Details about Edoardo Otranto

Access statistics for papers by Edoardo Otranto.

Last updated 2013-05-10. Update your information in the RePEc Author Service.

Short-id: pot5

Working Papers

2013

1. Modeling the Dependence of Conditional Correlations on Volatility
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia

2012

2. Model effect on projected mortality indicators
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
3. Realized Volatility and Change of Regimes
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti"
4. Spillover Effects in the Volatility of Financial Markets
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
5. The Markov Switching Asymmetric Multiplicative Error Model
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (2)
6. Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
7. Volatility Swings in the US Financial Markets
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (1)
8. Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia

2011

9. Classification of Volatility in Presence of Changes in Model Parameters
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (1)
10. Cycles in Crime and Economy Revised
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia

2010

11. A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
12. Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (1)

2009

13. Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia

2008

14. A Realistic Model for Official Interest Rates
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
15. Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
    See also Journal Article in Quantitative Finance (2010)
16. Clustering Heteroskedastic Time Series by Model-Based Procedures
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (7)
    See also Journal Article in Computational Statistics & Data Analysis (2008)
17. Clustering Mutual Funds by Return and Risk Levels
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
18. Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (2)

2007

19. Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti"
    See also Journal Article in Computational Statistics & Data Analysis (2008)

2006

20. MODELLING THE DISCRETE AND INFREQUENT OFFICIAL INTEREST RATE CHANGE IN THE UK
    Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría View citations (1)
21. Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (6)
    See also Journal Article in Applied Financial Economics (2007)

2005

22. Extraction of Common Signal from Series with Different Frequency
    Econometrics, EconWPA
23. Indirect estimation of Markov switching models with endogenous switching
    MPRA Paper, University Library of Munich, Germany
24. Volatility Transmission in Financial Markets: A New Approach
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (1)

2004

25. Classifying the Markets Volatility with ARMA Distance Measures
    Econometrics, EconWPA View citations (4)
26. Dating the Italian BUsiness Cycle: A Comparison of Procedures
    ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) View citations (5)
    Also in Econometrics, EconWPA (2003) View citations (3)
27. The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach
    Econometrics, EconWPA
    See also Journal Article in Statistical Papers (2006)

2003

28. Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter
    Econometrics, EconWPA
29. the Multi-State Markov Switching Model
    Econometrics, EconWPA

2001

30. A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (9)
    See also Journal Article in Econometric Reviews (2002)
31. The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools
    ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) View citations (1)

Journal Articles

2011

1. A realistic model for official interest rate movements and their consequences
   Applied Economics, 2011, 43, (29), 4431-4447

2010

2. Asset allocation using flexible dynamic correlation models with regime switching
   Quantitative Finance, 2010, 10, (3), 325-338
   See also Working Paper (2008)
3. Does Crime Affect Economic Growth?
   Kyklos, 2010, 63, (3), 330-345 View citations (5)
4. Identifying financial time series with similar dynamic conditional correlation
   Computational Statistics & Data Analysis, 2010, 54, (1), 1-15 View citations (1)

2008

5. Clustering heteroskedastic time series by model-based procedures
   Computational Statistics & Data Analysis, 2008, 52, (10), 4685-4698 View citations (10)
   See also Working Paper (2008)
6. Models to date the business cycle: The Italian case
   Economic Modelling, 2008, 25, (5), 899-911 View citations (2)
7. Volatility spillovers, interdependence and comovements: A Markov Switching approach
   Computational Statistics & Data Analysis, 2008, 52, (6), 3011-3026 View citations (14)
   See also Working Paper (2007)

2007

8. Volatility transmission across markets: a Multichain Markov Switching model
   Applied Financial Economics, 2007, 17, (8), 659-670 View citations (8)
   See also Working Paper (2006)

2006

9. Frontiers in Time Series Analysis: Introduction
   Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 679-682
10. The choice of time interval in seasonal adjustment: A heuristic approach
    Statistical Papers, 2006, 47, (3), 393-417
    See also Working Paper (2004)

2005

11. Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy
    Journal of Business Cycle Measurement and Analysis, 2005, 2005, (3), 407-429 View citations (1)
12. The multi-chain Markov switching model
    Journal of Forecasting, 2005, 24, (7), 523-537 View citations (9)

2002

13. A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
    Econometric Reviews, 2002, 21, (4), 477-496 View citations (12)
    See also Working Paper (2001)