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Works (14)

starvars: An R Package for Analysing Nonlinearities in Multivariate Time Series

The R Journal
2022-06-21 | Journal article
Part of ISSN: 2073-4859
Contributors: Andrea Bucci; Giulio Palomba; Eduardo Rossi
Source: Self-asserted source
EDUARDO ROSSI

Structural analysis with mixed-frequency data: A model of US capital flows

Economic Modelling
2020-07 | Journal article
Contributors: Emanuele Bacchiocchi; Andrea Bastianin; Alessandro Missale; Eduardo Rossi
Source: Self-asserted source
EDUARDO ROSSI

Independent Factor Autoregressive Conditional Density Model

Econometric Reviews
2015 | Journal article
EID:

2-s2.0-84911984138

Contributors: Ghalanos, A.; Rossi, E.; Urga, G.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

Inference on factor structures in heterogeneous panels

Journal of Econometrics
2015 | Journal article
EID:

2-s2.0-84913555057

Contributors: Castagnetti, C.; Rossi, E.; Trapani, L.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

Testing for no factor structures: On the use of Hausman-type statistics

Economics Letters
2015 | Journal article
EID:

2-s2.0-84925457269

Contributors: Castagnetti, C.; Rossi, E.; Trapani, L.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

Volatility jumps and their economic determinants

Journal of Financial Econometrics
2015 | Journal article
EID:

2-s2.0-84964595256

Contributors: Caporin, M.; Rossi, E.; De Magistris, P.S.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

Estimation of Long Memory in Integrated Variance

Econometric Reviews
2014 | Journal article
EID:

2-s2.0-84893980642

Contributors: Rossi, E.; Santucci de Magistris, P.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

A No-Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges

Journal of Futures Markets
2013 | Journal article
EID:

2-s2.0-84867991970

Contributors: Rossi, E.; Santucci de Magistris, P.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

Euro corporate bond risk factors

Journal of Applied Econometrics
2013 | Journal article
EID:

2-s2.0-84875657775

Contributors: Castagnetti, C.; Rossi, E.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

Long memory and tail dependence in trading volume and volatility

Journal of Empirical Finance
2013 | Journal article
EID:

2-s2.0-84876740276

Contributors: Rossi, E.; Santucci de Magistris, P.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

Long Memory and Periodicity in Intraday Volatility

Journal of Financial Econometrics
2012 | Journal article
EID:

2-s2.0-84949673373

Contributors: Rossi, E.; Fantazzini, D.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

Efficient importance sampling maximum likelihood estimation of stochastic differential equations

Computational Statistics and Data Analysis
2010 | Journal article
EID:

2-s2.0-77955277561

Contributors: Pastorello, S.; Rossi, E.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis

Computational Statistics and Data Analysis
2010 | Journal article
EID:

2-s2.0-77955281432

Contributors: Rossi, E.; Spazzini, F.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

Hedging interest rate risk with multivariate GARCH

Applied Financial Economics
2002 | Journal article
EID:

2-s2.0-0036207855

Contributors: Rossi, E.; Zucca, C.
Source: Self-asserted source
EDUARDO ROSSI via Scopus - Elsevier

Peer review (1 review for 1 publication/grant)

Review activity for Annals of operation research. (1)