Details about Edoardo Otranto

Access statistics for papers by Edoardo Otranto.

Last updated 2019-06-04. Update your information in the RePEc Author Service.

Short-id: pot5

Working Papers

2018

1. Nonlinearities and regimes in conditional correlations with different dynamics
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
2. 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

3. Clustering Space-Time Series: A Flexible STAR Approach
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
4. 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"
   See also Journal Article in Journal of the Royal Statistical Society Series C (2018)

2016

5. A Flexible Specification of Space–Time AutoRegressive Models
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
6. 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"
7. Modeling the dependence of conditional correlations on market volatility
   CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
   See also Journal Article in Journal of Business & Economic Statistics (2016)

2015

8. Adding Flexibility to Markov Switching Models
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (1)

2014

9. 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)
10. 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

11. 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)
12. 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 (11)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) View citations (5)

2012

13. Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors
    Post-Print, HAL
    Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2010) View citations (4)
14. Model effect on projected mortality indicators
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
15. Realized Volatility and Change of Regimes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
16. Spillover Effects in the Volatility of Financial Markets
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
17. 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)
18. 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)
19. 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 (1)
20. 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 (3)

2011

21. 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)
22. 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

23. 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
24. Does Crime Affect Economic Growth?
    Post-Print, HAL View citations (4)
    See also Journal Article in Kyklos (2010)

2009

25. 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

26. A Realistic Model for Official Interest Rates
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
27. 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)
28. 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 (23)
    See also Journal Article in Computational Statistics & Data Analysis (2008)
29. 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)
30. 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)
31. 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

32. 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

33. 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)
34. 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

35. Extraction of Common Signal from Series with Different Frequency
    Econometrics, University Library of Munich, Germany
36. Indirect estimation of Markov switching models with endogenous switching
    MPRA Paper, University Library of Munich, Germany
37. 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

38. Classifying the Markets Volatility with ARMA Distance Measures
    Econometrics, University Library of Munich, Germany View citations (4)
39. Dating the Italian BUsiness Cycle: A Comparison of Procedures
    ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) View citations (8)
    Also in Econometrics, University Library of Munich, Germany (2003) View citations (9)
40. 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

41. Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter
    Econometrics, University Library of Munich, Germany
42. the Multi-State Markov Switching Model
    Econometrics, University Library of Munich, Germany

2001

43. 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)
44. 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

2019

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

2018

2. 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
   See also Working Paper (2017)

2016

3. Modeling the Dependence of Conditional Correlations on Market Volatility
   Journal of Business & Economic Statistics, 2016, 34, (2), 254-268 View citations (2)
   See also Working Paper (2016)
4. Spatial effects in dynamic conditional correlations
   Journal of Applied Statistics, 2016, 43, (4), 604-626 View citations (4)
   See also Working Paper (2014)
5. 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 (3)

2015

6. 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)
7. Forecasting realized volatility with changing average levels
   International Journal of Forecasting, 2015, 31, (3), 620-634 View citations (17)

2014

8. 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 (2)
9. Patterns of volatility transmissions within regime switching across GCC and global markets
   International Review of Economics & Finance, 2014, 29, (C), 512-524 View citations (18)

2013

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

2011

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

2010

12. Asset allocation using flexible dynamic correlation models with regime switching
    Quantitative Finance, 2010, 10, (3), 325-338 View citations (5)
    See also Working Paper (2008)
13. Does Crime Affect Economic Growth?
    Kyklos, 2010, 63, (3), 330-345 View citations (39)
    See also Working Paper (2010)
14. Identifying financial time series with similar dynamic conditional correlation
    Computational Statistics & Data Analysis, 2010, 54, (1), 1-15 View citations (18)
    See also Working Paper (2008)

2008

15. Clustering heteroskedastic time series by model-based procedures
    Computational Statistics & Data Analysis, 2008, 52, (10), 4685-4698 View citations (26)
    See also Working Paper (2008)
16. Models to date the business cycle: The Italian case
    Economic Modelling, 2008, 25, (5), 899-911 View citations (4)
17. Volatility spillovers, interdependence and comovements: A Markov Switching approach
    Computational Statistics & Data Analysis, 2008, 52, (6), 3011-3026 View citations (65)
    See also Working Paper (2007)

2007

18. 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

19. 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)
20. Frontiers in Time Series Analysis: Introduction
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 679-682
21. The choice of time interval in seasonal adjustment: A heuristic approach
    Statistical Papers, 2006, 47, (3), 393-417
    See also Working Paper (2004)

2005

22. The multi-chain Markov switching model
    Journal of Forecasting, 2005, 24, (7), 523-537 View citations (23)

2002

23. A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
    Econometric Reviews, 2002, 21, (4), 477-496 View citations (20)
    See also Working Paper (2001)