HOME

• "Regime changes and spatial dependence in the 2020 US presidential election polls" (2025) (with G.M. Gallo and D. Lacava), Spatial Statistics, https://www.sciencedirect.com/science/article/pii/S2211675325000491?via%3Dihub

• "The Impact of WTI Futures on Shanghai Crude Futures: Identifying Spillover Effects on Crude Oil Prices using the Multiplicative Error Model" (2025) (with A.F. Forgione, C. Migliardo, L. Scaffidi Domianello), Journal of Economic Studies, https://doi.org/10.1108/JES-02-2025-0132 

• "On using fuzzy clustering for detecting the number of states in Markov switching models" (2025) (with L. Scaffidi Domianello), Annals of Operations Research  349, 1855-1890. https://doi.org/10.1007/s10479-025-06585-w 

• "Realized Covariance Models with Time-varying Parameters and Spillover Effects" (2025) (with L. Bauwens), Statistical Modelling, https://doi.org/10.1177/1471082X251324273 .

• "Modeling meaningful volatility events to classify monetary policy announcements" (2025) (with G.M. Gallo and D. Lacava), Big Data Research 40, 100517 https://www.sciencedirect.com/science/article/abs/pii/S2214579625000127

• "HAR-based realized volatility clustering" (2024) (with P. D'Urso, R. Mattera and L. Scaffidi Domianello), in Statistical Analysis of Complex Economic Data: Recent Developments and Applications  (E. Fabrizi, F.A. Giambona, C. Marini, A. Marletta, A. Rocca, eds.), pp. 84-87, Bonechi, Firenze.

• "Nonlinear HAR Models and Nonlinear Least Squares: Asymptotic Properties" (2024) (with E. Dzuverovic), in Advanced Methods in Statistics, Data Science and Related Applications (M. Bini, A. Balzanella, L. Masserini, R. Verde, Eds.), pp. 205-221, Springer Nature, https://doi.org/10.1007/978-3-031-65699-6_7

• "Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS " (2024) (with L. Scaffidi Domianello and G.M. Gallo), Oxford Bulletin of Economics and Statistics 86 (1), 21-43.  https://onlinelibrary.wiley.com/doi/10.1111/obes.12576

• "Long and Short run dynamics in Realized Covariance Matrices: a Robust MIDAS Approach" (2023) (with L. Scaffidi Domianello), in "Statistical Modelling and Risk Analysis. ICRA 2022. Springer Proceedings in Mathematics & Statistics",  vol 430. (C.P. Kitsos, T.A. Oliveira, F. Pierri, M. Restaino Eds.), 169-186. Springer, Cham. https://doi.org/10.1007/978-3-031-39864-3_14 ".

• "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models" (2023) (with L. Bauwens), Journal of Financial Econometrics 21 (4), 1376-1401, https://doi.org/10.1093/jjfinec/nbac007 .

• "Reducing Bias of the Matching Estimator of Treatment Effect in a Nonexperimental Evaluation Procedure" (2023) (with M.G. Campolo and A. Di Pino Incognito),  in Models for Data Analysis (E. Brentari, M. Chiodi,  E.-J. C. Wit Eds.), Springer.

• "Unconventional Policies Effects on Stock Market Volatility: The MAP Approach " (2022) (with G.M. Gallo and D. Lacava), Journal of the Royal Statistical Society: Series C, 71, 1245-1265. doi/10.1111/rssc.12574

• "Community mobility in the European regions during COVID-19 pandemic: a Partitioning Around Medoids with noise cluster based on space-time autoregressive models " (2022) (with P. D'Urso, M. Mucciardi, V. Vitale), Spatial Statistics, Volume 49, June 2022, 100531,

• "On Classifying the Effects of Policy Announcements on Volatility" (2021) (with G. M. Gallo, D. Lacava), International Journal of Approximate Reasoning, 134, 23-33.

• "Do different models induce changes in mortality indicators? That is a key question for extending the Lee-Carter model" (2021) (with A. M. Debón, S. Haberman, F. Montes),  International Journal of Environmental Research and Public Health 18(4), 2204; https://doi.org/10.3390/ijerph18042204 

• "Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach" (2021)  (with M. Fallanca and A.F. Forgione), Journal of Risk and Financial Management 14, 21, . https://doi.org/ 10.3390/jrfm14010021.

• "Realized Volatility Forecasting: Robustness to Measurement Errors" (2021) (with F. Cipollini and G.M. Gallo), International Journal of Forecasting, 37, 44-57. doi https://doi.org/10.1016/j.ijforecast.2020.02.009

• "Forecasting the Macro Determinants of Bank Credit Quality: A Non-Linear Perspective" (2020) (with M. Fallanca and A.F. Forgione), Journal of Risk Finance, 21, 423-443.

• "Nonlinearities and Regimes in Conditional Correlations with Different Dynamics" (2020) (with L. Bauwens), Journal of Econometrics 217, 496-522.

