Working Papers

Author: Edoardo Otranto

Title	Authors	Year	Number
A Vector Multiplicative Error Model with Spillover Effects and Co-movements	E. Otranto	2024	24_04
Volatility jumps and the classification of monetary policy announcements	G.M. Gallo; D. Lacava; E. Otranto	2023	23_06
On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence	E. Otranto; Scaffidi Domianello	2023	23_04
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS	Scaffidi Domianello; G.M. Gallo; E. Otranto	2022	22_05
On Classifying the Effects of Policy Announcements on Volatility	G.M. Gallo; D. Lacava; E. Otranto	2020	2020_08
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models	L. Bauwens; E. Otranto	2020	2020_07
Measuring the Effects of Unconventional Policies on Stock Market Volatility	D. Lacava; G.M. Gallo; E. Otranto	2020	2020_06
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect	M.G. Campolo; A. Di Pino; E. Otranto	2018	2018_05
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics	L. Bauwens; E. Otranto	2018	2018_03
Clustering Space-Time Series: A Flexible STAR Approach	E. Otranto; M. Mucciardi	2017	2017_07
A Flexible Specification of Space–Time AutoRegressive Models	E. Otranto; M. Mucciardi	2016	2016_08
Adding Flexibility to Markov Switching Models	E. Otranto	2015	2015_09
Spatial Effects in Dynamic Conditional Correlations	E. Otranto; M. Mucciardi; P. Bertuccelli	2014	2014_06
Financial Clustering in Presence of Dominant Markets	R. Gargano; E. Otranto	2013	2013_18
Modeling the Dependence of Conditional Correlations on Volatility	L. Bauwens; E. Otranto	2013	2013_04
Spillover Effects in the Volatility of Financial Markets	E. Otranto	2012	2012_17
Model effect on projected mortality indicators	A. Debòn; S. Haberman; F. Montes; E. Otranto	2012	2012_15
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation	A. Khalifa; S. Hammoudeh; E. Otranto; S. Ramchander	2012	2012_14
Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment	A. Khalifa; S. Hammoudeh; E. Otranto	2012	2012_09
The Markov Switching Asymmetric Multiplicative Error Model	E. Otranto	2012	2012_05
Classification of Volatility in Presence of Changes in Model Parameters	E. Otranto	2011	2011_13
Cycles in Crime and Economy Revised	C. Detotto; E. Otranto	2011	2011_07
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors	C. Detotto; E. Otranto	2010	2010_23
A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime	C. Detotto; E. Otranto	2010	2010_02
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach	E. Otranto	2009	2009_17
Identifying Financial Time Series with Similar Dynamic Conditional Correlation	E. Otranto	2008	2008_17
Clustering Mutual Funds by Return and Risk Levels	F. Lisi; E. Otranto	2008	2008_13
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching	E. Otranto	2008	2008_10
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models	M. Bigeco; E. Grosso; E. Otranto	2008	2008_03
A Realistic Model for Official Interest Rates	J.D. Tena; E. Otranto	2008	2008_02
Clustering Heteroskedastic Time Series by Model-Based Procedures	E. Otranto	2008	2008_01

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Working Papers