Publications

by members of

Facoltà di Economia
Università degli Studi di Sassari
Sassari, Italy

(Faculty of Economics, )

Working papers

2008

1. Edoardo Otranto, 2008. "Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching," Working Paper CRENoS 200810, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
2. F. Lisi & Edoardo Otranto, 2008. "Clustering Mutual Funds by Return and Risk Levels," Working Paper CRENoS 200813, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
3. J. de Dios Tena & Edoardo Otranto, 2008. "A Realistic Model for Official Interest Rates," Working Paper CRENoS 200802, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
4. M. Bigeco & E. Grosso & Edoardo Otranto, 2008. "Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models," Working Paper CRENoS 200803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
5. Edoardo Otranto, 2008. "Clustering Heteroskedastic Time Series by Model-Based Procedures," Working Paper CRENoS 200801, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]

2007

1. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
2. OA. Carboni & G. Medda, 2007. "Government Size and the Composition of Public Spending in a Neoclassical Growth Model," Working Paper CRENoS 200701, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
3. Claudio A. Piga & Giuseppe Medda, 2007. "Technological Spillovers and Productivity in Italian Manufacturing Firms," Discussion Paper Series 2007_17, Department of Economics, Loughborough University, revised Jul 2007. [Downloadable!]
4. Claudio A. Piga & Giuseppe Medda, 2007. "Technological Spillovers and Productivity in Italian Manufacturing Firms," Working Paper Series 08-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]

2006

1. Juan de Dios Tena & Edoardo Otranto, 2006. "Modelling The Discrete And Infrequent Official Interest Rate Change In The Uk," Statistics and Econometrics Working Papers ws062007, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
2. Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

2005

1. Edoardo Otranto, 2005. "Extraction of Common Signal from Series with Different Frequency," Econometrics 0502011, EconWPA. [Downloadable!]
2. Giampiero M. Gallo & Edoardo Otranto, 2005. "Volatility Transmission in Financial Markets: A New Approach," Econometrics Working Papers Archive wp2005_10, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

2004

1. Giancarlo bruno & Edoardo Otranto, 2004. "The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach," Econometrics 0402008, EconWPA. [Downloadable!]
2. Edoardo Otranto, 2004. "Classifying the Markets Volatility with ARMA Distance Measures," Econometrics 0402009, EconWPA, revised 05 Mar 2004. [Downloadable!]
3. Bruno Giancarlo & Edoardo Otranto, 2004. "Dating the Italian BUsiness Cycle: A Comparison of Procedures," ISAE Working Papers 41, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
4. Giuseppe Medda & Claudio Piga & Donald S. Siegel, 2004. "Assessing the Returns to Collaborative Research: Firm-Level Evidence from Italy," Rensselaer Working Papers in Economics 0416, Rensselaer Polytechnic Institute, Department of Economics. [Downloadable!]
5. G. Medda & C. Piga, 2004. "R&S e spillover industriali: un'analisi sulle imprese italiane," Working Paper CRENoS 200406, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]

2003

1. Edoardo Otranto, 2003. "the Multi-State Markov Switching Model," Econometrics 0311001, EconWPA. [Downloadable!]
2. Roberto Iannaccone & Edoardo Otranto, 2003. "Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter," Econometrics 0311002, EconWPA. [Downloadable!]
3. Giancarlo Bruno & Edoardo Otranto, 2003. "Dating the Italian Business Cycle: A Comparison of Procedures," Econometrics 0312003, EconWPA. [Downloadable!]
4. Giuseppe Medda & Claudio Piga & Donald S. Siegel, 2003. "On the Relationship between R&D and Productivity: a Treatment Effect Analysis," Rensselaer Working Papers in Economics 0307, Rensselaer Polytechnic Institute, Department of Economics. [Downloadable!]
5. Giuseppe Medda & Claudio Piga & Donald Siegel, 2003. "On the Relationship between R&D and Productivity: a Treatment Effect Analysis," Working Papers 2003.34, Fondazione Eni Enrico Mattei. [Downloadable!]

2001

1. Edoardo Otranto & Giampiero M. Gallo, 2001. "A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models," Econometrics Working Papers Archive wp2001_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
2. Bruno Giancarlo & Edoardo Otranto, 2001. "The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools," ISAE Working Papers 21, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]

Journal articles

2008

1. Gallo, Giampiero M. & Otranto, Edoardo, 2008. "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3011-3026, February. [Downloadable!] (restricted)
2. Otranto, Edoardo, 2008. "Clustering heteroskedastic time series by model-based procedures," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4685-4698, June. [Downloadable!] (restricted)
3. Bruno, Giancarlo & Otranto, Edoardo, 2008. "Models to date the business cycle: The Italian case," Economic Modelling, Elsevier, vol. 25(5), pages 899-911, September. [Downloadable!] (restricted)

2007

1. Giampiero M. Gallo & Edoardo Otranto, 2007. "Volatility transmission across markets: a Multichain Markov Switching model," Applied Financial Economics, Taylor and Francis Journals, vol. 17(8), pages 659-670. [Downloadable!] (restricted)

2006

1. Anindya Banerjee & Giampiero Gallo & Edoardo Otranto, 2006. "Frontiers in Time Series Analysis: Introduction," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 679-682, December. [Downloadable!] (restricted)
2. Giuseppe Medda & Claudio Piga & Donald Siegel, 2006. "Assessing the returns to collaborative research: Firm-level evidence from Italy," Economics of Innovation and New Technology, Taylor and Francis Journals, vol. 15(1), pages 37-50, January. [Downloadable!] (restricted)

2005

1. Edoardo Otranto, 2005. "The multi-chain Markov switching model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(7), pages 523-537. [Downloadable!]
2. Giuseppe Medda & Claudio Piga & Donald S Siegel, 2005. "University R&D and Firm Productivity: Evidence from Italy," The Journal of Technology Transfer, Springer, vol. 30(2_2), pages 199-205, 01. [Downloadable!]

2002

1. Edoardo Otranto & Giampiero Gallo, 2002. "A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 477-496. [Downloadable!] (restricted)

This page was last updated on 2009-12-2.