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Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy,
Edoardo Otranto,
in Journal of Business Cycle Measurement and Analysis
(2006)
Keywords: Business cycle, State-space model, Time series, Trend, Turning points
The multi-chain Markov switching model,
Edoardo Otranto,
in Journal of Forecasting
(2005)
Asset allocation using flexible dynamic correlation models with regime switching,
Edoardo Otranto,
in Quantitative Finance
(2010)
Keywords: Markov chain, Multivariate GARCH, Portfolio performance, Switching parameters, Volatility,
Volatility clustering in the presence of time-varying model parameters,
Edoardo Otranto,
in Journal of Applied Statistics
(2013)
Capturing the Spillover Effect With Multiplicative Error Models,
Edoardo Otranto,
in Communications in Statistics - Theory and Methods
(2015)
Clustering heteroskedastic time series by model-based procedures,
Edoardo Otranto,
in Computational Statistics & Data Analysis
(2008)
the Multi-State Markov Switching Model,
Edoardo Otranto,
from University Library of Munich, Germany
(2003)
Keywords: regime-switching, multivariate time series, transition probabilities
Classifying the Markets Volatility with ARMA Distance Measures,
Edoardo Otranto,
from University Library of Munich, Germany
(2004)
Keywords: GARCH models, clusters, agglomerative algorithm
Extraction of Common Signal from Series with Different Frequency,
Edoardo Otranto,
from University Library of Munich, Germany
(2005)
Keywords: Business cycle; State-space; Time Series; Trend; Turning Points
Modelling the discrete and infrequent official interest rate change in the UK,
Edoardo Otranto,
from Universidad Carlos III de Madrid. Departamento de EstadÃstica
(2006)
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching,
Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2008)
Keywords: markov chain;multivariate garch;portfolio performance;switching parameters
Spillover Effects in the Volatility of Financial Markets,
Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2012)
Identifying Financial Time Series with Similar Dynamic Conditional Correlation,
Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2008)
Keywords: multivariate garch;dcc;distance;wald test;clustering
Identifying financial time series with similar dynamic conditional correlation,
Edoardo Otranto,
in Computational Statistics & Data Analysis
(2010)
The Markov Switching Asymmetric Multiplicative Error Model,
Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2012)
Keywords: mem models;regime switching;realized volatility;volatility persistence
Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach,
Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2009)
Keywords: dynamic conditional correlation;garch distance;multivariate
Adding Flexibility to Markov Switching Models,
Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2015)
Keywords: abrupt changes;goodness of fit;Hamilton filter;smoothed changes;time–varying parameters
Classification of Volatility in Presence of Changes in Model Parameters,
Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2011)
Keywords: unconditional volatility;clustering;amem;markov switching;smooth transition
Clustering Heteroskedastic Time Series by Model-Based Procedures,
Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2008)
Keywords: wald test;garch models;cluster analysis;ar metrics;agglomerative algorithm
Registered author: Edoardo Otranto
Models to date the business cycle: The Italian case,
Giancarlo Bruno and Edoardo Otranto,
in Economic Modelling
(2008)
Does Crime Affect Economic Growth?,
Claudio Detotto and Edoardo Otranto,
in Kyklos
(2010)
Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter,
Roberto Iannaccone and Edoardo Otranto,
from University Library of Munich, Germany
(2003)
Keywords: smoothing parameter, cubic spline, state-space model, irregular surveys.
Dating the Italian Business Cycle: A Comparison of Procedures,
Giancarlo Bruno and Edoardo Otranto,
from University Library of Munich, Germany
(2003)
Keywords: signal extraction, turning points, parametric methods, nonparametric methods
The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach,
Giancarlo Bruno and Edoardo Otranto,
from University Library of Munich, Germany
(2004)
Keywords: Linear filters, Structural break, Distance.
Volatility transmission across markets: a Multichain Markov Switching model,
Giampiero Gallo and Edoardo Otranto,
in Applied Financial Economics
(2007)
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS,
Edoardo Otranto and Giampiero Gallo,
in Econometric Reviews
(2002)
Keywords: Markov switching models, Nuisance parameters, Specification testing, Exchange rate determination, JEL Classification: C2, C5, F3,
The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools,
Giancarlo Bruno and Edoardo Otranto,
from ISTAT - Italian National Institute of Statistics - (Rome, ITALY)
(2001)
Keywords: Linear filters, Structural break, Distance.