• " Clustering Space-Time Series: FSTAR as a Flexible STAR Approach" (2019)(with M. Mucciardi), Advances in Data Analysis and Classification 13, 175-199.

• "Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach" (2018) (with G.M. Gallo), Journal of the Royal Statistical Society- Series C Applied Statistics,  67, 549-573.

• "Dataset for Petroleum Based Stock Markets and GAUSS Codes for SAMEM" (2017) (with A.A.A. Khalifa and P. Bertuccelli), Data Brief, 10, 421-425.

• "Adding Flexibility to Markov Switching Models" (2016), Statistical Modelling, 16(6), 477-498.

• "Modeling the Dependence of Conditional Correlations on Market Volatility" (2016) (with L. Bauwens), Journal of Business and Economic Statistics, 34 (2), 254-268.

• "Volatility Transmissions across Currencies and Commodities with US Uncertainty Measures" (2016) (with  A.A.A: Khalifa, S. Hammoudeh and S. Ramchander), North American Journal of Economics and Finance, 37, 63-83.

• "Spatial Effects in Dynamic Conditional Correlations" (2016)  (with M. Mucciardi and P. Bertuccelli), Journal of Applied Statistics. 43, 604-626.

• "Proceedings of the 1st International Workshop on Advanced Analytics and Learning on Temporal Data" (2015) (Editor with A. Douzal-Chouakria, J.A. Vilar Fernandez, P.-F. Marteau, A. E. Maharaj, A. M. Alonso Fernandez, M.-I. Nicolae), Porto, Portugal, September 11, 2015, http://ceur-ws.org/Vol-1425/

• "Capturing the Spillover Effect with Multiplicative Error Models" (2015), Communications in Statistics-Theory and Methods, 44, 3173-3191. 

• "Financial Clustering in Presence of Dominant Markets" (2015) (with R. Gargano), Advances in Data Analysis and Classification, 9, 315-339.

• "Forecasting Realized Volatility with Changing Average Volatility Levels" (2015) (with G. M. Gallo), International Journal of Forecasting, 31, 620-634.

• "Extracting Portfolio Management Strategies from Volatility Transmission Models in Regime-changing Environments: Evidence from GCC and Global Markets"  (2014) (with  A.A:A: Khalifa and S. Hammoudeh), Economic Modelling 41, 365-374.

• "Patterns of Volatility Transmissions within Regime Switching across GCC and Global Markets" (2014) (with  A.A.A. Khalifa and S. Hammoudeh), International Review of Economics and Finance 29, 512-524 http://dx.doi.org/10.1016/j.iref.2013.08.002

• "Volatility Clustering in the Presence of Time-Varying Model Parameters" (2013), Journal of Applied Statistics 40, 901-915.

• "Volatility Swings in the US Financial Markets" (2013) (with G.M. Gallo), in Complex Models and Computational Methods in Statistics (Grigoletto M., Lisi, F., Petrone S., eds.), Springer, 137-148

• "A GARCH-Variance Dependent Approach to Modelize Dynamic Conditional Correlations" (2012), Journal of Applied Statistical Science 20, 101-118

• "The Factorial Asymmetric Multiplicative Error Model: Preliminary Results" (2012), Quaderni di Statistica 14, 181-184.

• "Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors" (2012) (with  C. Detotto), Journal of Quantitative Criminology 28, 295-317.

  • "A Realistic Model for Official Interest Rates Movements and Their Consequences" (2011) (with J. Tena Horrillo), Applied Economics 43,4431-4447

  • "Does crime affect the economic growth?" (2010) (with C. Detotto), Kyklos 63, 330-345. 

  • "Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching" (2010), Quantitative Finance 10, 325-338.

  • "Identifying Financial Time Series with Similar Dynamic Conditional Correlation" (2010), Computational Statistics and Data Analysis 54, 1-15.

  • "Clustering Mutual Funds by Return and Risk Levels" (2010) (with F. Lisi), in Mathematical and Statistical Methods for Actuarial Sciences and Finance (M. Corazza, C. Pizzi Eds.), 183-191. Springer.

  • "Turning Point Detection Using Markov Switching Models with Latent Information" (2010), in Data Analysis and Classification (C. Lauro, F. Palumbo, M. Greenacre eds.),  337-344. Springer.

  • "Analyzing the sign of financial local trends via Hidden Markov Models" (2009) (with M. Bicego, E. Grosso), Medium for Econometric Applications 16 (4), 16-22.

  • "Statistics for Spatio-Temporal Modelling", (2008), (Editor with D. Cocchi, J. Mateu, F. Montes, E. Porcu, A. Usai),  EDES, Sassari.

  • "A Time Varying Hidden Markov Model with Latent Information" (2008), Statistical Modelling 8, 347-366.

