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Edoardo Otranto

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Personal Details

First Name: Edoardo
Middle Name:
Last Name: Otranto
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RePEc Short-ID: pot5

Email:
Homepage: https://sites.google.com/site/edoardootranto/home
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Affiliation

(50%) Centro Ricerche Nord Sud (CRENoS)
Location: Italy
Homepage: http://www.crenos.unica.it/
Email:
Phone: +70/6756406
Fax: +70/6756402
Postal: Via S. Giorgio 12, I-09124 Cagliari
Handle: RePEc:edi:crenoit (more details at EDIRC)
(50%) Università degli Studi di Messina, Dipartimento di Scienze Cognitive e della Formazione
Homepage: http://ww1.unime.it/strutture/dip/index.php?qualeFile=logoDip.php&sottomenu=0&acceso=0&dipa=40
Location: Italy, Messina

Works

as in new window

Working papers

  1. L. Bauwens & E. Otranto, 2013. "Modeling the Dependence of Conditional Correlations on Volatility," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  2. E. Otranto, 2012. "The Markov Switching Asymmetric Multiplicative Error Model," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201205, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  3. A. Debòn & S. Haberman & F. Montes & E. Otranto, 2012. "Model effect on projected mortality indicators," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201215, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  4. Giampiero M. Gallo & Edoardo Otranto, 2012. "Volatility Swings in the US Financial Markets," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" 2012_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.
  5. A. Khalifa & S. Hammoudeh & E. Otranto, 2012. "Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201209, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  6. Giampiero M. Gallo & Edoardo Otranto, 2012. "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" 2012_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.
  7. E. Otranto, 2012. "Spillover Effects in the Volatility of Financial Markets," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201217, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  8. A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander, 2012. "Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201214, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  9. E. Otranto, 2011. "Classification of Volatility in Presence of Changes in Model Parameters," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201113, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  10. C. Detotto & E. Otranto, 2011. "Cycles in Crime and Economy Revised," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201107, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  11. C. Detotto & E. Otranto, 2010. "A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201002, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  12. C. Detotto & E. Otranto, 2010. "Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201023, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  13. E. Otranto, 2009. "Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 200917, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  14. E. Otranto, 2008. "Clustering Heteroskedastic Time Series by Model-Based Procedures," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 200801, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  15. M. Bigeco & E. Grosso & E. Otranto, 2008. "Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 200803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  16. J. De Dios Tena & E. Otranto, 2008. "A Realistic Model for Official Interest Rates," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 200802, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  17. E. Otranto, 2008. "Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 200810, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  18. F. Lisi & E. Otranto, 2008. "Clustering Mutual Funds by Return and Risk Levels," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 200813, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  19. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  20. Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  21. Juan de Dios Tena & Edoardo Otranto, 2006. "Modelling The Discrete And Infrequent Official Interest Rate Change In The Uk," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws062007, Universidad Carlos III, Departamento de Estadística y Econometría.
  22. Giampiero M. Gallo & Edoardo Otranto, 2005. "Volatility Transmission in Financial Markets: A New Approach," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2005_10, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  23. Edoardo Otranto, 2005. "Extraction of Common Signal from Series with Different Frequency," Econometrics, EconWPA 0502011, EconWPA.
  24. Otranto, Edoardo & Calzolari, Giorgio & Di Iorio, Francesca, 2005. "Indirect estimation of Markov switching models with endogenous switching," MPRA Paper 22983, University Library of Munich, Germany, revised 2005.
  25. Giancarlo bruno & Edoardo Otranto, 2004. "The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach," Econometrics, EconWPA 0402008, EconWPA.
  26. Edoardo Otranto, 2004. "Classifying the Markets Volatility with ARMA Distance Measures," Econometrics, EconWPA 0402009, EconWPA, revised 05 Mar 2004.
  27. Roberto Iannaccone & Edoardo Otranto, 2003. "Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter," Econometrics, EconWPA 0311002, EconWPA.
  28. Giancarlo Bruno & Edoardo Otranto, 2003. "Dating the Italian Business Cycle: A Comparison of Procedures," Econometrics, EconWPA 0312003, EconWPA.
  29. Edoardo Otranto, 2003. "the Multi-State Markov Switching Model," Econometrics, EconWPA 0311001, EconWPA.
  30. Bruno Giancarlo & Edoardo Otranto, 2001. "The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) 21, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  31. Edoardo Otranto & Giampiero M. Gallo, 2001. "A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2001_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".