Dating the Italian BUsiness Cycle: A Comparison of Procedures,
Giancarlo Bruno and Edoardo Otranto,
from ISTAT - Italian National Institute of Statistics - (Rome, ITALY)
(2004)
Keywords: business cycle, turning points, parametric methods, nonparametric methods.
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models,
Luc Bauwens and Edoardo Otranto,
in Journal of Financial Econometrics
(2023)
Keywords: dynamic covariances and correlations, Hadamard exponential matrix, realized covariances
Modeling the Dependence of Conditional Correlations on Market Volatility,
Luc Bauwens and Edoardo Otranto,
in Journal of Business & Economic Statistics
(2016)
Modeling the dependence of conditional correlations on volatility,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2013)
Keywords: volatility effects, conditional correlation, DCC, Markov switching
Nonlinearities and regimes in conditional correlations with different dynamics,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2018)
Keywords: dynamic conditional correlations, regime-switching dynamic correla- tions, Hadamard exponential matrix
Realized Covariance Models with Time-varying Parameters and Spillover Effects,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2023)
Keywords: Realized volatility ; spillover effect ; attenuation effect ; time-varying parameters
Modeling the dependence of conditional correlations on market volatility,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2016)
Nonlinearities and regimes in conditional correlations with different dynamics,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2020)
Keywords: Dynamic conditional correlations ; Regime-switching dynamic correlations ; Hadamard exponential matrix
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2022)
Keywords: Dynamic covariances and correlations ; Hadamard exponential matrix ; realized covariances
A Flexible Specification of Space–Time AutoRegressive Models,
M. Mucciardi and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2016)
Keywords: spatial weight matrix;space–time models;forecasting;clustering
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach,
Giampiero Gallo and Edoardo Otranto,
in Journal of the Royal Statistical Society Series C
(2018)
Volatility spillovers, interdependence and comovements: A Markov Switching approach,
Giampiero Gallo and Edoardo Otranto,
in Computational Statistics & Data Analysis
(2008)
Forecasting realized volatility with changing average levels,
Giampiero Gallo and Edoardo Otranto,
in International Journal of Forecasting
(2015)
Keywords: Evaluating forecasts; MEM; Regime switching; Robustness; Volatility forecasting;
Financial clustering in presence of dominant markets,
Edoardo Otranto and Romana Gargano,
in Advances in Data Analysis and Classification
(2015)
Keywords: MEM, Unconditional volatility, Spillover effect , Common dynamics, AR distance, 62H30, 91G70, 91G80,
Clustering space-time series: FSTAR as a flexible STAR approach,
Edoardo Otranto and Massimo Mucciardi,
in Advances in Data Analysis and Classification
(2019)
Keywords: Clustering, Forecasting, Space–time models, Spatial weight matrix
Does Crime Affect Economic Growth?,
Claudio Detotto and Edoardo Otranto,
from HAL
(2010)
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors,
Claudio Detotto and Edoardo Otranto,
from HAL
(2012)
Misura dell’effetto criminalità sull’economia italiana,
Claudio Detotto and Edoardo Otranto,
from HAL
(2009)
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models,
Edoardo Otranto and Giampiero Gallo,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2001)
Keywords: Markov switching models; nuisance parameters; specification testing; exchange rate determination.
Volatility Transmission in Financial Markets: A New Approach,
Giampiero Gallo and Edoardo Otranto,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2005)
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model,
Giampiero Gallo and Edoardo Otranto,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2006)
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach,
Giampiero Gallo and Edoardo Otranto,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2007)
Keywords: Markov Switching, multiple chains, volatility, spillover effect, comovements.
