← All authors Edoardo Otranto Department of Social Sciences (from arXiv:2601.21534, 2026) · ORCID · OpenAlex
45 papers in scope · 44 published · 1 on the econ.EM arXiv · 844 citations · h-index 15 (over the papers listed here)
Papers (1 of 45)
Trade uncertainty impact on stock–bond correlations: insights from conditional correlation models
published 2026 · Quality & Quantity
A matrix-variate log-normal model for covariance matrices
published 2026 · Statistics & Probability Letters
working paper 2026 · arXiv
Regime changes and spatial dependence in the 2020 US presidential election polls
published 2025 · Spatial Statistics · 1 citations
The impact of WTI futures on Shanghai crude futures: identifying spillover effects on crude oil prices using the multiplicative error model
published 2025 · Journal of Economic Studies
with Antonio Fabio Forgione, Carlo Migliardo, Luca Scaffidi Domianello
Realized covariance models with time-varying parameters and spillover effects
published 2025 · Statistical Modelling · 1 citations
with Luc Bauwens
Modeling meaningful volatility events to classify monetary policy announcements
published 2025 · Big Data Research
Nonlinear HAR Models and Nonlinear Least Squares: Asymptotic Properties
published 2024 · Springer proceedings in mathematics & statistics
with Emilija Dzuverovic
Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS*
published 2023 · Oxford Bulletin of Economics and Statistics · 3 citations
Reducing Bias of the Matching Estimator of Treatment Effect in a Nonexperimental Evaluation Procedure
published 2023 · Springer proceedings in mathematics & statistics
with Maria Gabriella Campolo, Antonino Di Pino Incognito
Long and Short–Run Dynamics in Realized Covariance Matrices: A Robust MIDAS Approach
published 2023 · Springer proceedings in mathematics & statistics
with Scafldi Domianello Luca
Unconventional Policies Effects on Stock Market Volatility: The MAP Approach
published 2022 · Journal of the Royal Statistical Society Series C (Applied Statistics) · first circulated 2020
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models
published 2022 · Journal of Financial Econometrics · 6 citations · first circulated 2020
with Luc Bauwens
Community mobility in the European regions during COVID-19 pandemic: A partitioning around medoids with noise cluster based on space–time autoregressive models
published 2021 · Spatial Statistics · 17 citations
with Pierpaolo D’Urso, Massimo Mucciardi, Vincenzina Vitale
On classifying the effects of policy announcements on volatility
published 2021 · International Journal of Approximate Reasoning
Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach
published 2021 · Journal of risk and financial management · 11 citations
with Mariagrazia Fallanca, Antonio Fabio Forgione
Forecasting the macro determinants of bank credit quality: a non-linear perspective
published 2020 · The Journal of Risk Finance · 18 citations
with Maria Grazia Fallanca, Antonio Fabio Forgione
Realized volatility forecasting: Robustness to measurement errors
published 2020 · International Journal of Forecasting · 46 citations · first circulated 2019
Nonlinearities and regimes in conditional correlations with different dynamics
published 2019 · Journal of Econometrics · 14 citations
with Luc Bauwens
Clustering space-time series: FSTAR as a flexible STAR approach
published 2018 · Advances in Data Analysis and Classification · 6 citations · first circulated 2017
with Massimo Mucciardi
Combining Sharp and Smooth Transitions in Volatility Dynamics: A Fuzzy Regime Approach
published 2017 · Journal of the Royal Statistical Society Series C (Applied Statistics) · 11 citations
Dataset for petroleum based stock markets and GAUSS codes for SAMEM
published 2016 · Data in Brief
with Ahmed Khalifa, Pietro Bertuccelli
Adding flexibility to Markov Switching models
published 2016 · Statistical Modelling
Volatility transmission across currencies and commodities with US uncertainty measures
published 2016 · The North American Journal of Economics and Finance · 24 citations
with Ahmed Khalifa, Shawkat Hammoudeh, Sanjay Ramchander
Spatial effects in dynamic conditional correlations
published 2015 · Journal of Applied Statistics · 7 citations
with Massimo Mucciardi, Pietro Bertuccelli
Forecasting realized volatility with changing average levels
published 2015 · International Journal of Forecasting · 64 citations
Capturing the Spillover Effect With Multiplicative Error Models
published 2015 · Communication in Statistics-Theory and Methods · 22 citations
Modeling the Dependence of Conditional Correlations on Market Volatility
published 2015 · Journal of Business and Economic Statistics · 41 citations
with Luc Bauwens
Financial clustering in presence of dominant markets
published 2014 · Advances in Data Analysis and Classification · 5 citations
with Romana Gargano
Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets
published 2014 · Economic Modelling · 10 citations
with Ahmed Khalifa, Shawkat Hammoudeh
Patterns of volatility transmissions within regime switching across GCC and global markets
published 2013 · International Review of Economics & Finance · 57 citations
with Ahmed Khalifa, Shawkat Hammoudeh
Volatility clustering in the presence of time-varying model parameters
published 2013 · Journal of Applied Statistics · 1 citations
A realistic model for official interest rate movements and their consequences
published 2011 · Applied Economics
with Juan de Díos Tena
Does Crime Affect Economic Growth?
published 2010 · Kyklos · 55 citations
with Claudio Detotto
Asset allocation using flexible dynamic correlation models with regime switching
published 2009 · Quantitative Finance · 18 citations · first circulated 2008
Identifying financial time series with similar dynamic conditional correlation
published 2009 · Computational Statistics & Data Analysis · 50 citations · first circulated 2008
A time varying hidden Markov model with latent information
published 2008 · Statistical Modelling · 6 citations
Clustering heteroskedastic time series by model-based procedures
published 2008 · Computational Statistics & Data Analysis · 104 citations
Models to date the business cycle: The Italian case
published 2008 · Economic Modelling · 14 citations
with Giancarlo Bruno
Volatility spillovers, interdependence and comovements: A Markov Switching approach
published 2007 · Computational Statistics & Data Analysis · 123 citations
Volatility transmission across markets: a Multichain Markov Switching model
published 2007 · Applied Financial Economics · 46 citations · first circulated 2005
Frontiers in Time Series Analysis: Introduction
published 2006 · Oxford Bulletin of Economics and Statistics
The choice of time interval in seasonal adjustment: A heuristic approach
published 2006 · Statistical Papers · 3 citations · first circulated 2004
with Giancarlo Bruno, Giancarlo bruno
Measures to evaluate the discrepancy between direct and indirect model-based seasonal adjustment
published 2004 · Quality Engineering · 9 citations
with Umberto Triacca
no link
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
published 2002 · Econometric Reviews · 51 citations · first circulated 2001
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