Access Statistics for Eduardo Rossi

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility 0 0 0 95 0 0 2 349
A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors 0 0 0 100 0 0 0 98
A multivariate GARCH model for exchange rates volatility 0 0 0 550 0 0 1 1,423
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 0 25 1 1 3 113
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 1 2 125
Conditional jumps in volatility and their economic determinants 0 0 3 63 0 0 3 196
Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach 0 0 3 107 2 6 19 217
Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study 0 0 0 40 0 0 0 151
Estimation of long memory in integrated variance 0 0 0 42 0 0 0 120
Estimation of long memory in integrated variance 0 0 0 49 1 2 2 155
Euro corporate bonds risk factors 0 0 0 127 0 0 2 357
Independent Factor Autoregressive Conditional Density Model 0 0 1 138 0 1 5 383
Indirect inference with time series observed with error 0 0 0 55 1 2 3 85
Inference on Factor Structures in Heterogeneous Panels 0 0 0 77 0 0 1 184
Inference on Factor Structures in Heterogeneous Panels 0 0 0 10 0 0 0 53
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 0 137 0 0 1 365
Long memory and Periodicity in Intraday Volatility 0 0 1 135 0 1 2 324
Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis 0 0 0 157 0 0 1 397
Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows 0 0 0 35 0 3 4 106
Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows 0 1 3 99 0 2 12 212
Testing for no factor structures: on the use of average-type and Hausman-type statistics 0 0 0 52 0 1 1 73
Volatility jumps and their economic determinants 0 0 4 70 0 1 6 146
Total Working Papers 0 1 15 2,254 5 21 70 5,632

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges 0 0 0 0 0 0 0 75
A two-stage estimator for heterogeneous panel models with common factors 0 0 0 4 0 1 2 20
Artificial regression testing in the GARCH-in-mean model 0 0 0 111 0 1 4 456
Chasing volatility 0 0 0 20 0 0 2 97
EURO CORPORATE BOND RISK FACTORS 0 0 0 0 0 0 1 81
Efficient importance sampling maximum likelihood estimation of stochastic differential equations 0 0 0 19 0 0 1 145
Estimation of Long Memory in Integrated Variance 0 0 0 6 0 0 0 75
Hedging interest rate risk with multivariate GARCH 0 0 0 223 0 0 0 585
Independent Factor Autoregressive Conditional Density Model 0 0 0 9 0 1 1 79
Indirect inference with time series observed with error 0 1 1 6 0 2 4 26
Inference on factor structures in heterogeneous panels 0 0 0 22 0 0 1 95
Long Memory and Periodicity in Intraday Volatility 0 0 0 12 0 0 0 61
Long memory and tail dependence in trading volume and volatility 0 0 0 27 1 1 1 133
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis 0 0 0 20 0 0 2 100
Structural analysis with mixed-frequency data: A model of US capital flows 0 0 1 15 1 1 3 63
Testing for no factor structures: On the use of Hausman-type statistics 0 0 0 7 0 0 1 77
Univariate GARCH models: a survey (in Russian) 0 0 3 106 1 3 12 265
Volatility Jumps and Their Economic Determinants 0 0 1 8 4 6 8 79
Total Journal Articles 0 1 6 615 7 16 43 2,512

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