Realized Volatility and Change of Regimes,
Giampiero Gallo and Edoardo Otranto,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2012)
Keywords: Multiplicative Error Models, regime switching, realized volatility, volatility persistence
Volatility Swings in the US Financial Markets,
Giampiero Gallo and Edoardo Otranto,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2012)
Keywords: Multiplicative Error Models, regime switching, realized volatility, volatility persistence, smooth transition
Forecasting Realized Volatility with Changes of Regimes,
Giampiero Gallo and Edoardo Otranto,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2014)
Keywords: MEM, regime switching, realized volatility, volatility persistence, volatility forecasting
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM,
Giampiero Gallo and Edoardo Otranto,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2016)
Keywords: Volatility, Regime switching, Smooth transition, Forecasting, Turbulence, Multiplicative Error Models, MEM
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach,
Giampiero Gallo and Edoardo Otranto,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2017)
Keywords: Volatility modeling, Volatility forecasting, Multiplicative Error Model, Markov Switching, Smooth Transition, Common Trend
Nonlinearities and regimes in conditional correlations with different dynamics,
Luc Bauwens and Edoardo Otranto,
in Journal of Econometrics
(2020)
Keywords: Dynamic conditional correlations; Regime-switching dynamic correlations; Hadamard exponential matrix;
Classifying Italian Pension Funds via GARCH Distance,
Edoardo Otranto and Alessandro Trudda,
from Springer
(2008)
Keywords: Agglomerative algorithm, Cluster analysis, GARCH models, Pension funds, Risk profile
Clustering Mutual Funds by Return and Risk Levels,
Francesco Lisi and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2008)
Keywords: cluster;distance;garch models;risk
Financial Clustering in Presence of Dominant Markets,
R. Gargano and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2013)
Keywords: MEM;unconditional volatility;spillover effect;common dynamics;AR distance
A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime,
Claudio Detotto and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2010)
Keywords: crowding-out effects;crime;business cycle;kalman filter;impulse response analysis;economic growth
Cycles in Crime and Economy Revised,
Claudio Detotto and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2011)
Keywords: common factors;dynamic factor models;business cycle;crime
The choice of time interval in seasonal adjustment: A heuristic approach,
Giancarlo Bruno and Edoardo Otranto,
in Statistical Papers
(2006)
Keywords: Linear filters, Structural break, Distance,
Clustering Space-Time Series: A Flexible STAR Approach,
Edoardo Otranto and M. Mucciardi,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2017)
Keywords: clustering;forecasting;space–time models;spatial weight matrix
Modeling the Dependence of Conditional Correlations on Volatility,
Luc Bauwens and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2013)
Keywords: volatility effects;conditional correlation;dcc;markov switching
Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors,
Claudio Detotto and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2010)
Keywords: business cycle;crime;common factors;dynamic factor models
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models,
Luc Bauwens and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2020)
Keywords: realized covariances;dynamic covariances and correlations;Hadamard exponential matri
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2020)
Keywords: realized covariances ; dynamic covariances and correlations ; Hadamard exponential matrix
Patterns of volatility transmissions within regime switching across GCC and global markets,
Ahmed Khalifa, Shawkat Hammoudeh and Edoardo Otranto,
in International Review of Economics & Finance
(2014)
Keywords: GCC markets; Global Markets; Multi-chain MS model; Transmissions;
Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets,
Ahmed Khalifa, Shawkat Hammoudeh and Edoardo Otranto,
in Economic Modelling
(2014)
Keywords: GCC markets; Global markets; Multi-chain MS model; Hedging effectiveness; Portfolio weights;
Spatial effects in dynamic conditional correlations,
Edoardo Otranto, Massimo Mucciardi and Pietro Bertuccelli,
in Journal of Applied Statistics
(2016)
A realistic model for official interest rate movements and their consequences,
Juan de Dios Tena and Edoardo Otranto,
in Applied Economics
(2011)
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach,
Demetrio Lacava, Giampiero Gallo and Edoardo Otranto,
from arXiv.org
(2021)
On Classifying the Effects of Policy Announcements on Volatility,
Giampiero Gallo, Demetrio Lacava and Edoardo Otranto,
from arXiv.org
(2021)
Volatility jumps and the classification of monetary policy announcements,
Giampiero Gallo, Demetrio Lacava and Edoardo Otranto,
from arXiv.org
(2023)
Unconventional policies effects on stock market volatility: The MAP approach,
Demetrio Lacava, Giampiero Gallo and Edoardo Otranto,
in Journal of the Royal Statistical Society Series C
(2022)
Frontiers in Time Series Analysis: Introduction,
Anindya Banerjee, Giampiero Gallo and Edoardo Otranto,
in Oxford Bulletin of Economics and Statistics
(2006)
Realized volatility forecasting: Robustness to measurement errors,
Fabrizio Cipollini, Giampiero Gallo and Edoardo Otranto,
in International Journal of Forecasting
(2021)
Keywords: Realized volatility; Forecasting; Measurement errors; HAR; AMEM; Markov switching; Volatility of volatility; MCS;
Analisi degli effetti del residuo fiscale,
Claudio Detotto, Edoardo Otranto and Riccardo Marselli,
from HAL
(2015)
On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence,
L. Scaffidi Domianello and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2023)
Keywords: Simulations;Number of states;Nuisance parameters;Markov chains;Groups identification
Realized Volatility Forecasting: Robustness to Measurement Errors,
Fabrizio Cipollini, Giampiero Gallo and Edoardo Otranto,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2019)
Keywords: Realized volatility, Forecasting, Measurement errors, HAR, AMEM, Markov switching, Volatility of volatility
A Realistic Model for Official Interest Rates,
Juan de Dios Tena and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2008)
Keywords: monetary shocks;impulse-response functions;monetary policy
Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models,
M. Bigeco, E. Grosso and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2008)
Keywords: markov models;asymmetries;binary data;short-time forecasts
Measuring the Effects of Unconventional Policies on Stock Market Volatility,
Giampiero Gallo, D. Lacava and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2020)
Keywords: Unconventional monetary policy;realized volatility;Multiplicative Error Model;Model Confidence Set;Financial market
Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment,
Ahmed Khalifa, S. Hammoudeh and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2012)
Keywords: oil price;multi-chain ms model;volatility transmissions;gcc markets;s&p 500
Spatial Effects in Dynamic Conditional Correlations,
P. Bertuccelli, M. Mucciardi and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2014)
Keywords: time-varying correlation;space-time correlation;gaussian kernel;weight matrix
On Classifying the Effects of Policy Announcements on Volatility,
Giampiero Gallo, D. Lacava and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2020)
Keywords: Markov switching model;Unconventional monetary policies;Stock market volatility;Multiplicative Error Model;Smoothed Probabilities;Model–based clustering.
