Publications

Author: Edoardo Otranto
Title Authors Year
A Vector Multiplicative Error Model with Spillover Effects and Co-movements
Working Paper, 2024
2024
On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence
Working Paper, 2023
2023
Volatility jumps and the classification of monetary policy announcements
Working Paper, 2023
2023
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS
Working Paper, 2022
2022
On Classifying the Effects of Policy Announcements on Volatility
Working Paper, 2020
2020
Measuring the Effects of Unconventional Policies on Stock Market Volatility
Working Paper, 2020
2020
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models
Working Paper, 2020
2020
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics
Working Paper, 2018
2018
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect
Working Paper, 2018
2018
Clustering Space-Time Series: A Flexible STAR Approach
Working Paper, 2017
2017
A Flexible Specification of Space–Time AutoRegressive Models
Working Paper, 2016
2016
Adding Flexibility to Markov Switching Models
Working Paper, 2015
2015
Spatial Effects in Dynamic Conditional Correlations
Working Paper, 2014
2014
Financial Clustering in Presence of Dominant Markets
Working Paper, 2013
2013
Modeling the Dependence of Conditional Correlations on Volatility
Working Paper, 2013
2013
Spillover Effects in the Volatility of Financial Markets
Working Paper, 2012
2012
The Markov Switching Asymmetric Multiplicative Error Model
Working Paper, 2012
2012
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation
Working Paper, 2012
2012
Cycles in crime and economy: leading, lagging and coincident behaviors
Journal of Quantitative Criminology , 2012, pages 295-317
2012
Model effect on projected mortality indicators
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
2012
A realistic model for official interest rate movements and their consequences
Applied Economics, 2011, pages 4431-4447
2011
Cycles in Crime and Economy Revised
Working Paper, 2011
2011
A realistic model for official interest rate movements and their consequences
APPLIED ECONOMICS, 2011, pages 4431–4447
2011
Classification of Volatility in Presence of Changes in Model Parameters
Working Paper, 2011
2011
Does crime affect the economic Growth?
Kyklos, 2010, pages 330-345
2010
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
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach
Working Paper, 2009
2009
Time Varying Hidden Markov Model with Latent Information
STATISTICAL MODELLING, 2008, pages 347 - 366
2008
A Realistic Model for Official Interest Rates
Working Paper, 2008
2008
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2008, pages 3011 - 3026
2008
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching
Working Paper, 2008
2008
Identifying Financial Time Series with Similar Dynamic Conditional Correlation
Working Paper, 2008
2008
Transition Economies: 21st Century Issues and Challenges.
Transition Economies: 21st Century Issues and Challenges, 2008, pages 189 - 204
2008
Models to Date the Business Cycle: the Italian Case
ECONOMIC MODELLING, 2008, pages 899 - 911
2008
Clustering Heteroskedastic Time Series by Model-Based Procedures
Working Paper, 2008
2008
Clustering Heteroskedastic Time Series by Model-Based Procedures
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2008, pages 4685 - 4698
2008
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models
Working Paper, 2008
2008
Clustering Mutual Funds by Return and Risk Levels
Working Paper, 2008
2008
Mathematical and Statistical methods for Insurance and Finance
Mathematical and Statistical methods for Insurance and Finance, 2007, pages 189 - 197
2007
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
2007
"Frontiers in Time Series Analysis" Oxford Bulletin of Economics and Statistics
OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2006
2006
The Choice of Time Interval in Seasonal Adjustment: a Heuristic Approach
STATISTICAL PAPERS, 2006, pages 393 - 417
2006
Imputation of Missing Values for Longitudinal Data: an Application to the Italian Building Permits
RIVISTA DI STATISTICA UFFICIALE, 2006, pages 27 - 42
2006
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
The Multi-Chain Markov Switching Model
JOURNAL OF FORECASTING, 2005, pages 523 - 537
2005
Classifying the Markets Volatility with ARMA Distance Measures
QUADERNI DI STATISTICA, 2005, pages 1 - 19
2005
Business Cycles: Country Experiences
Business Cycles: Country Experiences, 2005, pages 30 - 49
2005

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