Edoardo Otranto : Citation Profile

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

13

H index

14

i10 index

519

Citations

RESEARCH PRODUCTION:

30

Articles

63

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 23
   Journals where Edoardo Otranto has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 53 (9.27 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pot5
   Updated: 2025-12-20    RAS profile: 2023-07-07    
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Relations with other researchers

Works with:

Gallo, Giampiero (9)

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:

Gallo, Giampiero (20)

Bauwens, Luc (13)

Xu, Yongdeng (11)

Masih, Abul (9)

Calamunci, Francesca (8)

Detotto, Claudio (8)

Khalifa, Ahmed (7)

Caiado, Jorge (7)

Balcilar, Mehmet (7)

Dufrénot, Gilles (6)

Basher, Syed (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
Journal of the Royal Statistical Society Series C2
Journal of Applied Statistics2
International Journal of Forecasting2
Economic Modelling2
Advances in Data Analysis and Classification2

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 (2025 and 2024)

YearTitle of citing document
2024STABILITY OF THE BANKING SECTOR AND MACROECONOMIC PERFORMANCE IN THE COUNTRIES OF THE EUROPEAN UNION. (2024). Mina-Madalina, Angela Roman. In: Jean Monnet Chair EU Public Administration Integration and Resilience Studies. RePEc:aic:ejpair:y:2024:v:06:p:68-87.

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2025A Dynamic Stochastic Block Model for Multi-Layer Networks. (2022). Casarin, Roberto ; L'Opez, Ovielt Baltodano. In: Papers. RePEc:arx:papers:2209.09354.

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2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

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2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

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2024Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS. (2024). Gallo, Giampiero ; Otranto, Edoardo ; Domianello, Luca Scaffidi. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:1:p:21-43.

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2024CORRUPTION AND ORGANIZED CRIME, FDI ANDCOUNTRIES PERFORMANCE IN THE BUSINESS SECTOR: A RESEARCH REVIEW. (2024). Mihai, Cazacu ; Andrada, Mrgrita Ilinca ; Dumitru, Troanc. In: Revista Economica. RePEc:blg:reveco:v:76:y:2024:i:2:p:7-21.

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2025Event-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.

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2024A Vector Multiplicative Error Model with Spillover Effects and Co-movements. (2024). Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202404.

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2024Nonnegative GARCH-type models with conditional Gamma distributions and their applications. (2024). Hwang, Eunju ; Jeon, Chanhyeok. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:198:y:2024:i:c:s0167947324000902.

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2024Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies. (2024). Liu, Zixin ; He, Zhipeng ; Zhang, Shuguang ; Hu, Jun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001748.

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2025Twitter-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.

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2024Time-varying multivariate causal processes. (2024). GAO, Jiti ; Yan, Yayi ; Wu, Wei Biao ; Peng, Bin. 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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2025Multiplicative 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.

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

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2024Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584.

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2025Detecting 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.

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2025Systemic resilience of networked commodities. (2025). Storani, Saverio ; Mattera, Raffaele ; Cerqueti, Roy. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000933.

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2025Model 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.

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2024Stock, foreign exchange and commodity markets linkages: Implications for risk diversification and portfolio management. (2024). Veloso, Carmen L ; Cornejo, Edinson E ; Seplveda, Sandra M ; Muoz, Jorge A ; Delgado, Carlos L. In: Global Finance Journal. RePEc:eee:glofin:v:63:y:2024:i:c:s104402832400125x.

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2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Niu, Zibo ; Zhu, Xuehong ; Suleman, Muhammad Tahir ; 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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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Li, Dan ; Drovandi, Christopher. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2025Forecasting 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.

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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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2025Event-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.

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2024Time series clustering using fragmented autocorrelations. (2024). Crato, Nuno ; Caiado, Jorge ; Albino, Andreia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:650:y:2024:i:c:s0378437124004904.

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

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2025Forecasting 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.

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

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

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2025Strategies 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.

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2024Does crime type matter in understanding the nexus between universal credit and crime? Evidence from England and Wales. (2024). Lim, King Yoong ; Pickering, R. In: Economic Issues Journal Articles. RePEc:eis:articl:124pickering.

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2025Mutual 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.

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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2024A News Sentiment Index to Inform International Financial Reporting Standard 9 Impairments. (2024). Stander, Yolanda S. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:7:p:282-:d:1428865.

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2024Exploring the Influence of Crime on NEET Rates: A Regional Analysis of Italy. (2024). Odoardi, Iacopo ; Quaglione, Davide ; Dingiullo, Dario ; di Nucci, Ada. In: Merits. RePEc:gam:jmerit:v:4:y:2024:i:2:p:10-145:d:1372961.

