Edoardo Otranto

University of Messina

Piazza Pugliatti, 1

Messina, 98122

Italy

Universita di Cagliari - Centre for North South Economic Research (CRENOS)

V. S. Ignazio 78

Cagliari, 09124

Italy

SCHOLARLY PAPERS

9

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251

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CROSSREF CITATIONS

21

Scholarly Papers (9)

1.

Forecasting Realized Volatility with Changes of Regimes

Number of pages: 40 Posted: 06 Feb 2014
Giampiero M. Gallo and Edoardo Otranto
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of Messina
Downloads 95 (278,380)
Citation 1

Abstract:

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MEM, regime switching, realized volatility, volatility persistence, volatility forecasting

2.

Financial Clustering in Presence of Dominant Markets

Working Paper CRENoS 2013/18
Number of pages: 31 Posted: 08 Feb 2014
Romana Gargano and Edoardo Otranto
University of Messina and University of Messina
Downloads 58 (368,433)

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MEM, unconditional volatility, spillover effect, common dynamics

3.

On Heteroskedasticity and Regimes in Volatility Forecasting

Number of pages: 22 Posted: 19 Sep 2017
Fabrizio Cipollini, Giampiero M. Gallo and Edoardo Otranto
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of Messina
Downloads 46 (408,319)
Citation 3

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Realized Volatility, Forecasting, Measurement Errors, HAR, AMEM, Markov Switching, Volatility of Volatility

4.

Modeling the Dependence of Conditional Correlations on Market Volatility

Journal of Business and Economic Statistics, 34/2, 254-268, 2016
Number of pages: 38 Posted: 09 May 2017
Luc Bauwens and Edoardo Otranto
Université catholique de Louvain and University of Messina
Downloads 34 (456,222)

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Dynamic conditional correlations, Markov switching, Minimum variance portfolio, Model confidence set, Forecasting

5.

Supplementary Appendix to 'Modeling the Dependence of Conditional Correlations on Market Volatility'

Number of pages: 16 Posted: 10 May 2017
Luc Bauwens and Edoardo Otranto
Université catholique de Louvain and University of Messina
Downloads 10 (591,623)

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Dynamic conditional correlations, Markov switching, Minimum variance portfolio, Model confidence set, Forecasting

6.

Does Crime Affect Economic Growth?

Kyklos, Vol. 63, Issue 3, pp. 330-345, August 2010
Number of pages: 16 Posted: 19 Jul 2010
Claudio Detotto and Edoardo Otranto
Università di Corsica (Laboratoire LISA - UMR 6240 CNRS) and University of Messina
Downloads 8 (604,688)
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7.

Classifying Italian Pension Funds via GARCH Distance

MATHEMATICAL AND STATISTICAL METHODS FOR INSURANCE AND FINANCE, C. Perna and M. Sibillo, eds., Springer, 2007
Posted: 27 Jul 2011
Edoardo Otranto and Alessandro Trudda
University of Messina and Università degli Studi di Sassari

Abstract:

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Agglomerative algorithm, Cluster analysis, GARCH models, Pension funds, Risk profile

8.

Evaluating the Risk of Pension Funds by Statistical Procedures

TRANSITION ECONOMIES: 21ST CENTURY ISSUES AND CHALLENGES, Nova Science Publishers, 2008
Posted: 27 Jul 2011
Edoardo Otranto and Alessandro Trudda
University of Messina and Università degli Studi di Sassari

Abstract:

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Agglomerative algorithm, Cluster analysis, GARCH models, Pension funds

9.

Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach

Computational Statistics & Data Analysis, Vol. 52, No. 6, pp. 3011-3026, 2008
Posted: 30 Apr 2009
Giampiero M. Gallo and Edoardo Otranto
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of Messina

Abstract:

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Markov Switching, Multiple chains, Volatility, Spillover effect, Comovements