Volatility jumps and the classification of monetary policy announcements,
Giampiero Gallo, D. Lacava and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2023)
Keywords: Financial markets;realized volatility;Significant jumps;Monetary policy an- nouncements;Multiplicative Error Model
Forecasting the macro determinants of bank credit quality: a non-linear perspective,
Maria Grazia Fallanca, Antonio Fabio Forgione and Edoardo Otranto,
in Journal of Risk Finance
(2020)
Keywords: Forecasts, Bank loan default, Markov-switching model
Volatility transmission across currencies and commodities with US uncertainty measures,
Ahmed Khalifa, Edoardo Otranto, Shawkat Hammoudeh and Sanjay Ramchander,
in The North American Journal of Economics and Finance
(2016)
Keywords: Markov switching; Commodities; FX; US uncertainty measures; Volatility transmission;
Do Different Models Induce Changes in Mortality Indicators? That Is a Key Question for Extending the Lee-Carter Model,
Ana Debón, Steven Haberman, Francisco Montes and Edoardo Otranto,
in IJERPH
(2021)
Keywords: Lee-Carter models; block-bootstrap; functional ANOVA; forecasting; mortality indicators
Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS,
Luca Scaffidi Domianello, Giampiero Gallo and Edoardo Otranto,
in Oxford Bulletin of Economics and Statistics
(2024)
Indirect estimation of Markov switching models with endogenous switching,
Edoardo Otranto, Giorgio Calzolari and Francesca Di Iorio,
from University Library of Munich, Germany
(2005)
Keywords: Markov switching models; indirect inference; simulation estimation; Monte Carlo
Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation,
Ahmed Khalifa, S. Hammoudeh, Edoardo Otranto and S. Ramchander,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2012)
Keywords: volatility;interdependence;spillover;comovement;hedging;portfolio allocation
Model effect on projected mortality indicators,
A. Debòn, S. Haberman, F. Montes and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2012)
Keywords: functional data analysis;mortality indicators;block-bootstrap
Reducing Bias in a Matching Estimation of Endogenous Treatment Effect,
A. Di Pino, Maria Gabriella Campolo and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2018)
Keywords: endogenous component of propensity scores;endogenous treatment;propensity score matching;State-Space Model
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS,
L. Scaffidi Domianello, Giampiero Gallo and Edoardo Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2022)
Keywords: MIDAS;markov switching;Short– and Long–Run Components;realized volatility;Multiplicative Error Model
Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach,
Mariagrazia Fallanca, Antonio Fabio Forgione and Edoardo Otranto,
in JRFM
(2021)
Keywords: delinquency rates; macroeconomic factors; Dynamic Conditional Correlation; non-linear autoregressive models
Il residuo fiscale nelle regioni italiane,
Maria Giovanna Brandano, Claudio Detotto, Marta Meleddu, Edoardo Otranto and Manuela Pulina,
from HAL
(2015)
A Vector Multiplicative Error Model with Spillover Effects and Co-movements,
E. Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2024)
Keywords: vector of volatility;multiplicative factors;model-based clustering;high-low range;high-dimensional time series
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics,
Luc Bauwens and E. Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2018)
Keywords: dynamic conditional correlations;regime-switching dynamic correlations;Hadamard exponential matrix
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