Edoardo Otranto
Names
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Edoardo |
| last: |
Otranto |
Identifer
Contact
Affiliations
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Centro Ricerche Nord Sud (CRENoS) (weight: 10%)
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"Sapienza" Università di Roma
/ Dipartimento di Scienze Sociali ed Economiche (weight: 90%)
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 - Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models (repec:arx:papers:2601.21447)
by Demetrio Lacava & Edoardo Otranto - Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections (repec:arx:papers:2601.21534)
by Giampiero M. Gallo & Demetrio Lacava & Edoardo Otranto - VOLatility Archive for Realized Estimates (VOLARE) (repec:arx:papers:2602.19732)
by Fabrizio Cipollini & Giulia Cruciani & Giampiero M. Gallo & Alessandra Insana & Edoardo Otranto & Fabio Spagnolo - 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 - Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS (repec:bla:obuest:v:86:y:2024:i:1:p:21-43)
by Luca Scaffidi Domianello & Giampiero M. 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 - Nonlinearities and Regimes in Conditional Correlations with Different Dynamics (repec:cns:cnscwp:201803)
by L. Bauwens & E. Otranto - 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 - A Vector Multiplicative Error Model with Spillover Effects and Co-movements (repec:cns:cnscwp:202404)
by 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 - Realized Covariance Models with Time-varying Parameters and Spillover Effects (repec:cor:louvco:2023019)
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 - Realized covariance models with time-varying parameters and spillover effects (repec:cor:louvrp:3347)
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 - Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models (repec:oup:jfinec:v:21:y:2023:i:4:p:1376-1401.)
by Luc Bauwens & 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 - On using fuzzy clustering for detecting the number of states in Markov switching models (repec:spr:annopr:v:349:y:2025:i:3:d:10.1007_s10479-025-06585-w)
by Edoardo Otranto & Luca Scaffidi Domianello - Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors (repec:spr:joqcri:v:28:y:2012:i:2:d:10.1007_s10940-011-9139-5)
by Claudio Detotto & Edoardo Otranto - Classifying Italian Pension Funds via GARCH Distance (repec:spr:sprchp:978-88-470-0704-8_24)
by Edoardo Otranto & Alessandro Trudda - Clustering mutual funds by return and risk levels (repec:spr:sprchp:978-88-470-1481-7_19)
by Francesco Lisi & Edoardo Otranto - 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 - Volatility transmission across markets: a Multichain Markov Switching model (repec:taf:apfiec:v:17:y:2007:i:8:p:659-670)
by Giampiero M. Gallo & Edoardo Otranto - 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