This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Edoardo Otranto

Personal Details | Affiliation | Works
This is information that was supplied by Edoardo Otranto in registering through RePEc. If you are Edoardo Otranto , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Edoardo
Middle Name:
Last Name: Otranto
Suffix:

RePEc Short-ID: pot5

Email:
Homepage: http://economiaweb.uniss.it/pagine_personali/LocalUser/otranto_edoardo/home_en.htm
Postal Address:
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  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. 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!]

  3. 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!]

  4. 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!]
    Published as:

  5. 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!]

  6. 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!]
    Published as:

  7. 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!]

  8. 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!]
    Published as:

  9. Edoardo Otranto, 2005. "Extraction of Common Signal from Series with Different Frequency," Econometrics 0502011, EconWPA. [Downloadable!]

  10. 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!]

  11. Edoardo Otranto, 2004. "Classifying the Markets Volatility with ARMA Distance Measures," Econometrics 0402009, EconWPA, revised 05 Mar 2004. [Downloadable!]

  12. Giancarlo bruno & Edoardo Otranto, 2004. "The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach," Econometrics 0402008, EconWPA. [Downloadable!]

  13. Edoardo Otranto, 2003. "the Multi-State Markov Switching Model," Econometrics 0311001, EconWPA. [Downloadable!]

  14. Giancarlo Bruno & Edoardo Otranto, 2003. "Dating the Italian Business Cycle: A Comparison of Procedures," Econometrics 0312003, EconWPA. [Downloadable!]
    Other versions:

  15. Roberto Iannaccone & Edoardo Otranto, 2003. "Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter," Econometrics 0311002, EconWPA. [Downloadable!]

  16. 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!]
    Published as:

  17. 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!]

Articles

  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)
    Other versions:

  2. 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)

  3. 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)
    Other versions:

  4. 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)
    Other versions:

  5. 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)

  6. Edoardo Otranto, 2005. "The multi-chain Markov switching model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(7), pages 523-537. [Downloadable!]

  7. 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)
    Other versions:

NEP Fields

14 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (2) 2006-11-18 2008-02-23
  2. NEP-DGE: Dynamic General Equilibrium (1) 2003-11-09
  3. NEP-ECM: Econometrics (9) 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 Author is listed
  4. NEP-ETS: Econometric Time Series (10) 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 Author is listed
  5. NEP-FIN: Finance (1) 2004-02-23
  6. NEP-FMK: Financial Markets (2) 2008-07-30 2008-08-06
  7. NEP-FOR: Forecasting (1) 2008-03-08
  8. NEP-IFN: International Finance (1) 2008-07-30
  9. NEP-MAC: Macroeconomics (2) 2006-11-18 2008-02-23
  10. NEP-MON: Monetary Economics (2) 2006-11-18 2008-02-23
  11. NEP-ORE: Operations Research (4) 2008-02-16 2008-03-08 2008-05-17 2008-07-30 Author is listed
  12. NEP-RMG: Risk Management (1) 2008-08-06
  13. NEP-SEA: South East Asia (2) 2007-01-28 2008-05-17
Did you know? LogEc provides statistical analysis about downloads from this service (and others).

This page was last updated on 2009-10-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.