Edoardo Otranto : Citation Profile

Are you Edoardo Otranto?

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

13

H index

14

i10 index

472

Citations

RESEARCH PRODUCTION:

30

Articles

63

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 21
   Journals where Edoardo Otranto has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 53 (10.1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pot5
   Updated: 2024-12-03    RAS profile: 2023-07-07    
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Relations with other researchers

Works with:

Gallo, Giampiero (10)

Bauwens, Luc (5)

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

Is cited by:

Bauwens, Luc (13)

Gallo, Giampiero (13)

Xu, Yongdeng (10)

Masih, Abul (9)

Calamunci, Francesca (8)

Detotto, Claudio (8)

Khalifa, Ahmed (7)

Balcilar, Mehmet (7)

ALOY, Marcel (6)

Caporin, Massimiliano (6)

Keddad, Benjamin (6)

Cites to:

Gallo, Giampiero (110)

Engle, Robert (90)

Bollerslev, Tim (60)

Diebold, Francis (47)

Hamilton, James (45)

Hammoudeh, Shawkat (39)

Andersen, Torben (27)

Hansen, Peter (26)

Lunde, Asger (25)

Edwards, Sebastian (24)

Bauwens, Luc (23)

Main data

Where Edoardo Otranto has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis3
International Journal of Forecasting2
Advances in Data Analysis and Classification2
Journal of Applied Statistics2
Journal of the Royal Statistical Society Series C2
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"10
Econometrics / University Library of Munich, Germany6
Post-Print / HAL5
Papers / arXiv.org3
ISAE Working Papers / ISTAT - Italian National Institute of Statistics - (Rome, ITALY)2

Recent works citing Edoardo Otranto (2024 and 2023)

YearTitle of citing document
2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023Predicting 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.

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2023.

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2024The stabilization role of police spending in a neo?Keynesian economy with credit market imperfections. (2021). Lim, King Yoong ; Jia, Pengfei. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:68:y:2021:i:1:p:103-125.

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2023Asymmetric 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.

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2023The 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.

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2023Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019.

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2023Socioeconomic Consequences of Corruption and Financial Crimes. (2023). Hilif, Mohamud Dahir ; Kulmie, Dayah Abdi ; Hussein, Mukhtar Sheikh. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-05-11.

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2024Time-varying multivariate causal processes. (2024). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174.

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2024Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2024). Sola, Martin ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:49-63.

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2023A 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.

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2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Mazouz, Khelifa ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

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2023Optimal 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.

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2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Suleman, Muhammad Tahir ; Niu, Zibo ; Zhu, Xuehong ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

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2023DCC- 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.

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2023Improving 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.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2023Evolution 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.

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2023The role of higher moments in predicting Chinas oil futures volatility: Evidence from machine learning models. (2023). Gao, Wang ; Zhao, Xinyi ; Zhang, Hongwei ; Niu, Zibo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000429.

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2024Influence of Ukraine invasion by Russia on Turkish markets. (2024). Tanrivermi, Yesim ; Salami, Monsurat Ayojimi. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000609.

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2024A novel online portfolio selection approach based on pattern matching and ESG factors. (2024). Asaad, Seyed Mehrzad ; Barak, Sasan ; Fereydooni, Ali. In: Omega. RePEc:eee:jomega:v:123:y:2024:i:c:s0305048323001391.

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2024Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants. (2024). Vo, Xuan Vinh ; al Rababa, Abdel Razzaq ; Ziadat, Salem Adel ; Mensi, Walid ; Kang, Sang Hoon. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:1-17.

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2023Renewable 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.

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2024Precious metals and currency markets during the Russia-Ukraine conflict’s inflationary periods. (2024). Raza, Syed ; Guesmi, Khaled ; Anwar, Rija ; Benkraiem, Ramzi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002647.

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2023Mafia 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.

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2023Organised 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.

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2024Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Cipollini, F ; Candila, V. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768.

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2023The 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.

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2023.

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2024.

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2023Systematic 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.

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2023Volatility 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.

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2024The effectiveness of a certification of legality. Evidence from Italian firms. (2024). Cantabene, Claudia ; Alfano, Maria Rosaria ; de Iudicibus, Alessandro. In: MPRA Paper. RePEc:pra:mprapa:120306.

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2023Online 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.

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2023Heterogeneous 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.

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2024Forecasting the Asian stock market volatility: Evidence from WTI and INE oil futures. (2024). Huang, Dengshi ; Ma, Feng ; Ghani, Maria. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1496-1512.

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Works by Edoardo Otranto:

