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

10

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341

SSRN CITATIONS
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Top 34,353

in Total Papers Citations

2

CROSSREF CITATIONS

22

Scholarly Papers (10)

1.

Forecasting Realized Volatility with Changes of Regimes

Number of pages: 40 Posted: 06 Feb 2014
Giampiero M. Gallo and Edoardo Otranto
Corte dei Conti - Italian Court of Audits and University of Messina
Downloads 103 (322,151)
Citation 1

Abstract:

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

2.

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), Corte dei Conti - Italian Court of Audits and University of Messina
Downloads 88 (356,116)
Citation 5

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

3.

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 59 (443,648)

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MEM, unconditional volatility, spillover effect, common dynamics

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 41 (517,683)

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

5.

Measuring the Effects of Unconventional Policies on Stock Market Volatility

Number of pages: 34 Posted: 02 Dec 2020
Demetrio Lacava, Giampiero M. Gallo and Edoardo Otranto
University of Messina - Department of Economics, Corte dei Conti - Italian Court of Audits and University of Messina
Downloads 32 (563,649)

Abstract:

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Unconventional monetary policy, Financial market, Realized Volatility, Multiplicative Error Model, Model Confidence Set.

6.

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 (715,881)

Abstract:

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

7.

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 (731,808)
Citation 2
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8.

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

9.

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

10.

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
Corte dei Conti - Italian Court of Audits and University of Messina

Abstract:

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