Details about Edoardo Otranto
Access statistics for papers by Edoardo Otranto.
Last updated 2021-01-18. Update your information in the RePEc Author Service.
Short-id: pot5
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Working Papers
2021
- On Classifying the Effects of Policy Announcements on Volatility
Papers, arXiv.org 
Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2020)
2020
- Measuring the Effect of Unconventional Policies on Stock Market Volatility
Papers, arXiv.org View citations (1)
Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2020) View citations (1)
- Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2020)
- Nonlinearities and regimes in conditional correlations with different dynamics
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (1)
See also Journal Article in Journal of Econometrics (2020)
2019
- Realized Volatility Forecasting: Robustness to Measurement Errors
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" 
See also Journal Article in International Journal of Forecasting (2021)
2018
- Reducing Bias in a Matching Estimation of Endogenous Treatment Effect
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
2017
- Clustering Space-Time Series: A Flexible STAR Approach
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
- Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (1)
See also Journal Article in Journal of the Royal Statistical Society Series C (2018)
2016
- A Flexible Specification of Space–Time AutoRegressive Models
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
- Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
- Modeling the dependence of conditional correlations on market volatility
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
See also Journal Article in Journal of Business & Economic Statistics (2016)
2015
- Adding Flexibility to Markov Switching Models
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (1)
- Analisi degli effetti del residuo fiscale
Post-Print, HAL
- Il residuo fiscale nelle regioni italiane
Post-Print, HAL
2014
- Forecasting Realized Volatility with Changes of Regimes
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (2)
- Spatial Effects in Dynamic Conditional Correlations
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 
See also Journal Article in Journal of Applied Statistics (2016)
2013
- Financial Clustering in Presence of Dominant Markets
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 
See also Journal Article in Advances in Data Analysis and Classification (2015)
- Modeling the Dependence of Conditional Correlations on Volatility
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (12)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) View citations (6)
2012
- Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors
Post-Print, HAL View citations (2)
Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2010) View citations (4)
- Model effect on projected mortality indicators
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
- Realized Volatility and Change of Regimes
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
- Spillover Effects in the Volatility of Financial Markets
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
- 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)
- 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 View citations (6)
- Volatility Swings in the US Financial Markets
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (2)
- 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 View citations (4)
2011
- 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)
- Cycles in Crime and Economy Revised
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (2)
2010
- 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 View citations (1)
- Does Crime Affect Economic Growth?
Post-Print, HAL View citations (19)
See also Journal Article in Kyklos (2010)
2009
- 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
- Misura dell’effetto criminalità sull’economia italiana
Post-Print, HAL
2008
- A Realistic Model for Official Interest Rates
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
- 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)
- 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 (25)
See also Journal Article in Computational Statistics & Data Analysis (2008)
- Clustering Mutual Funds by Return and Risk Levels
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (3)
- Identifying Financial Time Series with Similar Dynamic Conditional Correlation
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 
See also Journal Article in Computational Statistics & Data Analysis (2010)
- 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
- 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" 
See also Journal Article in Computational Statistics & Data Analysis (2008)
2006
- Modelling the discrete and infrequent official interest rate change in the UK
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
- 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" View citations (6)
See also Journal Article in Applied Financial Economics (2007)
2005
- Extraction of Common Signal from Series with Different Frequency
Econometrics, University Library of Munich, Germany
- Indirect estimation of Markov switching models with endogenous switching
MPRA Paper, University Library of Munich, Germany
