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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1,410

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 School of Economics, Moscow State University
Downloads 370 (161,602)
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 233 (262,273)
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 184 (325,302)

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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 176 (338,487)
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 (357,965)
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 120 (461,552)
Citation 3

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

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 Luiss University of Rome
Downloads 94 (548,957)
Citation 1

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

8.

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 67 (665,675)

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

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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