Eduardo Rossi

Department of Economics and Management

Prof

Via San Felice 5

27100 Pavia

Italy

  • Department of Economics and Management

SCHOLARLY PAPERS

10

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1,521

TOTAL CITATIONS
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in Total Papers Citations

23

Scholarly Papers (10)

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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 State University
Downloads 374 (168,616)
Citation 5

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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 Luiss University of Rome
Downloads 252 (256,140)
Citation 4

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

3.

Switching Regime Integer Autoregressions

Number of pages: 37 Posted: 04 Sep 2020 Last Revised: 05 Oct 2023
Leopoldo Catania, Eduardo Rossi and Paolo Santucci de Magistris
Aarhus University - School of Business and Social Sciences, Department of Economics and Management and Luiss Guido Carli University
Downloads 203 (315,532)

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Integer number autoregressive, counts, hidden-Markov, overdispersion, high-frequency, trading volume

4.

Conditional Jumps in Volatility and Their Economic Determinants

Number of pages: 42 Posted: 09 Sep 2011
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Luiss University of Rome
Downloads 179 (354,000)
Citation 8

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volatility, jumps in volatility, realized range, HAR

5.

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 Luiss University of Rome
Downloads 166 (378,211)
Citation 2

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

6.

Chasing Volatility: A Persistent Multiplicative Error Model with Jumps

Number of pages: 50 Posted: 30 Aug 2014
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Luiss University of Rome
Downloads 126 (473,411)
Citation 3

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

7.

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 Luiss University of Rome
Downloads 120 (497,919)

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

8.

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 Luiss University of Rome
Downloads 101 (558,658)
Citation 1

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

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

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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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