Details about Eduardo Rossi

Access statistics for papers by Eduardo Rossi.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pro257

Working Papers

2019

1. Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach
   Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (2)

2018

2. Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows
   Papers, arXiv.org View citations (3)
   Also in JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission (2016) View citations (1)

2014

3. A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors
   DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (4)
   See also Journal Article A two-stage estimator for heterogeneous panel models with common factors, Econometrics and Statistics, Elsevier (2019) View citations (3) (2019)
4. Chasing Volatility. A Persistent Multiplicative Error Model With Jumps
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (6)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (7)
5. Indirect inference with time series observed with error
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Indirect inference with time series observed with error, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (3) (2018)
6. Inference on Factor Structures in Heterogeneous Panels
   DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (5)
   Also in DEM Working Papers Series, University of Pavia, Department of Economics and Management (2012) View citations (3)
   See also Journal Article Inference on factor structures in heterogeneous panels, Journal of Econometrics, Elsevier (2015) View citations (10) (2015)
7. Testing for no factor structures: on the use of average-type and Hausman-type statistics
   DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
8. Volatility jumps and their economic determinants
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (15)
   See also Journal Article Volatility Jumps and Their Economic Determinants, Journal of Financial Econometrics, Oxford University Press (2016) View citations (24) (2016)

2012

9. Estimation of long memory in integrated variance
   DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (5)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (2)
   See also Journal Article Estimation of Long Memory in Integrated Variance, Econometric Reviews, Taylor & Francis Journals (2014) View citations (7) (2014)
10. Independent Factor Autoregressive Conditional Density Model
    DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (4)
    See also Journal Article Independent Factor Autoregressive Conditional Density Model, Econometric Reviews, Taylor & Francis Journals (2015) View citations (17) (2015)
11. Long memory and Periodicity in Intraday Volatility
    DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (6)
    See also Journal Article Long Memory and Periodicity in Intraday Volatility, Journal of Financial Econometrics, Oxford University Press (2015) View citations (26) (2015)

2011

12. Conditional jumps in volatility and their economic determinants
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (5)

2009

13. A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
14. Long Memory and Tail dependence in Trading Volume and Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    See also Journal Article Long memory and tail dependence in trading volume and volatility, Journal of Empirical Finance, Elsevier (2013) View citations (26) (2013)

2008

15. Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study
    MPRA Paper, University Library of Munich, Germany
16. Euro corporate bonds risk factors
    MPRA Paper, University Library of Munich, Germany View citations (4)
    See also Journal Article EURO CORPORATE BOND RISK FACTORS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (16) (2013)
17. Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis, Computational Statistics & Data Analysis, Elsevier (2010) View citations (12) (2010)

1995

18. A multivariate GARCH model for exchange rates volatility
    LIUC Papers in Economics, Cattaneo University (LIUC)

Journal Articles

2020

1. Structural analysis with mixed-frequency data: A model of US capital flows
   Economic Modelling, 2020, 89, (C), 427-443 View citations (2)

2019

2. A two-stage estimator for heterogeneous panel models with common factors
   Econometrics and Statistics, 2019, 11, (C), 63-82 View citations (3)
   See also Working Paper A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors, DEM Working Papers Series (2014) View citations (4) (2014)

2018

3. Indirect inference with time series observed with error
   Journal of Applied Econometrics, 2018, 33, (6), 874-897 View citations (3)
   See also Working Paper Indirect inference with time series observed with error, CREATES Research Papers (2014) (2014)

2017

4. Chasing volatility
   Journal of Econometrics, 2017, 198, (1), 122-145 View citations (2)

2016

5. Volatility Jumps and Their Economic Determinants
   Journal of Financial Econometrics, 2016, 14, (1), 29-80 View citations (24)
   See also Working Paper Volatility jumps and their economic determinants, CREATES Research Papers (2014) View citations (15) (2014)

2015

6. Independent Factor Autoregressive Conditional Density Model
   Econometric Reviews, 2015, 34, (5), 594-616 View citations (17)
   See also Working Paper Independent Factor Autoregressive Conditional Density Model, DEM Working Papers Series (2012) View citations (4) (2012)
7. Inference on factor structures in heterogeneous panels
   Journal of Econometrics, 2015, 184, (1), 145-157 View citations (10)
   See also Working Paper Inference on Factor Structures in Heterogeneous Panels, DEM Working Papers Series (2014) View citations (5) (2014)
8. Long Memory and Periodicity in Intraday Volatility
   Journal of Financial Econometrics, 2015, 13, (4), 922-961 View citations (26)
   See also Working Paper Long memory and Periodicity in Intraday Volatility, DEM Working Papers Series (2012) View citations (6) (2012)
9. Testing for no factor structures: On the use of Hausman-type statistics
   Economics Letters, 2015, 130, (C), 66-68 View citations (5)

2014

10. Estimation of Long Memory in Integrated Variance
    Econometric Reviews, 2014, 33, (7), 785-814 View citations (7)
    See also Working Paper Estimation of long memory in integrated variance, DEM Working Papers Series (2012) View citations (5) (2012)

2013

11. A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges
    Journal of Futures Markets, 2013, 33, (1), 77-102 View citations (15)
12. EURO CORPORATE BOND RISK FACTORS
    Journal of Applied Econometrics, 2013, 28, (3), 372-391 View citations (16)
    See also Working Paper Euro corporate bonds risk factors, MPRA Paper (2008) View citations (4) (2008)
13. Long memory and tail dependence in trading volume and volatility
    Journal of Empirical Finance, 2013, 22, (C), 94-112 View citations (26)
    See also Working Paper Long Memory and Tail dependence in Trading Volume and Volatility, CREATES Research Papers (2009) View citations (5) (2009)

2010

14. Efficient importance sampling maximum likelihood estimation of stochastic differential equations
    Computational Statistics & Data Analysis, 2010, 54, (11), 2753-2762 View citations (5)
15. Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis
    Computational Statistics & Data Analysis, 2010, 54, (11), 2786-2800 View citations (12)
    See also Working Paper Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis, MPRA Paper (2008) (2008)
16. Univariate GARCH models: a survey (in Russian)
    Quantile, 2010, (8), 1-67 View citations (2)

2005

17. Artificial regression testing in the GARCH-in-mean model
    Econometrics Journal, 2005, 8, (3), 306-322 View citations (1)

2002

18. Hedging interest rate risk with multivariate GARCH
    Applied Financial Economics, 2002, 12, (4), 241-251 View citations (5)