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2024Precious metals and currency markets during the Russia-Ukraine conflict’s inflationary periods. (2024). Guesmi, K ; Raza, S A ; Anwar, R ; Benkraiem, R. In: Post-Print. RePEc:hal:journl:hal-04720743.

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2025Systemic resilience of networked commodities. (2025). Storani, Saverio ; Mattera, Raffaele ; Cerqueti, Roy. In: Post-Print. RePEc:hal:journl:hal-05109120.

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2024Connectedness and risk transmission of China’s stock and currency markets with global commodities. (2024). Nong, Huifu. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:1:d:10.1007_s10644-024-09586-0.

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2025Protecting 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.

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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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2025A beta prime ARMA model for positive time series. (2025). Almohaimeed, Bader ; Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:123873.

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2024Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis. (2024). GUPTA, RANGAN ; Gallo, Giampiero ; Cepni, Oguzhan ; Candila, Vincenzo. In: Working Papers. RePEc:pre:wpaper:202437.

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2025The 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.

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2025On using fuzzy clustering for detecting the number of states in Markov switching models. (2025). Domianello, Luca Scaffidi ; Otranto, Edoardo. In: Annals of Operations Research. RePEc:spr:annopr:v:349:y:2025:i:3:d:10.1007_s10479-025-06585-w.

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2024Fuzzy clustering of time series based on weighted conditional higher moments. (2024). Vitale, Vincenzina ; Cerqueti, Roy ; Mattera, Raffaele ; Durso, Pierpaolo ; Giovanni, Livia. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:6:d:10.1007_s00180-023-01425-6.

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2024Does technology transfer increase local cognitive proximity between university and industry? The case of Italy. (2024). Ciucci, Laura ; Maupertuis, Marie-Antoinette. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:41:y:2024:i:1:d:10.1007_s40888-023-00308-9.

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2024Between crime and economic growth: the asymmetric role of public expenditure and unemployment. (2024). Khoirunurrofik, Khoirunurrofik ; Nurbasuni, Litany Eldest. In: Review of Regional Research: Jahrbuch für Regionalwissenschaft. RePEc:spr:jahrfr:v:44:y:2024:i:1:d:10.1007_s10037-024-00202-2.

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2025Generative-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.

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2025Detecting 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.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2024The Impact of the Size of Funds on the Use of Selectivity and Market Timing by Investment Funds. (2024). Dorota, Ebrowska-Suchodolska. In: Folia Oeconomica Stetinensia. RePEc:vrs:foeste:v:24:y:2024:i:2:p:419-437:n:1020.

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

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2025The 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.

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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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2021On Classifying the Effects of Policy Announcements on Volatility In: Papers.
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2020On Classifying the Effects of Policy Announcements on Volatility.(2020) In: Working Paper CRENoS.
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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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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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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach.(2017) In: Econometrics Working Papers Archive.
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2010Does Crime Affect Economic Growth? In: Kyklos.
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2010Does Crime Affect Economic Growth?.(2010) In: Post-Print.
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This paper has nother version. Agregated cites: 85		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.
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2008Clustering heteroskedastic time series by model-based procedures.(2008) In: Computational Statistics & Data Analysis.
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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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2008Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching In: Working Paper CRENoS.
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2010Asset allocation using flexible dynamic correlation models with regime switching.(2010) In: Quantitative Finance.
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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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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.
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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.
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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: 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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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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2020Measuring the Effects of Unconventional Policies on Stock Market Volatility In: Working Paper CRENoS.
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2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models In: Working Paper CRENoS.
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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.
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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.
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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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2021Realized volatility forecasting: Robustness to measurement errors In: International Journal of Forecasting.
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2019Realized Volatility Forecasting: Robustness to Measurement Errors.(2019) In: Econometrics Working Papers Archive.
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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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2020Forecasting the macro determinants of bank credit quality: a non-linear perspective In: Journal of Risk 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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2021Do Different Models Induce Changes in Mortality Indicators? That Is a Key Question for Extending the Lee-Carter Model In: IJERPH.
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2021Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach In: JRFM.
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2009Misura dell’effetto criminalità sull’economia italiana In: Post-Print.
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2015Il residuo fiscale nelle regioni italiane In: Post-Print.
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2015Analisi degli effetti del residuo fiscale In: Post-Print.
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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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2008Classifying Italian Pension Funds via GARCH Distance In: Springer Books.
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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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2015Capturing the Spillover Effect With Multiplicative Error Models In: Communications in Statistics - Theory and Methods.
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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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