Edoardo Otranto
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Edoardo |
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Otranto |
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Centro Ricerche Nord Sud (CRENoS) (weight: 50%)
Research profile
author of:
- Unconventional Policies Effects on Stock Market Volatility: A MAP Approach (RePEc:arx:papers:2010.08259)
by Demetrio Lacava & Giampiero M. Gallo & Edoardo Otranto - On Classifying the Effects of Policy Announcements on Volatility (RePEc:arx:papers:2011.14094)
by Giampiero M. Gallo & Demetrio Lacava & Edoardo Otranto - Volatility jumps and the classification of monetary policy announcements (RePEc:arx:papers:2305.12192)
by Giampiero M. Gallo & Demetrio Lacava & Edoardo Otranto - Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach (RePEc:bla:jorssc:v:67:y:2018:i:3:p:549-573)
by Giampiero M. Gallo & Edoardo Otranto - Unconventional policies effects on stock market volatility: The MAP approach (RePEc:bla:jorssc:v:71:y:2022:i:5:p:1245-1265)
by Demetrio Lacava & Giampiero M. Gallo & Edoardo Otranto - Does Crime Affect Economic Growth? (RePEc:bla:kyklos:v:63:y:2010:i:3:p:330-345)
by Claudio Detotto & Edoardo Otranto - Frontiers in Time Series Analysis: Introduction (RePEc:bla:obuest:v:68:y:2006:i:s1:p:679-682)
by Anindya Banerjee & Giampiero Gallo & Edoardo Otranto - Clustering Heteroskedastic Time Series by Model-Based Procedures (RePEc:cns:cnscwp:200801)
by E. Otranto - A Realistic Model for Official Interest Rates (RePEc:cns:cnscwp:200802)
by JdD Tena & E. Otranto - Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models (RePEc:cns:cnscwp:200803)
by M. Bigeco & E. Grosso & E. Otranto - Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching (RePEc:cns:cnscwp:200810)
by E. Otranto - Clustering Mutual Funds by Return and Risk Levels (RePEc:cns:cnscwp:200813)
by F. Lisi & E. Otranto - Identifying Financial Time Series with Similar Dynamic Conditional Correlation (RePEc:cns:cnscwp:200817)
by E. Otranto - Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach (RePEc:cns:cnscwp:200917)
by E. Otranto - A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime (RePEc:cns:cnscwp:201002)
by C. Detotto & E. Otranto - Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors (RePEc:cns:cnscwp:201023)
by C. Detotto & E. Otranto - Cycles in Crime and Economy Revised (RePEc:cns:cnscwp:201107)
by C. Detotto & E. Otranto - Classification of Volatility in Presence of Changes in Model Parameters (RePEc:cns:cnscwp:201113)
by E. Otranto - The Markov Switching Asymmetric Multiplicative Error Model (RePEc:cns:cnscwp:201205)
by E. Otranto - Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment (RePEc:cns:cnscwp:201209)
by A. Khalifa & S. Hammoudeh & E. Otranto - Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation (RePEc:cns:cnscwp:201214)
by A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander - Model effect on projected mortality indicators (RePEc:cns:cnscwp:201215)
by A. Debòn & S. Haberman & F. Montes & E. Otranto - Spillover Effects in the Volatility of Financial Markets (RePEc:cns:cnscwp:201217)
by E. Otranto - Modeling the Dependence of Conditional Correlations on Volatility (RePEc:cns:cnscwp:201304)
by L. Bauwens & E. Otranto - Financial Clustering in Presence of Dominant Markets (RePEc:cns:cnscwp:201318)
by R. Gargano & E. Otranto - Spatial Effects in Dynamic Conditional Correlations (RePEc:cns:cnscwp:201406)
by P. Bertuccelli & M. Mucciardi & E. Otranto - Adding Flexibility to Markov Switching Models (RePEc:cns:cnscwp:201509)
by E. Otranto - A Flexible Specification of Space–Time AutoRegressive Models (RePEc:cns:cnscwp:201608)
by M. Mucciardi & E. Otranto - Clustering Space-Time Series: A Flexible STAR Approach (RePEc:cns:cnscwp:201707)
by E. Otranto & M. Mucciardi - Reducing Bias in a Matching Estimation of Endogenous Treatment Effect (RePEc:cns:cnscwp:201805)
by A. Di Pino & M.G. Campolo & E. Otranto - Measuring the Effects of Unconventional Policies on Stock Market Volatility (RePEc:cns:cnscwp:202006)
by G.M. Gallo & D. Lacava & E. Otranto - Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models (RePEc:cns:cnscwp:202007)
by L. Bauwens & E. Otranto - On Classifying the Effects of Policy Announcements on Volatility (RePEc:cns:cnscwp:202008)
