Eduardo Rossi

Department of Economics and Management

Prof

Via San Felice 5

27100 Pavia

Italy

SCHOLARLY PAPERS

10

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882

CITATIONS
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Top 22,227

in Total Papers Citations

20

Scholarly Papers (10)

1.

Long Memory and Periodicity in Intraday Volatility of Stock Index Futures

Number of pages: 43 Posted: 25 Aug 2009
Eduardo Rossi and Dean Fantazzini
Department of Economics and Management and Moscow School of Economics, Moscow State University
Downloads 318 (93,347)
Citation 5

Abstract:

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long-range dependence, periodic models, stock index futures

2.

Long Memory and Tail Dependence in Trading Volume and Volatility

CREATES Research Paper No. 2009-30
Number of pages: 41 Posted: 16 Jul 2009 Last Revised: 09 Apr 2011
Eduardo Rossi and Paolo Santucci de Magistris
Department of Economics and Management and Aarhus University - CREATES
Downloads 152 (190,836)
Citation 7

Abstract:

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Realized Volatility, Trading Volume, Fractional Cointegration, Tail dependence, Copula Modeling

3.

A No Arbitrage Fractional Cointegration Analysis of the Range Based Volatility

CREATES Research Paper No. 2009-31
Number of pages: 36 Posted: 16 Jul 2009 Last Revised: 22 Sep 2010
Eduardo Rossi and Paolo Santucci de Magistris
Department of Economics and Management and Aarhus University - CREATES
Downloads 143 (200,581)
Citation 4

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Range-based volatility estimator, Long memory, Fractional cointegration, Fractional VECM, Stock Index Futures

4.

Conditional Jumps in Volatility and Their Economic Determinants

Number of pages: 42 Posted: 09 Sep 2011
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Aarhus University - CREATES
Downloads 130 (216,489)
Citation 4

Abstract:

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volatility, jumps in volatility, realized range, HAR

5.

Chasing Volatility: A Persistent Multiplicative Error Model with Jumps

Number of pages: 50 Posted: 30 Aug 2014
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Aarhus University - CREATES
Downloads 69 (327,488)
Citation 1

Abstract:

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Multiplicative Error Model with Jumps, Jumps in volatility, Realized measures, Volatility-at-Risk

6.

Estimation of Long Memory in Integrated Variance

Center for Research in Econometrics Analysis of Time Series (CREATES) Working Paper No. 2011-11
Number of pages: 33 Posted: 17 Apr 2011
Eduardo Rossi and Paolo Santucci de Magistris
Department of Economics and Management and Aarhus University - CREATES
Downloads 41 (414,866)

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Realized variance, Long memory, fractional Brownian Motion, Measurement error, Whittle estimator

7.

Indirect Inference with Time Series Observed with Error

Number of pages: 54 Posted: 29 Jan 2018
Eduardo Rossi and Paolo Santucci de Magistris
Department of Economics and Management and Aarhus University - CREATES
Downloads 17 (531,975)
Citation 1

Abstract:

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Indirect inference, measurement error, misspecification, identification, stochastic volatility models

8.

Artificial Regression Testing in the Garch-in-Mean Model

Econometrics Journal, Vol. 8, No. 3, pp. 306-322, December 2005
Number of pages: 17 Posted: 27 Dec 2005
Riccardo Lucchetti and Eduardo Rossi
University Polytechnic of the Marches - Faculty of Economics and Department of Economics and Management
Downloads 12 (561,473)
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GARCH, artificial regressions, Lagrange Multiplier test

9.

Efficient Importance Sampling Maximum Likelihood Estimation of Stochastic Differential Equations

Computational Statistics & Data Analysis, Vol. 54, No. 11, pp. 2753-2762, November 2010
Posted: 14 Apr 2011
Eduardo Rossi and Sergio Pastorello
Department of Economics and Management and University of Bologna - Department of Economics

Abstract:

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Diffusion process, Stochastic differential equation, Transition density, Importance sampling, Simulated maximum likelihood

10.

Model and Distribution Uncertainty in Multivariate GARCH Estimation: A Monte Carlo Analysis

Computational Statistics & Data Analysis, Vol. 54, No. 11, pp. 2786-2800, November 1, 2010
Posted: 25 Aug 2009 Last Revised: 15 Apr 2011
Eduardo Rossi and Filippo Spazzini
Department of Economics and Management and affiliation not provided to SSRN

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