| Advances in Data Analysis and Classification | 2 |
| Economic Modelling | 2 |
| International Journal of Forecasting | 2 |
| Journal of Applied Statistics | 2 |
| Journal of the Royal Statistical Society Series C | 2 |
Recent works citing Edoardo Otranto (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper |
| 2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27. Full description at Econpapers || Download paper |
| 2023 | The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018. Full description at Econpapers || Download paper |
| 2023 | Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019. Full description at Econpapers || Download paper |
| 2023 | Socioeconomic Consequences of Corruption and Financial Crimes. (2023). Hussein, Mukhtar Sheikh ; Hilif, Mohamud Dahir ; Kulmie, Dayah Abdi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-05-11. Full description at Econpapers || Download paper |
| 2023 | A financial risk meter for China. (2023). Hardle, Wolfgang Karl ; Althof, Michael ; Wang, Ruting. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000572. Full description at Econpapers || Download paper |
| 2023 | Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model. (2023). Lee, Hsiang-Tai. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028323000030. Full description at Econpapers || Download paper |
| 2023 | DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955. Full description at Econpapers || Download paper |
| 2023 | Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237. Full description at Econpapers || Download paper |
| 2023 | Evolution of the information transmission between Chinese and international oil markets: A quantile-based framework. (2023). Ren, Xiaohang ; Chen, Jinyu ; Wen, Fenghua ; Duan, Kun. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000617. Full description at Econpapers || Download paper |
| 2023 | Renewable energy, credit portfolios and intermediation spread: Evidence from the banking sector in BRICS. (2023). Mirza, Nawazish ; Su, Chi-Wei ; Umar, Muhammad ; Chen, Zhonglu. In: Renewable Energy. RePEc:eee:renene:v:208:y:2023:i:c:p:561-566. Full description at Econpapers || Download paper |
| 2023 | Mafia risk perception: Evaluating the effect of organized crime on firm technical efficiency and investment proclivity. (2023). Migliardo, Carlo ; Forgione, Antonio Fabio. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:88:y:2023:i:c:s0038012123001192. Full description at Econpapers || Download paper |
| 2023 | Organised crime and educational outcomes in Southern Italy: An empirical investigation. (2023). Guccio, Calogero ; Castro, Massimo Finocchiaro ; Cavalieri, Marina. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:89:y:2023:i:c:s0038012123002173. Full description at Econpapers || Download paper |
| 2023 | The interaction of climate risk and bank liquidity: An emerging market perspective for transitions to low carbon energy. (2023). Umar, Muhammad ; Mirza, Nawazish ; Lang, Qiaoqi. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:191:y:2023:i:c:s0040162523001658. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Systematic and Unsystematic Determinants of Sectoral Risk Default Interconnectedness. (2023). Hunjra, Ahmed Imran ; ben Zaied, Younes ; Awijen, Haithem. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10336-5. Full description at Econpapers || Download paper |
| 2023 | Volatility linkages and value gains from diversifying with Islamic assets. (2023). Jahromi, Maria ; Akhtar, Shumi ; John, Kose. In: Journal of International Business Studies. RePEc:pal:jintbs:v:54:y:2023:i:8:d:10.1057_s41267-023-00641-y. Full description at Econpapers || Download paper |
| 2023 | Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm. (2023). Arroyo, Javier ; Lorenzo, Luis. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00438-2. Full description at Econpapers || Download paper |
| 2023 | Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data. (2023). Shira, Ruba Khalid ; Lamouchi, Rim Ammar. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_3. Full description at Econpapers || Download paper |
Works by Edoardo Otranto:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2021 | Unconventional Policies Effects on Stock Market Volatility: A MAP Approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Unconventional policies effects on stock market volatility: The MAP approach.(2022) In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | On Classifying the Effects of Policy Announcements on Volatility In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | On Classifying the Effects of Policy Announcements on Volatility.(2020) In: Working Paper CRENoS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2023 | Volatility jumps and the classification of monetary policy announcements In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Volatility jumps and the classification of monetary policy announcements.(2023) In: Working Paper CRENoS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 5 |
| 2017 | Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach.(2017) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2010 | Does Crime Affect Economic Growth? In: Kyklos. [Full Text][Citation analysis] | article | 75 |
| 2010 | Does Crime Affect Economic Growth?.(2010) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
| 2006 | Frontiers in Time Series Analysis: Introduction In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2008 | Clustering Heteroskedastic Time Series by Model-Based Procedures In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 23 |
| 2008 | Clustering heteroskedastic time series by model-based procedures.(2008) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
| 2008 | A Realistic Model for Official Interest Rates In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 6 |
| 2010 | Asset allocation using flexible dynamic correlation models with regime switching.(2010) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2008 | Clustering Mutual Funds by Return and Risk Levels In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Identifying Financial Time Series with Similar Dynamic Conditional Correlation In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 16 |
| 2010 | Identifying financial time series with similar dynamic conditional correlation.(2010) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
| 2009 | Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2010 | A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 7 |
| 2012 | Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors.(2012) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2011 | Cycles in Crime and Economy Revised In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Classification of Volatility in Presence of Changes in Model Parameters In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2012 | The Markov Switching Asymmetric Multiplicative Error Model In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Volatility 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] | paper | 6 |
| 2012 | Volatility 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] | paper | 9 |
