E. Otranto, “A Vector Multiplicative Error Model with Spillover Effects and Co-movements”. 2024.

E. Otranto and L. Scaffidi Domianello, , “On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence”. 2023.

G. M. Gallo, Lacava, D. , and Otranto, E. , “Volatility jumps and the classification of monetary policy announcements”. 2023.

L. Scaffidi Domianello, Gallo, G. M. , and Otranto, E. , “Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS”. 2022.

G. M. Gallo, Lacava, D. , and Otranto, E. , “On Classifying the Effects of Policy Announcements on Volatility”. 2020.

D. Lacava, Gallo, G. M. , and Otranto, E. , “Measuring the Effects of Unconventional Policies on Stock Market Volatility”. 2020.

L. Bauwens and Otranto, E. , “Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models”. 2020.

L. Bauwens and Otranto, E. , “Nonlinearities and Regimes in Conditional Correlations with Different Dynamics”. 2018.

M. G. Campolo, Di Pino, A. , and Otranto, E. , “Reducing Bias in a Matching Estimation of Endogenous Treatment Effect”. 2018.

E. Otranto and Mucciardi, M. , “Clustering Space-Time Series: A Flexible STAR Approach”. 2017.

E. Otranto and Mucciardi, M. , “A Flexible Specification of Space–Time AutoRegressive Models”. 2016.

E. Otranto, “Adding Flexibility to Markov Switching Models”. 2015.

E. Otranto, Mucciardi, M. , and Bertuccelli, P. , “Spatial Effects in Dynamic Conditional Correlations”. 2014.

R. Gargano and Otranto, E. , “Financial Clustering in Presence of Dominant Markets”. 2013.

L. Bauwens and Otranto, E. , “Modeling the Dependence of Conditional Correlations on Volatility”. 2013.

C. Detotto and Otranto, E. , “Cycles in crime and economy: leading, lagging and coincident behaviors”, Journal of Quantitative Criminology , vol. 28, no. 2, pp. 295-317, 2012.

E. Otranto, “The Markov Switching Asymmetric Multiplicative Error Model”. 2012.

A. Debòn, Haberman, S. , Montes, F. , and Otranto, E. , “Model effect on projected mortality indicators”. 2012.

E. Otranto, “Spillover Effects in the Volatility of Financial Markets”. 2012.

A. Khalifa, Hammoudeh, S. , and Otranto, E. , “Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment”. 2012.

A. Khalifa, Hammoudeh, S. , Otranto, E. , and Ramchander, S. , “Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation”. 2012.

E. Otranto, “Classification of Volatility in Presence of Changes in Model Parameters”. 2011.

C. Detotto and Otranto, E. , “Cycles in Crime and Economy Revised”. 2011.

J. D. Tena horrillo and Otranto, E. , “A realistic model for official interest rate movements and their consequences”, APPLIED ECONOMICS, vol. 43, pp. 4431–4447, 2011.

J. D. Tena and Otranto, E. , “A realistic model for official interest rate movements and their consequences”, Applied Economics, vol. 43, no. 29, pp. 4431-4447, 2011.

C. Detotto and Otranto, E. , “Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors”. 2010.

C. Detotto and Otranto, E. , “Does crime affect the economic Growth?”, Kyklos, vol. 63, no. 3, pp. 330-345, 2010.

C. Detotto and Otranto, E. , “A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime”. 2010.

E. Otranto, “Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach”. 2009.

E. Otranto, “Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching”. 2008.

E. Otranto, “Clustering Heteroskedastic Time Series by Model-Based Procedures”, COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 52, pp. 4685 - 4698, 2008.

E. Otranto, “Clustering Heteroskedastic Time Series by Model-Based Procedures”. 2008.

F. Lisi and Otranto, E. , “Clustering Mutual Funds by Return and Risk Levels”. 2008.

E. Otranto, “Identifying Financial Time Series with Similar Dynamic Conditional Correlation”. 2008.

G. Bruno and Otranto, E. , “Models to Date the Business Cycle: the Italian Case”, ECONOMIC MODELLING, vol. 25, pp. 899 - 911, 2008.

J. D. Tena and Otranto, E. , “A Realistic Model for Official Interest Rates”. 2008.

M. Bigeco, Grosso, E. , and Otranto, E. , “Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models”. 2008.

D. Cocchi, Mateu, J. , Montes, F. , Otranto, E. , Porcu, E. , Usai, A. , and Statistics for spatio-temporal modelling , , “Statistics for Spatio-Temporal Modelling”, presented at the 2008//, Alghero, 2008.

E. Otranto, “Time Varying Hidden Markov Model with Latent Information”, STATISTICAL MODELLING, vol. 8, pp. 347 - 366, 2008.

E. Otranto and Trudda, A. , “Transition Economies: 21st Century Issues and Challenges.”, in Transition Economies: 21st Century Issues and Challenges, G. M. Lakatos, Ed. HAUPPAUGE, NY: Nova Science Publisher, 2008, pp. 189 - 204.

E. Otranto, “Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach”, COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 52, pp. 3011 - 3026, 2008.

E. Otranto and Trudda, A. , “Mathematical and Statistical methods for Insurance and Finance”, in Mathematical and Statistical methods for Insurance and Finance, M. Perna and Sibillo, C. , Eds. MILANO: Springer, 2007, pp. 189 - 197.

E. Otranto and Triacca, U. , “Testing for Equal Predictability of Stationary ARMA Processes”, JOURNAL OF APPLIED STATISTICS, vol. 34, pp. 1091 - 1108, 2007.

E. Otranto, “Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model”, APPLIED FINANCIAL ECONOMICS, vol. 17, pp. 659 - 670, 2007.

G. Bruno and Otranto, E. , “The Choice of Time Interval in Seasonal Adjustment: a Heuristic Approach”, STATISTICAL PAPERS, vol. 47, pp. 393 - 417, 2006.

G. Demuro, Otranto, E. , and II conferenza sulla didattica, , “Documenti della “II Conferenza sulla Didattica””, presented at the 2006//, Sassari, 2006, pp. 53 - 69.

A. Banerjee and Otranto, E. , “"Frontiers in Time Series Analysis" Oxford Bulletin of Economics and Statistics”, OXFORD BULLETIN OF ECONOMICS AND STATISTICS, vol. 68, 2006.

F. Bacchini, Iannaccone, R. , and Otranto, E. , “Imputation of Missing Values for Longitudinal Data: an Application to the Italian Building Permits”, RIVISTA DI STATISTICA UFFICIALE, vol. 1, pp. 27 - 42, 2006.

G. Bruno and Otranto, E. , “Business Cycles: Country Experiences”, in Business Cycles: Country Experiences, V. Ramani, Ed. ICFAI University Press, 2005, pp. 30 - 49.

E. Otranto, “Classifying the Markets Volatility with ARMA Distance Measures”, QUADERNI DI STATISTICA, vol. 6, pp. 1 - 19, 2005.