Details about Edoardo Otranto

Access statistics for papers by Edoardo Otranto.

Last updated 2023-07-07. Update your information in the RePEc Author Service.

Short-id: pot5

Working Papers

2023

1. On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
2. Volatility jumps and the classification of monetary policy announcements
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
   Also in Papers, arXiv.org (2023)

2022

3. Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
   Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2020)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2020)
4. Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia

2021

5. On Classifying the Effects of Policy Announcements on Volatility
   Papers, arXiv.org View citations (2)
   Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2020)
6. Unconventional Policies Effects on Stock Market Volatility: A MAP Approach
   Papers, arXiv.org View citations (1)
   See also Journal Article Unconventional policies effects on stock market volatility: The MAP approach, Journal of the Royal Statistical Society Series C, Royal Statistical Society (2022) (2022)

2020

7. Measuring the Effects of Unconventional Policies on Stock Market Volatility
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (2)
8. 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 (5)
   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 Nonlinearities and regimes in conditional correlations with different dynamics, Journal of Econometrics, Elsevier (2020) View citations (5) (2020)

2019

9. 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 Realized volatility forecasting: Robustness to measurement errors, International Journal of Forecasting, Elsevier (2021) View citations (23) (2021)

2018

10. 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

11. Clustering Space-Time Series: A Flexible STAR Approach
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
12. 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 Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach, Journal of the Royal Statistical Society Series C, Royal Statistical Society (2018) View citations (10) (2018)

2016

13. A Flexible Specification of Space–Time AutoRegressive Models
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
14. 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"
15. 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 (21)
    See also Journal Article Modeling the Dependence of Conditional Correlations on Market Volatility, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (21) (2016)

2015

16. Adding Flexibility to Markov Switching Models
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (1)
17. Analisi degli effetti del residuo fiscale
    Post-Print, HAL
18. Il residuo fiscale nelle regioni italiane
    Post-Print, HAL

2014

19. 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 (4)
20. 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 Spatial effects in dynamic conditional correlations, Journal of Applied Statistics, Taylor & Francis Journals (2016) View citations (4) (2016)

2013

21. 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 Financial clustering in presence of dominant markets, Advances in Data Analysis and Classification, Springer (2015) View citations (3) (2015)
22. 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 (13)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) View citations (13)

2012

23. Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors
    Post-Print, HAL View citations (6)
    Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2010) View citations (4)
24. Model effect on projected mortality indicators
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
25. Realized Volatility and Change of Regimes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (3)
26. Spillover Effects in the Volatility of Financial Markets
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
27. 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)
28. 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)
29. 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)
30. 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 (9)

2011

31. 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)
32. 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

33. 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)
34. Does Crime Affect Economic Growth?
    Post-Print, HAL View citations (68)
    See also Journal Article Does Crime Affect Economic Growth?, Kyklos, Wiley Blackwell (2010) View citations (82) (2010)

2009

35. 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
36. Misura dell’effetto criminalità sull’economia italiana
    Post-Print, HAL

2008

37. A Realistic Model for Official Interest Rates
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
38. 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 Asset allocation using flexible dynamic correlation models with regime switching, Quantitative Finance, Taylor & Francis Journals (2010) View citations (10) (2010)
39. 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 (36)
    See also Journal Article Clustering heteroskedastic time series by model-based procedures, Computational Statistics & Data Analysis, Elsevier (2008) View citations (38) (2008)
40. 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)
41. 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 Identifying financial time series with similar dynamic conditional correlation, Computational Statistics & Data Analysis, Elsevier (2010) View citations (24) (2010)
42. 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 (3)

2007

43. 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" View citations (1)
    See also Journal Article Volatility spillovers, interdependence and comovements: A Markov Switching approach, Computational Statistics & Data Analysis, Elsevier (2008) View citations (91) (2008)

2006

44. 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)
45. 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 Volatility transmission across markets: a Multichain Markov Switching model, Applied Financial Economics, Taylor & Francis Journals (2007) View citations (32) (2007)

2005

46. Extraction of Common Signal from Series with Different Frequency
    Econometrics, University Library of Munich, Germany
47. Indirect estimation of Markov switching models with endogenous switching
    MPRA Paper, University Library of Munich, Germany
48. 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

49. Classifying the Markets Volatility with ARMA Distance Measures
    Econometrics, University Library of Munich, Germany View citations (6)
50. Dating the Italian BUsiness Cycle: A Comparison of Procedures
    ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) View citations (11)
    Also in Econometrics, University Library of Munich, Germany (2003) View citations (11)
51. The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach
    Econometrics, University Library of Munich, Germany View citations (1)
    See also Journal Article The choice of time interval in seasonal adjustment: A heuristic approach, Statistical Papers, Springer (2006) (2006)

2003

52. Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter
    Econometrics, University Library of Munich, Germany View citations (1)
53. the Multi-State Markov Switching Model
    Econometrics, University Library of Munich, Germany

2001

54. 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 A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS, Econometric Reviews, Taylor & Francis Journals (2002) View citations (28) (2002)
55. 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

2022

1. Unconventional policies effects on stock market volatility: The MAP approach
   Journal of the Royal Statistical Society Series C, 2022, 71, (5), 1245-1265
   See also Working Paper Unconventional Policies Effects on Stock Market Volatility: A MAP Approach, Papers (2021) View citations (1) (2021)

