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Details about Edoardo Otranto

E-mail:
Homepage:https://sites.google.com/site/edoardootranto/home
Workplace:Centro Ricerche Nord Sud (CRENoS) (Centre for North South Economic Research), (more information at EDIRC)
Università degli Studi di Messina, Dipartimento di Scienze Cognitive e della Formazione

Access statistics for papers by Edoardo Otranto.

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

Short-id: pot5


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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 Downloads View citations (8)

2012

  1. Model effect on projected mortality indicators
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads
  2. Realized Volatility and Change of Regimes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
  3. Spillover Effects in the Volatility of Financial Markets
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads
  4. The Markov Switching Asymmetric Multiplicative Error Model
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads View citations (2)
  5. 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 Downloads View citations (3)
  6. Volatility Swings in the US Financial Markets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (1)
  7. 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 Downloads View citations (1)

2011

  1. 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 Downloads View citations (1)
  2. Cycles in Crime and Economy Revised
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads

2010

  1. 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 Downloads
  2. 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 Downloads View citations (3)

2009

  1. 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 Downloads

2008

  1. A Realistic Model for Official Interest Rates
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads
  2. 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 Downloads
    See also Journal Article in Quantitative Finance (2010)
  3. Clustering Heteroskedastic Time Series by Model-Based Procedures
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads View citations (12)
    See also Journal Article in Computational Statistics & Data Analysis (2008)
  4. Clustering Mutual Funds by Return and Risk Levels
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads View citations (2)
  5. 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 Downloads View citations (2)

2007

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

2006

  1. 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 Downloads View citations (1)
  2. Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (6)
    See also Journal Article in Applied Financial Economics (2007)

2005

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

2004

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

2003

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

2001

  1. 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, Informatica, Applicazioni "G. Parenti" Downloads View citations (8)
    See also Journal Article in Econometric Reviews (2002)
  2. The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools
    ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) Downloads 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 Downloads View citations (2)

2010

  1. Asset allocation using flexible dynamic correlation models with regime switching
    Quantitative Finance, 2010, 10, (3), 325-338 Downloads
    See also Working Paper (2008)
  2. Does Crime Affect Economic Growth?
    Kyklos, 2010, 63, (3), 330-345 Downloads View citations (12)
  3. Identifying financial time series with similar dynamic conditional correlation
    Computational Statistics & Data Analysis, 2010, 54, (1), 1-15 Downloads View citations (9)

2008

  1. Clustering heteroskedastic time series by model-based procedures
    Computational Statistics & Data Analysis, 2008, 52, (10), 4685-4698 Downloads View citations (14)
    See also Working Paper (2008)
  2. Models to date the business cycle: The Italian case
    Economic Modelling, 2008, 25, (5), 899-911 Downloads View citations (2)
  3. Volatility spillovers, interdependence and comovements: A Markov Switching approach
    Computational Statistics & Data Analysis, 2008, 52, (6), 3011-3026 Downloads View citations (35)
    See also Working Paper (2007)

2007

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

2006

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

2005

  1. 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 Downloads View citations (1)
  2. The multi-chain Markov switching model
    Journal of Forecasting, 2005, 24, (7), 523-537 Downloads View citations (16)

2002

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