Eduardo Rossi
Personal Details
First Name: | Eduardo |
Middle Name: | |
Last Name: | Rossi |
Suffix: | |
RePEc Short-ID: | pro257 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/unipv.it/edurossi/home | |
Via San Felice 5 27100 Pavia Italy | |
Affiliation
Dipartimento di Scienze Economiche e Aziendali
Università degli Studi di Pavia
Pavia, Italyhttps://economiaemanagement.dip.unipv.it/
RePEc:edi:dppavit (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Andrea Bucci & Giulio Palomba & Eduardo Rossi, 2019. "Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach," Working Papers 440, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Emanuele Bacchiocchi & Andrea Bastianin & Alessandro Missale & Eduardo Rossi, 2018.
"Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows,"
Papers
1802.00793, arXiv.org.
- Emanuele BACCHIOCCHI & Andrea BASTIANIN & Alessandro MISSALE & Eduardo ROSSI, 2016. "Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows," Departmental Working Papers 2016-11, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2016. "Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows," JRC Working Papers in Economics and Finance 2016-04, Joint Research Centre, European Commission.
- Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2014. "Testing for no factor structures: on the use of average-type and Hausman-type statistics," DEM Working Papers Series 092, University of Pavia, Department of Economics and Management.
- Eduardo Rossi & Paolo Santucci de Magistris, 2014.
"Indirect inference with time series observed with error,"
CREATES Research Papers
2014-57, Department of Economics and Business Economics, Aarhus University.
- Eduardo Rossi & Paolo Santucci de Magistris, 2018. "Indirect inference with time series observed with error," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 874-897, September.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014.
"Chasing volatility - A persistent multiplicative error model with jumps,"
CREATES Research Papers
2014-29, Department of Economics and Business Economics, Aarhus University.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014. "Chasing Volatility. A Persistent Multiplicative Error Model With Jumps," "Marco Fanno" Working Papers 0186, Dipartimento di Scienze Economiche "Marco Fanno".
- 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.
- Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2019. "A two-stage estimator for heterogeneous panel models with common factors," Econometrics and Statistics, Elsevier, vol. 11(C), pages 63-82.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014.
"Volatility jumps and their economic determinants,"
CREATES Research Papers
2014-27, Department of Economics and Business Economics, Aarhus University.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016. "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 29-80.
- 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.
- Eduardo Rossi & Dean Fantazzini, 2015. "Long Memory and Periodicity in Intraday Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 922-961.
- 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.
- Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015. "Inference on factor structures in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 184(1), pages 145-157.
- Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2014. "Inference on Factor Structures in Heterogeneous Panels," DEM Working Papers Series 088, University of Pavia, Department of Economics and Management.
- 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.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015. "Independent Factor Autoregressive Conditional Density Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
- 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".
- Eduardo Rossi & Paolo Santucci de Magistris, 2011.
"Estimation of long memory in integrated variance,"
CREATES Research Papers
2011-11, Department of Economics and Business Economics, Aarhus University.
- Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Estimation of Long Memory in Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
- Eduardo Rossi & Paolo Santucci de Magistris, 2012. "Estimation of long memory in integrated variance," DEM Working Papers Series 017, University of Pavia, Department of Economics and Management.
- Eduardo Rossi & Paolo Santucci de Magistris, 2009.
"Long Memory and Tail dependence in Trading Volume and Volatility,"
CREATES Research Papers
2009-30, Department of Economics and Business Economics, Aarhus University.
- 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.
- Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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.
- 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.
- Castagnetti, Carolina & Rossi, Eduardo, 2008.
"Euro corporate bonds risk factors,"
MPRA Paper
13440, University Library of Munich, Germany.
- Carolina Castagnetti & Eduardo Rossi, 2013. "Euro Corporate Bond Risk Factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 372-391, April.
- Eduardo Rossi, 1995. "A multivariate GARCH model for exchange rates volatility," LIUC Papers in Economics 21, Cattaneo University (LIUC).