- Volatility Transmission in Financial Markets: A New Approach
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (1)
2004
- Classifying the Markets Volatility with ARMA Distance Measures
Econometrics, University Library of Munich, Germany View citations (4)
- Dating the Italian BUsiness Cycle: A Comparison of Procedures
ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) View citations (9)
Also in Econometrics, University Library of Munich, Germany (2003) View citations (11)
- The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach
Econometrics, University Library of Munich, Germany View citations (1)
See also Journal Article in Statistical Papers (2006)
2003
- Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter
Econometrics, University Library of Munich, Germany View citations (1)
- the Multi-State Markov Switching Model
Econometrics, University Library of Munich, Germany
2001
- 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" View citations (8)
See also Journal Article in Econometric Reviews (2002)
- 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
2021
- Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach
Journal of Risk and Financial Management, 2021, 14, (1), 1-15
- Realized volatility forecasting: Robustness to measurement errors
International Journal of Forecasting, 2021, 37, (1), 44-57 
See also Working Paper (2019)
2020
- Nonlinearities and regimes in conditional correlations with different dynamics
Journal of Econometrics, 2020, 217, (2), 496-522 View citations (2)
See also Working Paper (2020)
2019
- Clustering space-time series: FSTAR as a flexible STAR approach
Advances in Data Analysis and Classification, 2019, 13, (1), 175-199
2018
- Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach
Journal of the Royal Statistical Society Series C, 2018, 67, (3), 549-573 View citations (4)
See also Working Paper (2017)
2016
- Modeling the Dependence of Conditional Correlations on Market Volatility
Journal of Business & Economic Statistics, 2016, 34, (2), 254-268 View citations (9)
See also Working Paper (2016)
- Spatial effects in dynamic conditional correlations
Journal of Applied Statistics, 2016, 43, (4), 604-626 View citations (4)
See also Working Paper (2014)
- Volatility transmission across currencies and commodities with US uncertainty measures
The North American Journal of Economics and Finance, 2016, 37, (C), 63-83 View citations (7)
2015
- Capturing the Spillover Effect With Multiplicative Error Models
Communications in Statistics - Theory and Methods, 2015, 44, (15), 3173-3191 View citations (1)
- Financial clustering in presence of dominant markets
Advances in Data Analysis and Classification, 2015, 9, (3), 315-339 View citations (1)
See also Working Paper (2013)
- Forecasting realized volatility with changing average levels
International Journal of Forecasting, 2015, 31, (3), 620-634 View citations (27)
2014
- Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets
Economic Modelling, 2014, 41, (C), 365-374 View citations (3)
- Patterns of volatility transmissions within regime switching across GCC and global markets
International Review of Economics & Finance, 2014, 29, (C), 512-524 View citations (22)
2013
- Volatility clustering in the presence of time-varying model parameters
Journal of Applied Statistics, 2013, 40, (4), 901-915
2011
- A realistic model for official interest rate movements and their consequences
Applied Economics, 2011, 43, (29), 4431-4447 View citations (2)
2010
- Asset allocation using flexible dynamic correlation models with regime switching
Quantitative Finance, 2010, 10, (3), 325-338 View citations (8)
See also Working Paper (2008)
- Does Crime Affect Economic Growth?
Kyklos, 2010, 63, (3), 330-345 View citations (53)
See also Working Paper (2010)
- Identifying financial time series with similar dynamic conditional correlation
Computational Statistics & Data Analysis, 2010, 54, (1), 1-15 View citations (21)
See also Working Paper (2008)
2008
- Clustering heteroskedastic time series by model-based procedures
Computational Statistics & Data Analysis, 2008, 52, (10), 4685-4698 View citations (28)
See also Working Paper (2008)
- Models to date the business cycle: The Italian case
Economic Modelling, 2008, 25, (5), 899-911 View citations (4)
- Volatility spillovers, interdependence and comovements: A Markov Switching approach
Computational Statistics & Data Analysis, 2008, 52, (6), 3011-3026 View citations (68)
See also Working Paper (2007)
2007
- Volatility transmission across markets: a Multichain Markov Switching model
Applied Financial Economics, 2007, 17, (8), 659-670 View citations (26)
See also Working Paper (2006)
2006
- Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy
Journal of Business Cycle Measurement and Analysis, 2006, 2005, (3), 407-429 View citations (1)
- Frontiers in Time Series Analysis: Introduction
Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 679-682
- The choice of time interval in seasonal adjustment: A heuristic approach
Statistical Papers, 2006, 47, (3), 393-417 
See also Working Paper (2004)
2005
- The multi-chain Markov switching model
Journal of Forecasting, 2005, 24, (7), 523-537 View citations (25)
2002
- A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
Econometric Reviews, 2002, 21, (4), 477-496 View citations (23)
See also Working Paper (2001)
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