13
H index
15
i10 index
507
Citations
Edoardo Otranto : Citation Profile
Centro Ricerche Nord Sud (CRENoS) (10% share) | RESEARCH PRODUCTION: 34 Articles 70 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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25 years (2001 - 2026). 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?
Recent works citing Edoardo Otranto (2026 and 2025)
| Year | Title of citing document |
|---|---|
| 2025 | A Dynamic Stochastic Block Model for Multi-Layer Networks. (2022). Casarin, Roberto ; L'Opez, Ovielt Baltodano. In: Papers. RePEc:arx:papers:2209.09354. Full description at Econpapers || Download paper |
| 2025 | Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796. Full description at Econpapers || Download paper |
| 2025 | Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11606. Full description at Econpapers || Download paper |
| 2025 | Shadow economy or economic driver? The impact of counterfeiting on Italys growth. (2025). Giuriato, Luisa ; beqiraj, elton ; Fedeli, Silvia. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:87:y:2025:i:c:p:1275-1291. Full description at Econpapers || Download paper |
| 2025 | Twitter-based market uncertainty and global stock volatility predictability. (2025). Zhou, Mingtao ; Ma, Yong ; Li, Shuaibing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001815. Full description at Econpapers || Download paper |
| 2025 | Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations. (2025). Fan, Jianqing ; Kim, Donggyu ; Wang, Yazhen ; Shin, Minseok. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001836. Full description at Econpapers || Download paper |
| 2025 | Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229. Full description at Econpapers || Download paper |
| 2025 | Dynamic volatility spillovers among commodities, bitcoin, and emerging markets. (2025). Perote, Javier ; Mora-Valencia, Andrés ; Molina-Muoz, Jess. In: Emerging Markets Review. RePEc:eee:ememar:v:69:y:2025:i:c:s1566014125001244. Full description at Econpapers || Download paper |
| 2025 | Detecting the macro drivers in the Australian National Electricity Market asymmetric volatility co-movement. (2025). Wojewodzki, Michal ; Lau, Chi Keung ; Dai, Xingyu ; Wang, Qunwei. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000659. Full description at Econpapers || Download paper |
| 2025 | Systemic resilience of networked commodities. (2025). Storani, Saverio ; Mattera, Raffaele ; Cerqueti, Roy. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000933. Full description at Econpapers || Download paper |
| 2025 | Model specification for volatility forecasting benchmark. (2025). Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007828. Full description at Econpapers || Download paper |
| 2025 | Forecasting realized volatility with spillover effects: Perspectives from graph neural networks. (2025). Cucuringu, Mihai ; Dong, Xiaowen ; Zhang, Chao ; Pu, Xingyue. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:377-397. Full description at Econpapers || Download paper |
| 2025 | The contribution of realized variance–covariance models to the economic value of volatility timing. (2025). Xu, Yongdeng ; Bauwens, Luc. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1165-1183. Full description at Econpapers || Download paper |
| 2025 | Event-driven changes in volatility connectedness in global forex markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:77:y:2025:i:c:s1042444x24000616. Full description at Econpapers || Download paper |
| 2025 | Forecasting realised volatility using regime-switching models. (2025). McMillan, David G ; Kambouroudis, Dimos ; Ding, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:101:y:2025:i:c:s105905602500334x. Full description at Econpapers || Download paper |
| 2025 | Strategies to control corruption in economic development: The role of government spending and public satisfaction. (2025). Chiu, Yung-Ho ; Yang, Chih-Yu ; Chen, Chiu-Mi ; Hung, Hsiu-Wan. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:98:y:2025:i:c:s0038012124003446. Full description at Econpapers || Download paper |
| 2025 | Mutual Spatial Proximity, Organized Crime, and the Profitability of High-Growth Startups: The Case of Italian Gazelle Enterprises. (2025). Migliardo, Carlo ; Nicol, Domenico. In: MANAGEMENT CONTROL. RePEc:fan:macoma:v:html10.3280/maco2025-001011. Full description at Econpapers || Download paper |
| 2025 | Systemic resilience of networked commodities. (2025). Storani, Saverio ; Mattera, Raffaele ; Cerqueti, Roy. In: Post-Print. RePEc:hal:journl:hal-05109120. Full description at Econpapers || Download paper |
| 2025 | Protecting Postville? The impact of deportation and immigration on crime. (2025). Kramer, Claudia ; Bedi, Joshua K ; Jia, Shaomeng. In: Public Choice. RePEc:kap:pubcho:v:203:y:2025:i:3:d:10.1007_s11127-024-01232-7. Full description at Econpapers || Download paper |
| 2025 | A beta prime ARMA model for positive time series. (2025). Almohaimeed, Bader ; Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:123873. Full description at Econpapers || Download paper |
| 2025 | The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501. Full description at Econpapers || Download paper |
| 2025 | Generative-Discriminative Machine Learning Models for High-Frequency Financial Regime Classification. (2025). Peters, Gareth W ; Koukorinis, Andreas ; Germano, Guido. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10148-8. Full description at Econpapers || Download paper |
