6 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…