Publications

Title Authors Year
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect
Working Paper, 2018
M.G. Campolo; A. Di Pino; E. Otranto
2018
Clustering Space-Time Series: A Flexible STAR Approach
Working Paper, 2017
E. Otranto; M. Mucciardi
2017
A Flexible Specification of Space–Time AutoRegressive Models
Working Paper, 2016
E. Otranto; M. Mucciardi
2016
Adding Flexibility to Markov Switching Models
Working Paper, 2015
2015
Spatial Effects in Dynamic Conditional Correlations
Working Paper, 2014
E. Otranto; M. Mucciardi; P. Bertuccelli
2014
Modeling the Dependence of Conditional Correlations on Volatility
Working Paper, 2013
L. Bauwens; E. Otranto
2013
Financial Clustering in Presence of Dominant Markets
Working Paper, 2013
R. Gargano; E. Otranto
2013
The Markov Switching Asymmetric Multiplicative Error Model
Working Paper, 2012
2012
Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment
Working Paper, 2012
A. Khalifa; S. Hammoudeh; E. Otranto
2012
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation
Working Paper, 2012
A. Khalifa; S. Hammoudeh; E. Otranto; S. Ramchander
2012
Model effect on projected mortality indicators
Working Paper, 2012
A. Debòn; S. Haberman; F. Montes; E. Otranto
2012
Spillover Effects in the Volatility of Financial Markets
Working Paper, 2012
2012
Cycles in crime and economy: leading, lagging and coincident behaviors
Journal of Quantitative Criminology , 2012, pages 295-317
2012
Cycles in Crime and Economy Revised
Working Paper, 2011
2011
Classification of Volatility in Presence of Changes in Model Parameters
Working Paper, 2011
2011
A realistic model for official interest rate movements and their consequences
Applied Economics, 2011, pages 4431-4447
2011
A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime
Working Paper, 2010
2010
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors
Working Paper, 2010
2010
Does crime affect the economic Growth?
Kyklos, 2010, pages 330-345
2010
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach
Working Paper, 2009
2009
Clustering Heteroskedastic Time Series by Model-Based Procedures
Working Paper, 2008
2008
A Realistic Model for Official Interest Rates
Working Paper, 2008
2008
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models
Working Paper, 2008
M. Bigeco; E. Grosso; E. Otranto
2008
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching
Working Paper, 2008
2008
Clustering Mutual Funds by Return and Risk Levels
Working Paper, 2008
F. Lisi; E. Otranto
2008
Identifying Financial Time Series with Similar Dynamic Conditional Correlation
Working Paper, 2008
2008
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2008, pages 3011 - 3026
2008
Clustering Heteroskedastic Time Series by Model-Based Procedures
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2008, pages 4685 - 4698
2008
Models to Date the Business Cycle: the Italian Case
ECONOMIC MODELLING, 2008, pages 899 - 911
G. Bruno; E. Otranto
2008
Time Varying Hidden Markov Model with Latent Information
STATISTICAL MODELLING, 2008, pages 347 - 366
2008
Transition Economies: 21st Century Issues and Challenges.
Transition Economies: 21st Century Issues and Challenges, 2008, pages 189 - 204
E. Otranto; A. Trudda
2008
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model
APPLIED FINANCIAL ECONOMICS, 2007, pages 659 - 670
2007
Testing for Equal Predictability of Stationary ARMA Processes
JOURNAL OF APPLIED STATISTICS, 2007, pages 1091 - 1108
E. Otranto; U. Triacca
2007
Mathematical and Statistical methods for Insurance and Finance
Mathematical and Statistical methods for Insurance and Finance, 2007, pages 189 - 197
E. Otranto; A. Trudda
2007
The Choice of Time Interval in Seasonal Adjustment: a Heuristic Approach
STATISTICAL PAPERS, 2006, pages 393 - 417
G. Bruno; E. Otranto
2006
Imputation of Missing Values for Longitudinal Data: an Application to the Italian Building Permits
RIVISTA DI STATISTICA UFFICIALE, 2006, pages 27 - 42
F. Bacchini; R. Iannaccone; E. Otranto
2006
"Frontiers in Time Series Analysis" Oxford Bulletin of Economics and Statistics
OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2006
A. Banerjee; E. Otranto
2006
Classifying the Markets Volatility with ARMA Distance Measures
QUADERNI DI STATISTICA, 2005, pages 1 - 19
2005
The Multi-Chain Markov Switching Model
JOURNAL OF FORECASTING, 2005, pages 523 - 537
2005
Continuous Time Models to Extract a Signal in Presence of irregular Surveys
STATISTICA & APPLICAZIONI, 2005
E. Otranto; R. Iannaccone
2005
Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy
JOURNAL OF BUSINESS CYCLE ANALYSIS AND MEASUREMENT, 2005, pages 407 - 430
2005
Business Cycles: Country Experiences
Business Cycles: Country Experiences, 2005, pages 30 - 49
G. Bruno; E. Otranto
2005