| 2025 | Detecting patterns in financial data through weighted time-frequency domain clustering. (2025). Balzanella, Antonio ; Fortuna, Francesca ; Naccarato, Alessia. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:3:d:10.1007_s11135-024-02000-x. Full description at Econpapers || Download paper |
| 2025 | The term structure of interest rates as predictor of stock market volatility. (2025). Megaritis, Anastasios ; Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Kontonikas, Alexandros. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3212-3229. 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 | |
| 2026 | Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2026 | Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2026 | VOLatility Archive for Realized Estimates (VOLARE) In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 | 86 |
| 2010 | Does Crime Affect Economic Growth?.(2010) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
| 2006 | Frontiers in Time Series Analysis: Introduction In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2024 | Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2022 | Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS.(2022) In: Working Paper CRENoS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2008 | Clustering Heteroskedastic Time Series by Model-Based Procedures In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 29 |
| 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: 29 | 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 | 3 |
| 2008 | Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 7 |
| 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: 7 | article | |
| 2008 | Clustering Mutual Funds by Return and Risk Levels In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Clustering mutual funds by return and risk levels.(2010) In: Springer Books. [Citation analysis] This paper has nother version. Agregated cites: 1 | chapter | |
| 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 | 10 |
| 2012 | Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors.(2012) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2012 | Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors.(2012) In: Journal of Quantitative Criminology. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 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 | Nonlinearities and Regimes in Conditional Correlations with Different Dynamics In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Nonlinearities and regimes in conditional correlations with different dynamics.(2018) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 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 | |
| 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 | 4 |
| 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: 4 | 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: 4 | paper | |
| 2023 | Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.(2023) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 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 |
| 2024 | A Vector Multiplicative Error Model with Spillover Effects and Co-movements In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Realized Covariance Models with Time-varying Parameters and Spillover Effects In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Realized covariance models with time-varying parameters and spillover effects.(2025) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | Modeling the dependence of conditional correlations on market volatility In: LIDAM Reprints CORE. [Citation analysis] | paper | 15 |
| 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: 15 | 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 | 73 |
| 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: 73 | 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 | 4 |
| 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 | 21 |
| 2015 | Forecasting realized volatility with changing average levels In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 34 |
| 2021 | Realized volatility forecasting: Robustness to measurement errors In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 19 |
| 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: 19 | 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 | 28 |
| 2020 | Forecasting the macro determinants of bank credit quality: a non-linear perspective In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 7 |
| 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 | 22 |
| 2007 | Volatility transmission across markets: a Multichain Markov Switching model.(2007) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
| 2012 | Realized Volatility and Change of Regimes In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 3 |
| 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 |
| 2021 | Do Different Models Induce Changes in Mortality Indicators? That Is a Key Question for Extending the Lee-Carter Model In: IJERPH. [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 | 4 |
| 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 | 17 |
| 2006 | Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy In: Journal of Business Cycle Measurement and Analysis. [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 |
| 2025 | On using fuzzy clustering for detecting the number of states in Markov switching models In: Annals of Operations Research. [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 | |
| 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 | 2 |
| 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. Last updated March, 14 2025. Contact: CitEc Team