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Eduardo Rossi

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

Personal Details

First Name: Eduardo
Middle Name:
Last Name: Rossi
Suffix:

RePEc Short-ID: pro257

Email:
Homepage: http://economia.unipv.it/pagp/pagine_personali/erossi/rossi.htm
Postal Address:
Phone:

Affiliation

Dipartimento di Scienze Economiche e Aziendali
Facoltà di Economia
Università degli Studi di Pavia
Location: Pavia, Italy
Homepage: http://epmq.unipv.eu/
Email:
Phone: +39/0382/506208
Fax: +39/0382/304226
Postal: Via S. Felice, 5 - 27100 Pavia
Handle: RePEc:edi:dppavit (more details at EDIRC)

Works

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Working papers

  1. Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2014. "A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors," DEM Working Papers Series 066, University of Pavia, Department of Economics and Management.
  2. Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
  3. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.
  4. Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2012. "Inference on Factor Structures in Heterogeneous Panels," DEM Working Papers Series 002, University of Pavia, Department of Economics and Management.
  5. Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Estimation of long memory in integrated variance," CREATES Research Papers 2011-11, School of Economics and Management, University of Aarhus.
  6. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Conditional jumps in volatility and their economic determinants," "Marco Fanno" Working Papers 0138, Dipartimento di Scienze Economiche "Marco Fanno".
  7. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers 2009-30, School of Economics and Management, University of Aarhus.
  8. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, School of Economics and Management, University of Aarhus.
  9. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Euro corporate bonds risk factors," MPRA Paper 13440, University Library of Munich, Germany.
  10. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study," MPRA Paper 26196, University Library of Munich, Germany.
  11. Rossi, Eduardo & Spazzini, Filippo, 2008. "Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis," MPRA Paper 12260, University Library of Munich, Germany.
  12. Eduardo Rossi, 1995. "A multivariate GARCH model for exchange rates volatility," LIUC Papers in Economics 21, Cattaneo University (LIUC).

Articles

  1. Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, 01.
  2. Carolina Castagnetti & Eduardo Rossi, 2013. "Euro Corporate Bond Risk Factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 372-391, 04.
  3. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
  4. Pastorello, S. & Rossi, E., 2010. "Efficient importance sampling maximum likelihood estimation of stochastic differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2753-2762, November.
  5. Rossi, E. & Spazzini, F., 2010. "Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2786-2800, November.
  6. Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.
  7. Riccardo Lucchetti & Eduardo Rossi, 2005. "Artificial regression testing in the GARCH-in-mean model," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 306-322, December.
  8. Eduardo Rossi & Claudio Zucca, 2002. "Hedging interest rate risk with multivariate GARCH," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 241-251.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (8) 2009-01-03 2009-08-08 2009-08-16 2011-04-23 2012-11-11 2012-11-17 2012-11-24 2014-02-21. Author is listed
  2. NEP-EEC: European Economics (1) 2009-02-28
  3. NEP-ETS: Econometric Time Series (6) 2009-01-03 2009-08-08 2011-04-23 2012-11-17 2012-11-17 2012-11-24. Author is listed
  4. NEP-FMK: Financial Markets (2) 2009-02-28 2009-08-08
  5. NEP-FOR: Forecasting (4) 2009-01-03 2009-08-16 2012-11-17 2012-11-24. Author is listed
  6. NEP-MST: Market Microstructure (1) 2012-11-17
  7. NEP-ORE: Operations Research (2) 2009-01-03 2014-02-21
  8. NEP-RMG: Risk Management (4) 2009-02-28 2011-10-09 2012-11-17 2012-11-24. Author is listed

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