1 citations · 1 across the 9 of their papers we have counts for
10 papers
VOLatility Archive for Realized Estimates (VOLARE)
Fabrizio Cipollini, Giulia Cruciani, Giampiero M. Gallo +3
VOLARE (VOLatility Archive for Realized Estimates - https://volare.unime.it) is an open research infrastructure providing standardized realized volatility and covariance measures c…
Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections
Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto
This paper examines the dynamic relationship between electoral polls and indicators of economic and financial uncertainty during the last two U.S. presidential elections (2020 and…
A Matrix-Variate Log-Normal Model for Covariance Matrices
Edoardo Otranto
We propose a modeling framework for time-varying covariance matrices based on the assumption that the logarithm of a realized covariance matrix follows a matrix-variate oNrmal dist…
Clustering Methods for Identifying and Modelling Areas with Similar Temperature Variations
Edoardo Otranto
This paper proposes a novel data-driven approach for identifying and modelling areas with similar temperature variations throufigureh clustering and Space-Time AutoRegressive (STAR…
Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models
Demetrio Lacava, Edoardo Otranto
This paper investigates the impact of Trade Policy Uncertainty (TPU) on stock-bond correlation dynamics in the United States. Using daily data on major U.S. stock indices and the 1…
Spillovers and Co-movements in Multivariate Volatility: A Vector Multiplicative Error Model
Edoardo Otranto, Luca Scaffidi Domianello
Recent developments in financial time series focus on modeling volatility across multiple assets or indices in a multivariate framework, accounting for potential interactions such…
Volatility jumps and the classification of monetary policy announcements
Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto
Central Banks interventions are frequent in response to exogenous events with direct implications on financial market volatility. In this paper, we introduce the Asymmetric Jump Mu…
On the Relationship between Markov Switching Models and Fuzzy Clustering: a Nonparametric Method to Detect the Number of States
Edoardo Otranto, Luca Scaffidi Domianello
Markov Switching models have had increasing success in time series analysis due to their ability to capture the existence of unobserved discrete states in the dynamics of the varia…
On Classifying the Effects of Policy Announcements on Volatility
Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, includi…
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach
Demetrio Lacava, Giampiero M. Gallo, Edoardo Otranto
Taking the European Central Bank unconventional policies as a reference, we suggest a class of Multiplicative Error Models (MEM) taylored to analyze the impact such policies have o…