| 2012 | Model effect on projected mortality indicators In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Spillover Effects in the Volatility of Financial Markets In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 13 |
| 2013 | Modeling the dependence of conditional correlations on volatility.(2013) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2013 | Financial Clustering in Presence of Dominant Markets In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Financial clustering in presence of dominant markets.(2015) In: Advances in Data Analysis and Classification. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2014 | Spatial Effects in Dynamic Conditional Correlations In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Spatial effects in dynamic conditional correlations.(2016) In: Journal of Applied Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2015 | Adding Flexibility to Markov Switching Models In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2016 | A Flexible Specification of Space–Time AutoRegressive Models In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Clustering Space-Time Series: A Flexible STAR Approach In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Reducing Bias in a Matching Estimation of Endogenous Treatment Effect In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Measuring the Effects of Unconventional Policies on Stock Market Volatility In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 3 |
| 2020 | Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models.(2020) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2022 | Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.(2022) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2022 | Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2023 | On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Nonlinearities and regimes in conditional correlations with different dynamics In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2016 | Modeling the dependence of conditional correlations on market volatility In: LIDAM Reprints CORE. [Citation analysis] | paper | 13 |
| 2016 | Modeling the Dependence of Conditional Correlations on Market Volatility.(2016) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2006 | Modelling the discrete and infrequent official interest rate change in the UK In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Volatility spillovers, interdependence and comovements: A Markov Switching approach In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 70 |
| 2007 | Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach.(2007) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
| 2008 | Models to date the business cycle: The Italian case In: Economic Modelling. [Full Text][Citation analysis] | article | 6 |
| 2014 | Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
| 2016 | Volatility transmission across currencies and commodities with US uncertainty measures In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 14 |
| 2015 | Forecasting realized volatility with changing average levels In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 27 |
| 2021 | Realized volatility forecasting: Robustness to measurement errors In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 9 |
| 2019 | Realized Volatility Forecasting: Robustness to Measurement Errors.(2019) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2014 | Patterns of volatility transmissions within regime switching across GCC and global markets In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 27 |
| 2020 | Forecasting the macro determinants of bank credit quality: a non-linear perspective In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 5 |
| 2001 | A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 16 |
| 2002 | A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS.(2002) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
| 2005 | Volatility Transmission in Financial Markets: A New Approach In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Realized Volatility and Change of Regimes In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Volatility Swings in the US Financial Markets In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Forecasting Realized Volatility with Changes of Regimes In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 0 |
| In: . [Full Text][Citation analysis] | article | 1 | |
| 2021 | Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach In: JRFM. [Full Text][Citation analysis] | article | 3 |
| 2009 | Misura dell’effetto criminalità sull’economia italiana In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | Il residuo fiscale nelle regioni italiane In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | Analisi degli effetti del residuo fiscale In: Post-Print. [Citation analysis] | paper | 0 |
| 2001 | The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools In: ISAE Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Dating the Italian BUsiness Cycle: A Comparison of Procedures. In: ISAE Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2003 | Dating the Italian Business Cycle: A Comparison of Procedures.(2003) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2005 | The multi-chain Markov switching model In: Journal of Forecasting. [Full Text][Citation analysis] | article | 16 |
| 2006 | Extracting 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] | article | 0 |
| 2005 | Indirect estimation of Markov switching models with endogenous switching In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Clustering space-time series: FSTAR as a flexible STAR approach In: Advances in Data Analysis and Classification. [Full Text][Citation analysis] | article | 0 |
| 2008 | Classifying Italian Pension Funds via GARCH Distance In: Springer Books. [Citation analysis] | chapter | 2 |
| 2006 | The choice of time interval in seasonal adjustment: A heuristic approach In: Statistical Papers. [Full Text][Citation analysis] | article | 1 |
| 2004 | The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach.(2004) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2007 | Volatility transmission across markets: a Multichain Markov Switching model In: Applied Financial Economics. [Full Text][Citation analysis] | article | 20 |
| 2011 | A realistic model for official interest rate movements and their consequences In: Applied Economics. [Full Text][Citation analysis] | article | 2 |
| 2013 | Volatility clustering in the presence of time-varying model parameters In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 0 |
| 2015 | Capturing the Spillover Effect With Multiplicative Error Models In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 7 |
| 2003 | the Multi-State Markov Switching Model In: Econometrics. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter In: Econometrics. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Classifying the Markets Volatility with ARMA Distance Measures In: Econometrics. [Full Text][Citation analysis] | paper | 1 |
| 2005 | Extraction of Common Signal from Series with Different Frequency In: Econometrics. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team