Parsimonious and Flexible Parameterizations for Realized Covariance Matrix Models
1 version
EO
Edoardo Otranto
stat.APecon.GNq-fin.ECq-fin.STblock-bootstrapCOVID-19 outbreakecon.EMforecastingfunctional ANOVAFuzzy C-medoids clustering
On Valency
published · living versionsPreprints & journals
13 papers in the corpus · 2016–2026VOLatility Archive for Realized Estimates (VOLARE)
0 citations
Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models
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Clustering Methods for Identifying and Modelling Areas with Similar Temperature Variations
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A Matrix-Variate Log-Normal Model for Covariance Matrices
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Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections
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Spillovers and Co-movements in Multivariate Volatility: A Vector Multiplicative Error Model
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On the Relationship between Markov Switching Models and Fuzzy Clustering: a Nonparametric Method to Detect the Number of States
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Volatility jumps and the classification of monetary policy announcements
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Community mobility in the European regions during COVID-19 pandemic: A partitioning around medoids with noise cluster based on space-time autoregressive models.
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Do Different Models Induce Changes in Mortality Indicators? That Is a Key Question for Extending the Lee-Carter Model.
5 citations
On Classifying the Effects of Policy Announcements on Volatility
7 citations
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach
4 citations
Dataset for petroleum based stock markets and GAUSS codes for SAMEM.
0 citations
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