1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.GN2023★ 1 cited
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…
stat.AP2023
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…