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Volatility transmission across markets: a Multichain Markov Switching model
Gallo, Giampiero M.; Otranto, Edoardo - In: Applied financial economics 17 (2007) 7-9, pp. 659-670
Persistent link: https://www.econbiz.de/10007751341
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Volatility transmission across markets: a Multichain Markov Switching model
Gallo, Giampiero M.; Otranto, Edoardo - In: Applied financial economics 17 (2007) 8, pp. 659-670
Persistent link: https://www.econbiz.de/10007733598
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The multi-chain Markov switching model
Otranto, Edoardo - In: Journal of forecasting 24 (2005) 7, pp. 523
Persistent link: https://www.econbiz.de/10006874401
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A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
Otranto, Edoardo; Gallo, Giampiero - In: Econometric reviews 21 (2002) 4, pp. 477
Persistent link: https://www.econbiz.de/10006892685
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Models to date the business cycle: The Italian case
Bruno, Giancarlo; Otranto, Edoardo - In: Economic modelling 25 (2008) 5, pp. 899-911
Persistent link: https://www.econbiz.de/10008090067
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A realistic model for official interest rate movements and their consequences
de Dios Tena, Juan; Otranto, Edoardo - In: Applied economics 43 (2011) 29, pp. 4431-4448
Persistent link: https://www.econbiz.de/10009266159
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Models to date the business cycle: The Italian case
Bruno, Giancarlo; Otranto, Edoardo - In: Economic modelling 25 (2008) 5, pp. 899-912
Persistent link: https://www.econbiz.de/10008897180
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VECTOR MULTIPLICATIVE ERROR MODELS: REPRESENTATION AND INFERENCE
Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - 2006
Persistent link: https://www.econbiz.de/10007399215
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Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets
Gallo, Giampiero M.; Granger, Clive W.J.; Jeon, Yongll - In: IMF staff papers 49 (2002) 1, pp. 4-21
Persistent link: https://www.econbiz.de/10007478715
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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - In: Journal of econometrics 131 (2006) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10006747800