Edoardo Otranto | Ricerc@Sapienza

Pubblicazioni

Titolo	Pubblicato in	Anno
Modeling meaningful volatility events to classify monetary policy announcements	BIG DATA RESEARCH	2025
Nonlinear HAR Models and Nonlinear Least Squares: Asymptotic Properties	Advanced Methods in Statistics, Data Science and Related Applications,	2024
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS	OXFORD BULLETIN OF ECONOMICS AND STATISTICS	2024
A vector multiplicative error model with spillover effects and co-movements		2024
HAR-based realized volatility clustering	Statistical Analysis of Complex Economic Data: Recent Developments and Applications	2024
Long and short run dynamics in realized covariance matrices: a robust MIDAS approach	Statistical Modelling and Risk Analysis. ICRA 2022.	2023
Reducing Bias of the Matching Estimator of Treatment Effect in a Nonexperimental Evaluation Procedure	Models for Data Analysis	2023
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models	JOURNAL OF FINANCIAL ECONOMETRICS	2023
Are monetary policy announcements related to volatility jumps?	Book of Short Papers - SIS 2023	2023
On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence		2023
Long and Short run dynamics in Realized Covariance Matrices: a Robust MIDAS Approach	Book of Abstracts 9th International Conference on Risk Analysis	2022
Unconventional policies effects on stock market volatility: The MAP approach	JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES C-APPLIED STATISTICS	2022
Asymptotic Properties of the Nonlinear Least Squares Estimator in HE-HAR Models	SIS 2022: Book of the Short Papers	2022
Smooth and abrupt dynamics in financial volatility: the MS-MEM-MIDAS	SIS 2022: Book of the Short Papers	2022
Community mobility in the European regions during COVID-19 pandemic: A partitioning around medoids with noise cluster based on space–time autoregressive models	SPATIAL STATISTICS	2021
On classifying the effects of policy announcements on volatility	INTERNATIONAL JOURNAL OF APPROXIMATE REASONING	2021
Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach	JOURNAL OF RISK AND FINANCIAL MANAGEMENT	2021
Realized Volatility Forecasting: Robustness to Measurement Errors	INTERNATIONAL JOURNAL OF FORECASTING	2021
Do different models induce changes in mortality indicators? That is a key question for extending the Lee-Carter model	INTERNATIONAL JOURNAL OF ENVIRONMENTAL RESEARCH AND PUBLIC HEALTH	2021
Measuring the Effect of Unconventional Policies on Stock Market Volatility	Book of Short Papers-SIS 2020	2020