by G.M. Gallo & D. Lacava & E. Otranto - Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS (RePEc:cns:cnscwp:202205)
by L. Scaffidi Domianello & G.M. Gallo & E. Otranto - On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence (RePEc:cns:cnscwp:202304)
by L. Scaffidi Domianello & E. Otranto - Volatility jumps and the classification of monetary policy announcements (RePEc:cns:cnscwp:202306)
by G.M. Gallo & D. Lacava & E. Otranto - Modeling the dependence of conditional correlations on volatility (RePEc:cor:louvco:2013014)
by BAUWENS, Luc & otranto, EDOARDO - Nonlinearities and regimes in conditional correlations with different dynamics (RePEc:cor:louvco:2018009)
by BAUWENS Luc, & OTRANTO Edoardo, - Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models (RePEc:cor:louvco:2020034)
by Bauwens, Luc & Otranto, Edoardo - Modeling the dependence of conditional correlations on market volatility (RePEc:cor:louvrp:2924)
by Luc Bauwens & Edoardo Otranto - Nonlinearities and regimes in conditional correlations with different dynamics (RePEc:cor:louvrp:3128)
by Bauwens, Luc & Otranto, Edoardo - Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models (RePEc:cor:louvrp:3202)
by Bauwens, Luc & Otranto, Edoardo - Modelling the discrete and infrequent official interest rate change in the UK (RePEc:cte:wsrepe:ws062007)
by Tena Horrillo, Juan de Dios & Otranto, Edoardo - Clustering heteroskedastic time series by model-based procedures (RePEc:eee:csdana:v:52:y:2008:i:10:p:4685-4698)
by Otranto, Edoardo - Volatility spillovers, interdependence and comovements: A Markov Switching approach (RePEc:eee:csdana:v:52:y:2008:i:6:p:3011-3026)
by Gallo, Giampiero M. & Otranto, Edoardo - Identifying financial time series with similar dynamic conditional correlation (RePEc:eee:csdana:v:54:y:2010:i:1:p:1-15)
by Otranto, Edoardo - Models to date the business cycle: The Italian case (RePEc:eee:ecmode:v:25:y:2008:i:5:p:899-911)
by Bruno, Giancarlo & Otranto, Edoardo - Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets (RePEc:eee:ecmode:v:41:y:2014:i:c:p:365-374)
by Khalifa, Ahmed A.A. & Hammoudeh, Shawkat & Otranto, Edoardo - Volatility transmission across currencies and commodities with US uncertainty measures (RePEc:eee:ecofin:v:37:y:2016:i:c:p:63-83)
by Khalifa, Ahmed A.A. & Otranto, Edoardo & Hammoudeh, Shawkat & Ramchander, Sanjay - Nonlinearities and regimes in conditional correlations with different dynamics (RePEc:eee:econom:v:217:y:2020:i:2:p:496-522)
by Bauwens, Luc & Otranto, Edoardo - Forecasting realized volatility with changing average levels (RePEc:eee:intfor:v:31:y:2015:i:3:p:620-634)
by Gallo, Giampiero M. & Otranto, Edoardo - Realized volatility forecasting: Robustness to measurement errors (RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57)
by Cipollini, Fabrizio & Gallo, Giampiero M. & Otranto, Edoardo - Patterns of volatility transmissions within regime switching across GCC and global markets (RePEc:eee:reveco:v:29:y:2014:i:c:p:512-524)
by Khalifa, Ahmed A.A. & Hammoudeh, Shawkat & Otranto, Edoardo - Forecasting the macro determinants of bank credit quality: a non-linear perspective (RePEc:eme:jrfpps:jrf-10-2019-0202)
by Maria Grazia Fallanca & Antonio Fabio Forgione & Edoardo Otranto - A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models (RePEc:fir:econom:wp2001_04)
by Edoardo Otranto & Giampiero M. Gallo - Volatility Transmission in Financial Markets: A New Approach (RePEc:fir:econom:wp2005_10)
by Giampiero M. Gallo & Edoardo Otranto - Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model (RePEc:fir:econom:wp2006_04)
by Giampiero Gallo & Edoardo Otranto - Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach (RePEc:fir:econom:wp2007_11)
by Giampiero Gallo & Edoardo Otranto - Realized Volatility and Change of Regimes (RePEc:fir:econom:wp2012_02)
by Giampiero M. Gallo & Edoardo Otranto - Volatility Swings in the US Financial Markets (RePEc:fir:econom:wp2012_03)
by Giampiero M. Gallo & Edoardo Otranto - Forecasting Realized Volatility with Changes of Regimes (RePEc:fir:econom:wp2014_03)
by Giampiero M. Gallo & Edoardo Otranto - Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM (RePEc:fir:econom:wp2016_02)
by Giampiero M. Gallo & Edoardo Otranto - Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach (RePEc:fir:econom:wp2017_05)