Articles
- Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
- Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2019.
"A two-stage estimator for heterogeneous panel models with common factors,"
Econometrics and Statistics, Elsevier, vol. 11(C), pages 63-82.
- 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.
- Eduardo Rossi & Paolo Santucci de Magistris, 2018.
"Indirect inference with time series observed with error,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 874-897, September.
- Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Indirect inference with time series observed with error," CREATES Research Papers 2014-57, Department of Economics and Business Economics, Aarhus University.
- Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016.
"Volatility Jumps and Their Economic Determinants,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 29-80.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Volatility jumps and their economic determinants," CREATES Research Papers 2014-27, Department of Economics and Business Economics, Aarhus University.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015.
"Independent Factor Autoregressive Conditional Density Model,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
- 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.
- Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015.
"Inference on factor structures in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 184(1), pages 145-157.
- 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.
- Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2014. "Inference on Factor Structures in Heterogeneous Panels," DEM Working Papers Series 088, University of Pavia, Department of Economics and Management.
- Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015. "Testing for no factor structures: On the use of Hausman-type statistics," Economics Letters, Elsevier, vol. 130(C), pages 66-68.
- Eduardo Rossi & Dean Fantazzini, 2015.
"Long Memory and Periodicity in Intraday Volatility,"
Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 922-961.
- 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.
- Eduardo Rossi & Paolo Santucci de Magistris, 2014.
"Estimation of Long Memory in Integrated Variance,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
- Eduardo Rossi & Paolo Santucci de Magistris, 2012. "Estimation of long memory in integrated variance," DEM Working Papers Series 017, University of Pavia, Department of Economics and Management.
- Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Estimation of long memory in integrated variance," CREATES Research Papers 2011-11, Department of Economics and Business Economics, Aarhus University.
- Carolina Castagnetti & Eduardo Rossi, 2013.
"Euro Corporate Bond Risk Factors,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 372-391, April.
- Castagnetti, Carolina & Rossi, Eduardo, 2008. "Euro corporate bonds risk factors," MPRA Paper 13440, University Library of Munich, Germany.
- 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, January.
- 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.
- Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers 2009-30, Department of Economics and Business Economics, Aarhus University.
- 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.
- Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.
- 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.
- 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.
- 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.
RePEc:taf:apfiec:v:12:y:2002:i:4:p:241-251 is not listed on IDEAS
More information
Research fields, statistics, top rankings, if available.Statistics
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 19 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (12) 2009-01-03 2009-08-08 2009-08-16 2011-04-23 2012-11-11 2012-11-17 2012-11-24 2014-02-21 2014-09-29 2014-11-01 2015-01-31 2018-02-12. Author is listed
- NEP-ETS: Econometric Time Series (10) 2009-01-03 2009-08-08 2011-04-23 2012-11-17 2012-11-17 2012-11-24 2014-09-29 2015-01-31 2018-02-12 2019-11-11. Author is listed
- NEP-RMG: Risk Management (8) 2009-02-28 2011-10-09 2012-11-17 2012-11-24 2014-09-05 2014-09-29 2015-02-05 2019-11-11. Author is listed
- NEP-FOR: Forecasting (6) 2009-01-03 2009-08-16 2012-11-17 2012-11-24 2015-02-05 2019-11-11. Author is listed
- NEP-ORE: Operations Research (6) 2009-01-03 2014-02-21 2014-09-29 2015-01-31 2015-02-05 2019-11-11. Author is listed
- NEP-FMK: Financial Markets (2) 2009-02-28 2009-08-08
- NEP-MON: Monetary Economics (2) 2017-08-27 2018-02-12
- NEP-EEC: European Economics (1) 2009-02-28
- NEP-GER: German Papers (1) 2014-09-29
- NEP-MAC: Macroeconomics (1) 2017-08-27
- NEP-MST: Market Microstructure (1) 2012-11-17
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