← All authors Eduardo Rossi University of Pavia (from arXiv:2606.08141, 2026) · ORCID · OpenAlex
24 papers in scope · 21 published · 3 on the econ.EM arXiv · 339 citations · h-index 11 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Shixuan Wang Lorenzo Trapani Lajos Horváth Alessandro Casini Fabrizio Ghezzi Pierre Perrón Anton Skrobotov Glenn D. Rudebusch Taosong Deng Francis X. Diebold Leopoldo Catania Federico Belotti B. Cooper Boniece Rustam Ibragimov Eiji Kurozumi Ji-Hyun Kim Luca Mattia Rolla Maximilian Göbel Meng Li Zijian Zeng Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 24)
working paper 2026 · arXiv
SWITCHING REGIME INTEGER AUTOREGRESSIONS
published 2025 · Econometric Theory
Fast on-line changepoint detection using heavily-weighted CUSUM and veto-based decision rules
published 2025 · Journal of Econometrics · 1 citations
working paper 2024 · arXiv · 1 citations
The role of uncertainty in forecasting volatility comovements across stock markets
published 2023 · Economic Modelling · 5 citations
starvars: An R Package for Analysing Nonlinearities in Multivariate Time Series
published 2022 · The R Journal · 3 citations
Structural analysis with mixed-frequency data: A model of US capital flows
published 2019 · Economic Modelling · 9 citations
Indirect inference with time series observed with error
published 2018 · Journal of Applied Econometrics · 7 citations
with Paolo Santucci de Magistris
working paper 2018 · arXiv · 2 citations
A two-stage estimator for heterogeneous panel models with common factors
published 2017 · Econometrics and Statistics · 16 citations · first circulated 2014
Chasing volatility
published 2017 · Journal of Econometrics · 26 citations
with Massimiliano Caporin, Paolo Santucci de Magistris
Testing for no factor structures: On the use of Hausman-type statistics
published 2015 · Economics Letters · 8 citations · first circulated 2014
Volatility Jumps and Their Economic Determinants
published 2014 · Journal of Financial Econometrics · 34 citations · first circulated 2011
with Massimiliano Caporin, Paolo Santucci de Magistris
Inference on factor structures in heterogeneous panels
published 2014 · Journal of Econometrics · 24 citations
Long Memory and Periodicity in Intraday Volatility
published 2014 · Journal of Financial Econometrics · 58 citations · first circulated 2009
with Dean Fantazzini
Independent Factor Autoregressive Conditional Density Model
published 2013 · Econometric Reviews · 38 citations
Estimation of Long Memory in Integrated Variance
published 2013 · Econometric Reviews · 20 citations · first circulated 2011
with Paolo Santucci de Magistris
Long memory and tail dependence in trading volume and volatility
published 2013 · Journal of Empirical Finance · 11 citations · first circulated 2010
with Paolo Santucci de Magistris
EURO CORPORATE BOND RISK FACTORS
published 2011 · Journal of Applied Econometrics · 21 citations · first circulated 2008
with Carolina Castagnetti
A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges
published 2011 · Journal of Futures Markets · 20 citations
with Paolo Santucci de Magistris
Efficient importance sampling maximum likelihood estimation of stochastic differential equations
published 2010 · Computational Statistics & Data Analysis · 10 citations
with Sergio Pastorello
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis
published 2009 · Computational Statistics & Data Analysis · 3 citations
with Filippo Spazzini
Artificial regression testing in the GARCH‐in‐mean model
published 2005 · Econometrics Journal · 3 citations
with Riccardo Lucchetti
Hedging interest rate risk with multivariate GARCH
published 2002 · Applied Financial Economics · 19 citations
with Claudio Zucca
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