by Giampiero M. Gallo & Edoardo Otranto - Realized Volatility Forecasting: Robustness to Measurement Errors (RePEc:fir:econom:wp2019_04)
by Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto - Do Different Models Induce Changes in Mortality Indicators? That Is a Key Question for Extending the Lee-Carter Model (RePEc:gam:jijerp:v:18:y:2021:i:4:p:2204-:d:504578)
by Ana Debón & Steven Haberman & Francisco Montes & Edoardo Otranto - Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach (RePEc:gam:jjrfmx:v:14:y:2021:i:1:p:21-:d:475215)
by Mariagrazia Fallanca & Antonio Fabio Forgione & Edoardo Otranto - Does Crime Affect Economic Growth? (RePEc:hal:journl:hal-01972848)
by Claudio Detotto & Edoardo Otranto - Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors (RePEc:hal:journl:hal-01972851)
by Claudio Detotto & Edoardo Otranto - Misura dell’effetto criminalità sull’economia italiana (RePEc:hal:journl:hal-03104973)
by Claudio Detotto & Edoardo Otranto - Il residuo fiscale nelle regioni italiane (RePEc:hal:journl:hal-03104989)
by Maria Giovanna Brandano & Claudio Detotto & Marta Meleddu & Edoardo Otranto & Manuela Pulina - Analisi degli effetti del residuo fiscale (RePEc:hal:journl:hal-03104990)
by Claudio Detotto & Edoardo Otranto & Riccardo Marselli - The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools (RePEc:isa:wpaper:21)
by Bruno Giancarlo & Edoardo Otranto - Dating the Italian BUsiness Cycle: A Comparison of Procedures (RePEc:isa:wpaper:41)
by Bruno Giancarlo & Edoardo Otranto - The multi-chain Markov switching model (RePEc:jof:jforec:v:24:y:2005:i:7:p:523-537)
by Edoardo Otranto - Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy (RePEc:oec:stdkaa:5l9k4xsn3p6c)
by Edoardo Otranto - Indirect estimation of Markov switching models with endogenous switching (RePEc:pra:mprapa:22983)
by Otranto, Edoardo & Calzolari, Giorgio & Di Iorio, Francesca - Clustering space-time series: FSTAR as a flexible STAR approach (RePEc:spr:advdac:v:13:y:2019:i:1:d:10.1007_s11634-018-0314-5)
by Edoardo Otranto & Massimo Mucciardi - Financial clustering in presence of dominant markets (RePEc:spr:advdac:v:9:y:2015:i:3:p:315-339)
by Edoardo Otranto & Romana Gargano - Classifying Italian Pension Funds via GARCH Distance (RePEc:spr:sprchp:978-88-470-0704-8_24)
by Edoardo Otranto & Alessandro Trudda - The choice of time interval in seasonal adjustment: A heuristic approach (RePEc:spr:stpapr:v:47:y:2006:i:3:p:393-417)
by Giancarlo Bruno & Edoardo Otranto - Unknown item RePEc:taf:apfiec:v:17:y:2007:i:8:p:659-670 (article)
- A realistic model for official interest rate movements and their consequences (RePEc:taf:applec:v:43:y:2011:i:29:p:4431-4447)
by Juan de Dios Tena & Edoardo Otranto - A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models (RePEc:taf:emetrv:v:21:y:2002:i:4:p:477-496)
by Edoardo Otranto & Giampiero Gallo - Volatility clustering in the presence of time-varying model parameters (RePEc:taf:japsta:v:40:y:2013:i:4:p:901-915)
by Edoardo Otranto - Spatial effects in dynamic conditional correlations (RePEc:taf:japsta:v:43:y:2016:i:4:p:604-626)
by Edoardo Otranto & Massimo Mucciardi & Pietro Bertuccelli - Modeling the Dependence of Conditional Correlations on Market Volatility (RePEc:taf:jnlbes:v:34:y:2016:i:2:p:254-268)
by Luc Bauwens & Edoardo Otranto - Capturing the Spillover Effect With Multiplicative Error Models (RePEc:taf:lstaxx:v:44:y:2015:i:15:p:3173-3191)
by Edoardo Otranto - Asset allocation using flexible dynamic correlation models with regime switching (RePEc:taf:quantf:v:10:y:2010:i:3:p:325-338)
by Edoardo Otranto - the Multi-State Markov Switching Model (RePEc:wpa:wuwpem:0311001)
by Edoardo Otranto - Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter (RePEc:wpa:wuwpem:0311002)
by Roberto Iannaccone & Edoardo Otranto - Dating the Italian Business Cycle: A Comparison of Procedures (RePEc:wpa:wuwpem:0312003)
by Giancarlo Bruno & Edoardo Otranto - The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach (RePEc:wpa:wuwpem:0402008)
by Giancarlo bruno & Edoardo Otranto - Classifying the Markets Volatility with ARMA Distance Measures (RePEc:wpa:wuwpem:0402009)
by Edoardo Otranto - Extraction of Common Signal from Series with Different Frequency (RePEc:wpa:wuwpem:0502011)
by Edoardo Otranto