Articles

  1. Juan de Dios Tena & Edoardo Otranto, 2011. "A realistic model for official interest rate movements and their consequences," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 43(29), pages 4431-4447.
  2. Claudio Detotto & Edoardo Otranto, 2010. "Does Crime Affect Economic Growth?," Kyklos, Wiley Blackwell, Wiley Blackwell, vol. 63(3), pages 330-345, 08.
  3. Otranto, Edoardo, 2010. "Identifying financial time series with similar dynamic conditional correlation," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(1), pages 1-15, January.
  4. Edoardo Otranto, 2010. "Asset allocation using flexible dynamic correlation models with regime switching," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(3), pages 325-338.
  5. Otranto, Edoardo, 2008. "Clustering heteroskedastic time series by model-based procedures," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(10), pages 4685-4698, June.
  6. Bruno, Giancarlo & Otranto, Edoardo, 2008. "Models to date the business cycle: The Italian case," Economic Modelling, Elsevier, Elsevier, vol. 25(5), pages 899-911, September.
  7. Gallo, Giampiero M. & Otranto, Edoardo, 2008. "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 3011-3026, February.
  8. Giampiero M. Gallo & Edoardo Otranto, 2007. "Volatility transmission across markets: a Multichain Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(8), pages 659-670.
  9. Giancarlo Bruno & Edoardo Otranto, 2006. "The choice of time interval in seasonal adjustment: A heuristic approach," Statistical Papers, Springer, Springer, vol. 47(3), pages 393-417, June.
  10. 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, Department of Economics, University of Oxford, vol. 68(s1), pages 679-682, December.
  11. Edoardo Otranto, 2005. "The multi-chain Markov switching model," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(7), pages 523-537.
  12. Edoardo Otranto, 2005. "Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, OECD Publishing,CIRET, vol. 2005(3), pages 407-429.
  13. Edoardo Otranto & Giampiero Gallo, 2002. "A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(4), pages 477-496.

NEP Fields

26 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGE: Economics of Ageing (1) 2012-07-23
  2. NEP-CBA: Central Banking (2) 2006-11-18 2008-02-23
  3. NEP-DEM: Demographic Economics (1) 2012-07-23
  4. NEP-DGE: Dynamic General Equilibrium (1) 2003-11-09
  5. NEP-ECM: Econometrics (14) 2003-11-09 2003-11-09 2004-02-23 2004-02-23 2005-04-16 2007-01-28 2007-01-28 2008-02-16 2008-03-08 2010-01-23 2011-08-02 2012-04-10 2012-07-23 2013-03-16. Author is listed
  6. NEP-ENE: Energy Economics (1) 2012-05-08
  7. NEP-ETS: Econometric Time Series (15) 2003-11-09 2003-11-09 2004-02-23 2004-02-23 2005-04-16 2007-01-28 2007-01-28 2008-02-16 2008-03-08 2008-05-17 2010-01-23 2011-08-02 2012-04-10 2012-07-23 2013-03-16. Author is listed
  8. NEP-FMK: Financial Markets (5) 2008-07-30 2008-08-06 2012-07-14 2012-07-23 2012-08-23. Author is listed
  9. NEP-FOR: Forecasting (3) 2008-03-08 2010-01-23 2012-07-23
  10. NEP-LAW: Law & Economics (2) 2010-11-27 2011-05-14
  11. NEP-MAC: Macroeconomics (4) 2006-11-18 2008-02-23 2010-11-27 2011-05-14
  12. NEP-MON: Monetary Economics (2) 2006-11-18 2008-02-23
  13. NEP-ORE: Operations Research (5) 2008-02-16 2008-03-08 2008-05-17 2008-07-30 2010-01-23. Author is listed
  14. NEP-RMG: Risk Management (1) 2008-08-06
  15. NEP-SEA: South East Asia (2) 2007-01-28 2008-05-17

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