2021

2. Do Different Models Induce Changes in Mortality Indicators? That Is a Key Question for Extending the Lee-Carter Model
   IJERPH, 2021, 18, (4), 1-16 View citations (1)
3. Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach
   JRFM, 2021, 14, (1), 1-15 View citations (4)
4. Realized volatility forecasting: Robustness to measurement errors
   International Journal of Forecasting, 2021, 37, (1), 44-57 View citations (23)
   See also Working Paper Realized Volatility Forecasting: Robustness to Measurement Errors, Econometrics Working Papers Archive (2019) (2019)

2020

5. Forecasting the macro determinants of bank credit quality: a non-linear perspective
   Journal of Risk Finance, 2020, 21, (4), 423-443 View citations (8)
6. Nonlinearities and regimes in conditional correlations with different dynamics
   Journal of Econometrics, 2020, 217, (2), 496-522 View citations (5)
   See also Working Paper Nonlinearities and regimes in conditional correlations with different dynamics, LIDAM Reprints CORE (2020) View citations (5) (2020)

2019

7. Clustering space-time series: FSTAR as a flexible STAR approach
   Advances in Data Analysis and Classification, 2019, 13, (1), 175-199

2018

8. 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 (10)
   See also Working Paper Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach, Econometrics Working Papers Archive (2017) View citations (1) (2017)

2016

9. Modeling the Dependence of Conditional Correlations on Market Volatility
   Journal of Business & Economic Statistics, 2016, 34, (2), 254-268 View citations (21)
   See also Working Paper Modeling the dependence of conditional correlations on market volatility, LIDAM Reprints CORE (2016) View citations (21) (2016)
10. Spatial effects in dynamic conditional correlations
    Journal of Applied Statistics, 2016, 43, (4), 604-626 View citations (4)
    See also Working Paper Spatial Effects in Dynamic Conditional Correlations, Working Paper CRENoS (2014) (2014)
11. 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 (21)

2015

12. Capturing the Spillover Effect With Multiplicative Error Models
    Communications in Statistics - Theory and Methods, 2015, 44, (15), 3173-3191 View citations (10)
13. Financial clustering in presence of dominant markets
    Advances in Data Analysis and Classification, 2015, 9, (3), 315-339 View citations (3)
    See also Working Paper Financial Clustering in Presence of Dominant Markets, Working Paper CRENoS (2013) (2013)
14. Forecasting realized volatility with changing average levels
    International Journal of Forecasting, 2015, 31, (3), 620-634 View citations (41)

2014

15. 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 (4)
16. Patterns of volatility transmissions within regime switching across GCC and global markets
    International Review of Economics & Finance, 2014, 29, (C), 512-524 View citations (29)

2013

17. Volatility clustering in the presence of time-varying model parameters
    Journal of Applied Statistics, 2013, 40, (4), 901-915

2011

18. A realistic model for official interest rate movements and their consequences
    Applied Economics, 2011, 43, (29), 4431-4447 View citations (2)

2010

19. Asset allocation using flexible dynamic correlation models with regime switching
    Quantitative Finance, 2010, 10, (3), 325-338 View citations (10)
    See also Working Paper Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching, Working Paper CRENoS (2008) (2008)
20. Does Crime Affect Economic Growth?
    Kyklos, 2010, 63, (3), 330-345 View citations (82)
    See also Working Paper Does Crime Affect Economic Growth?, Post-Print (2010) View citations (68) (2010)
21. Identifying financial time series with similar dynamic conditional correlation
    Computational Statistics & Data Analysis, 2010, 54, (1), 1-15 View citations (24)
    See also Working Paper Identifying Financial Time Series with Similar Dynamic Conditional Correlation, Working Paper CRENoS (2008) (2008)

2008

22. Clustering heteroskedastic time series by model-based procedures
    Computational Statistics & Data Analysis, 2008, 52, (10), 4685-4698 View citations (38)
    See also Working Paper Clustering Heteroskedastic Time Series by Model-Based Procedures, Working Paper CRENoS (2008) View citations (36) (2008)
23. Models to date the business cycle: The Italian case
    Economic Modelling, 2008, 25, (5), 899-911 View citations (6)
24. Volatility spillovers, interdependence and comovements: A Markov Switching approach
    Computational Statistics & Data Analysis, 2008, 52, (6), 3011-3026 View citations (91)
    See also Working Paper Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach, Econometrics Working Papers Archive (2007) View citations (1) (2007)

2007

25. Volatility transmission across markets: a Multichain Markov Switching model
    Applied Financial Economics, 2007, 17, (8), 659-670 View citations (32)
    See also Working Paper Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model, Econometrics Working Papers Archive (2006) View citations (6) (2006)

2006

26. 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)
27. Frontiers in Time Series Analysis: Introduction
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 679-682
28. The choice of time interval in seasonal adjustment: A heuristic approach
    Statistical Papers, 2006, 47, (3), 393-417
    See also Working Paper The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach, Econometrics (2004) View citations (1) (2004)

2005

29. The multi-chain Markov switching model
    Journal of Forecasting, 2005, 24, (7), 523-537 View citations (30)

2002

30. A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
    Econometric Reviews, 2002, 21, (4), 477-496 View citations (28)
    See also Working Paper A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models, Econometrics Working Papers Archive (2001) View citations (8) (2001)

Chapters

2008

1. Classifying Italian Pension Funds via GARCH Distance
   Springer View citations (2)