9
H index
8
i10 index
229
Citations
Eduardo Rossi : Citation Profile
Università degli Studi di Pavia | RESEARCH PRODUCTION: 18 Articles 22 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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25 years (1995 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Eduardo Rossi. | Is cited by:
| Cites to:
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Main data
Where Eduardo Rossi has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Financial Econometrics | 2 |
| Journal of Econometrics | 2 |
| Econometric Reviews | 2 |
| Journal of Applied Econometrics | 2 |
| Computational Statistics & Data Analysis | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| DEM Working Papers Series / University of Pavia, Department of Economics and Management | 7 |
| MPRA Paper / University Library of Munich, Germany | 3 |
| "Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno" | 2 |
Recent works citing Eduardo Rossi (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2025 | Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029. Full description at Econpapers || Download paper |
| 2024 | Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43. Full description at Econpapers || Download paper |
| 2024 | The effectiveness of fiscal policy in Brazil through the MIDAS Lens. (2024). Palma, Andreza A ; Alves, Renan Santos. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:46:y:2024:i:1:p:113-128. Full description at Econpapers || Download paper |
| 2024 | The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study. (2024). Esparcia, Carlos ; Diaz, Antonio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002897. Full description at Econpapers || Download paper |
| 2024 | Inspecting a seasonal ARIMA model with a random period. (2024). Rabehi, Nadia ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120758. 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 |
Works by Eduardo Rossi:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | Long Memory and Tail dependence in Trading Volume and Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 29 |
| 2013 | Long memory and tail dependence in trading volume and volatility.(2013) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
| 2009 | A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2011 | Estimation of long memory in integrated variance In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
| 2012 | Estimation of long memory in integrated variance.(2012) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2014 | Estimation of Long Memory in Integrated Variance.(2014) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2014 | Volatility jumps and their economic determinants In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 33 |
| 2016 | Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | article | |
| 2014 | Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
| 2014 | Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2014 | Indirect inference with time series observed with error In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Indirect inference with time series observed with error.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2019 | Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows.(2016) In: JRC Working Papers in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2005 | Artificial regression testing in the GARCH-in-mean model In: Econometrics Journal. [Full Text][Citation analysis] | article | 1 |
| 2010 | Efficient importance sampling maximum likelihood estimation of stochastic differential equations In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
| 2010 | Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 12 |
| 2008 | Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2020 | Structural analysis with mixed-frequency data: A model of US capital flows In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
| 2015 | Testing for no factor structures: On the use of Hausman-type statistics In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2015 | Inference on factor structures in heterogeneous panels In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
| 2012 | Inference on Factor Structures in Heterogeneous Panels.(2012) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2014 | Inference on Factor Structures in Heterogeneous Panels.(2014) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2017 | Chasing volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2019 | A two-stage estimator for heterogeneous panel models with common factors In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 6 |
| 2014 | A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors.(2014) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 1995 | A multivariate GARCH model for exchange rates volatility. In: LIUC Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Long Memory and Periodicity in Intraday Volatility In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 31 |
| 2012 | Long memory and Periodicity in Intraday Volatility.(2012) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2011 | Conditional jumps in volatility and their economic determinants In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Independent Factor Autoregressive Conditional Density Model In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 21 |
| 2015 | Independent Factor Autoregressive Conditional Density Model.(2015) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2014 | Testing for no factor structures: on the use of average-type and Hausman-type statistics In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Euro corporate bonds risk factors In: MPRA Paper. [Full Text][Citation analysis] | paper | 16 |
| 2013 | EURO CORPORATE BOND RISK FACTORS.(2013) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
| 2008 | Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Univariate GARCH models: a survey (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 2 |
| 2002 | Hedging interest rate risk with multivariate GARCH In: Applied Financial Economics. [Full Text][Citation analysis] | article | 5 |
| 2013 | A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges In: Journal of Futures Markets. [Citation analysis] | article | 15 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team