YearTitleTypeCited
2021Unconventional Policies Effects on Stock Market Volatility: A MAP Approach In: Papers.
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2022Unconventional policies effects on stock market volatility: The MAP approach.(2022) In: Journal of the Royal Statistical Society Series C.
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This paper has nother version. Agregated cites: 0		article
2021On Classifying the Effects of Policy Announcements on Volatility In: Papers.
[Full Text][Citation analysis]		paper1
2020On Classifying the Effects of Policy Announcements on Volatility.(2020) In: Working Paper CRENoS.
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This paper has nother version. Agregated cites: 1		paper
2023Volatility jumps and the classification of monetary policy announcements In: Papers.
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2023Volatility jumps and the classification of monetary policy announcements.(2023) In: Working Paper CRENoS.
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This paper has nother version. Agregated cites: 0		paper
2018Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article5
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 nother version. Agregated cites: 5		paper
2010Does Crime Affect Economic Growth? In: Kyklos.
[Full Text][Citation analysis]		article77
2010Does Crime Affect Economic Growth?.(2010) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 77		paper
2006Frontiers in Time Series Analysis: Introduction In: Oxford Bulletin of Economics and Statistics.
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2008Clustering Heteroskedastic Time Series by Model-Based Procedures In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper24
2008Clustering heteroskedastic time series by model-based procedures.(2008) In: Computational Statistics & Data Analysis.
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This paper has nother version. Agregated cites: 24		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.
[Full Text][Citation analysis]		paper2
2008Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper7
2010Asset allocation using flexible dynamic correlation models with regime switching.(2010) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 7		article
2008Clustering Mutual Funds by Return and Risk Levels In: Working Paper CRENoS.
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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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This paper has nother version. Agregated cites: 17		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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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.
[Citation analysis]
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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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2012Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper9
2012Model effect on projected mortality indicators In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper0
2012Spillover Effects in the Volatility of Financial Markets In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper0
2013Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS.
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2013Modeling the dependence of conditional correlations on volatility.(2013) In: LIDAM Discussion Papers CORE.
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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 nother version. Agregated cites: 1		article
2015Adding Flexibility to Markov Switching Models In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper0
2016A Flexible Specification of Space–Time AutoRegressive Models In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper0
2017Clustering Space-Time Series: A Flexible STAR Approach In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper0
2018Reducing Bias in a Matching Estimation of Endogenous Treatment Effect In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper0
2020Measuring the Effects of Unconventional Policies on Stock Market Volatility In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper1
2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper3
2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models.(2020) In: LIDAM Discussion Papers CORE.
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2022Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.(2022) In: LIDAM Reprints CORE.
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2022Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS In: Working Paper CRENoS.
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2023On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper0
2018Nonlinearities and regimes in conditional correlations with different dynamics In: LIDAM Discussion Papers CORE.
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2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: LIDAM Reprints CORE.
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2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: Journal of Econometrics.
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2016Modeling the dependence of conditional correlations on market volatility In: LIDAM Reprints CORE.
[Citation analysis]		paper17
2016Modeling the Dependence of Conditional Correlations on Market Volatility.(2016) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 17		article
2006Modelling the discrete and infrequent official interest rate change in the UK In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2008Volatility spillovers, interdependence and comovements: A Markov Switching approach In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article73
2007Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach.(2007) In: Econometrics Working Papers Archive.
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This paper has nother version. Agregated cites: 73		paper
2008Models to date the business cycle: The Italian case In: Economic Modelling.
[Full Text][Citation analysis]		article6
2014Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets In: Economic Modelling.
[Full Text][Citation analysis]		article4
2016Volatility transmission across currencies and commodities with US uncertainty measures In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article16
2015Forecasting realized volatility with changing average levels In: International Journal of Forecasting.
[Full Text][Citation analysis]		article29
2021Realized volatility forecasting: Robustness to measurement errors In: International Journal of Forecasting.
[Full Text][Citation analysis]		article13
2019Realized Volatility Forecasting: Robustness to Measurement Errors.(2019) In: Econometrics Working Papers Archive.
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This paper has nother version. Agregated cites: 13		paper
2014Patterns of volatility transmissions within regime switching across GCC and global markets In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article27
2020Forecasting the macro determinants of bank credit quality: a non-linear perspective In: Journal of Risk Finance.
[Full Text][Citation analysis]		article6
2001A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper16
2002A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS.(2002) In: Econometric Reviews.
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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.
[Full Text][Citation analysis]		paper22
2007Volatility transmission across markets: a Multichain Markov Switching model.(2007) In: Applied Financial Economics.
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This paper has nother version. Agregated cites: 22		article
2012Realized Volatility and Change of Regimes In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper3
2012Volatility Swings in the US Financial Markets In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper0
2014Forecasting Realized Volatility with Changes of Regimes In: Econometrics Working Papers Archive.
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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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In: .
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2021Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach In: JRFM.
[Full Text][Citation analysis]		article3
2009Misura dell’effetto criminalità sull’economia italiana In: Post-Print.
[Citation analysis]		paper0
2015Il residuo fiscale nelle regioni italiane In: Post-Print.
[Citation analysis]		paper0
2015Analisi degli effetti del residuo fiscale In: Post-Print.
[Citation analysis]		paper0
2001The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools In: ISAE Working Papers.
[Full Text][Citation analysis]		paper1
2004Dating the Italian BUsiness Cycle: A Comparison of Procedures. In: ISAE Working Papers.
[Full Text][Citation analysis]		paper19
2003Dating the Italian Business Cycle: A Comparison of Procedures.(2003) In: Econometrics.
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2005The multi-chain Markov switching model In: Journal of Forecasting.
[Full Text][Citation analysis]		article17
2006Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy In: Journal of Business Cycle Measurement and Analysis.
[Full Text][Citation analysis]		article0
2005Indirect estimation of Markov switching models with endogenous switching In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2019Clustering space-time series: FSTAR as a flexible STAR approach In: Advances in Data Analysis and Classification.
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2008Classifying Italian Pension Funds via GARCH Distance In: Springer Books.
[Citation analysis]		chapter2
2006The choice of time interval in seasonal adjustment: A heuristic approach In: Statistical Papers.
[Full Text][Citation analysis]		article1
2004The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach.(2004) In: Econometrics.
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This paper has nother version. Agregated cites: 1		paper
2011A realistic model for official interest rate movements and their consequences In: Applied Economics.
[Full Text][Citation analysis]		article2
2013Volatility clustering in the presence of time-varying model parameters In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article0
2015Capturing the Spillover Effect With Multiplicative Error Models In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]		article7
2003the Multi-State Markov Switching Model In: Econometrics.
[Full Text][Citation analysis]		paper0
2003Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter In: Econometrics.
[Full Text][Citation analysis]		paper1
2004Classifying the Markets Volatility with ARMA Distance Measures In: Econometrics.
[Full Text][Citation analysis]		paper1
2005Extraction of Common Signal from Series with Different Frequency In: Econometrics.
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