1 citations · 1 across the 2 of their papers we have counts for
4 papers
Network log-ARCH models for forecasting stock market volatility
Raffaele Mattera, Philipp Otto
This paper presents a novel dynamic network autoregressive conditional heteroscedasticity (ARCH) model based on spatiotemporal ARCH models to forecast volatility in the US stock ma…
A mixed-frequency approach for exchange rates predictions
Raffaele Mattera, Michelangelo Misuraca, Germana Scepi +1
Selecting an appropriate statistical model to forecast exchange rates is still today a relevant issue for policymakers and central bankers. The so-called Meese and Rogoff puzzle as…
Model-based fuzzy time series clustering of conditional higher moments
Roy Cerqueti, Massimiliano Giacalone, Raffaele Mattera
This paper develops a new time series clustering procedure allowing for heteroskedasticity, non-normality and model's non-linearity. At this aim, we follow a fuzzy approach. Specif…
Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
Roy Cerqueti, Massimiliano Giacalone, Raffaele Mattera
Recently, cryptocurrencies have attracted a growing interest from investors, practitioners and researchers. Nevertheless, few studies have focused on the predictability of them. In…