  • "A Hidden Markov Model approach to classify and predict the sign of financial local trends" (2008) (with M. Bicego and E. Grosso),  in Proc. IAPR Int. workshop on  Statistical Techniques in Pattern Recognition (SPR2008), Lecture Notes in Computer Science 5342, 852-861.

  • "Clustering Heteroskedastic Time Series by Model-Based Procedures" (2008), Computational Statistics and Data Analysis 52, 4685-4698.

  • "Models to Date the Business Cycle: the Italian Case" (with G. Bruno) (2008), Economic Modelling 25, 899-911.

  • "Evaluating the risk of pension funds by statistical procedures" (with A. Trudda) (2008),  in "Transition Economies: 21st Century Issues and Challenges."  (G.M. Lakatos Ed.), Ch. 7, 189-204, Nova Science Publisher,  Hauppauge, NY.

  • "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach" (2008) (with G. M. Gallo), Computational Statistics and Data Analysis 52, 3011-3026.

  • "Classifying the Italian pension funds via GARCH distance" (with A. Trudda) (2008), in "Mathematical and Statistical Methods for Insurance and  Finance" ( Eds. C. Perna, M. Sibillo Eds.), Springer, 189-197.

  • "Testing for Equal Predictability of Stationary ARMA Models" (with U. Triacca) (2007), Journal of Applied Statistics 34, 1091-1108.

  • "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model" (with G.M. Gallo) (2007), Applied Financial Economics 17, 659-670.

  • "Frontiers in Time Series Analysis" (Editor with  A. Banerjee e G.M. Gallo) (2006), Oxford Bulletin of Economics and Statistics  68, issue s1

  • "Imputation of Missing Values for Longitudinal Data: an Application to the Italian Building Permits" (with F. Bacchini and R. Iannaccone) (2006), Rivista Ufficiale di Statistica 1, 27-42.

  • "The Choice of Time Interval in Seasonal Adjustment: a Heuristic Approach" (2006), (with G. Bruno), Statistical Papers 47, 393-417

  • "Extracting a Common Cycle from Series with Different Frequency: An Application to the Italian Economy" (2005), Journal of Business Cycle Measurement and Analysis 2, 407-430..

  • "Continuous Time Models to Extract a Signal in Presence of irregular Surveys" (with R. Iannaccone) (2005), Statistica & Applicazioni 3

  • "Dating the Italian Business Cycle: A Comparison of Procedures" (with G. Bruno) (2005), in "Business Cycles: Country Experiences" (Ed. V. V. Ramani), The ICFAI University Press, 30-49.

  •  "The Multi-Chain Markov Switching Model" (2005),  Journal of Forecasting  24(7), 523-537.

  • "Classifying the Markets Volatility with ARMA Distance Measures" (2005),  Quaderni di Statistica, 6, 1-19.

  • "Measures to Evaluate the Discrepancy between Direct and Indirect Model-Based Seasonal Adjustment" (2002),  (with U. Triacca), Journal of Official Statistics 18, 511:530. A synthesis of this article was selected and published on Quality Control and Applied Statistics, (2004), 49, 93:96.

  • "A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models" (2002)  (with G. M. Gallo), Econometric Reviews, 21, 477:496.

  • "The Stock and Watson Model with Markov Switching Dynamics: an Application to the Italian Business Cycle" (2001) Statistica Applicata, 13, 413:429.

  • "Avversione al matrimonio? L'esperienza della popolazione irlandese dopo la grande carestia (1851:1911)", (with L. Kennedy, L. Pozzi), Popolazione e Storia (2000), numero unico, 75-95.

  • "Inflazione in Italia (1970-1996): non linearità, asimmetrie e cambiamenti di regime" (1999), (with G. M. Gallo), in Ricerche quantitative per la politica economica-1997, Banca d'Italia, 371:406.

  • "Regression Diagnostic Techniques to Detect Space-to-Time Ratios in STARMA Models", (with G. M. Gallo)  METRON (1994), 52, n. 3-4, 129:145

Working Papers

• "A Vector Multiplicative Error Model with Spillover Effects and Co-movements" (2024), CRENoS Working Paper 2024/04

• "Realized Covariance Models with Time-varying Parameters and Spillover Effects"  (2023) (with L. Bauwens),  CORE Discussion Paper 2023/19

• "Volatility jumps and the classification of monetary policy announcements " (2023) (with G.M. Gallo and D. Lacava), CRENoS Working Paper 2023/06

• "On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence " (2023) (with L. Scaffidi Domianello), CRENoS Working Paper 23_04

• "Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS" (2022) (with  L. Scaffidi Domianello and G.M. Gallo), CRENoS Working Paper 22_05

• "On Classifying the Effects of Policy Announcements on Volatility" (2020) (with G.M. Gallo and D. Lacava), CRENoS Working Paper 2020/08

• "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models"  (2020) (with L. Bauwens), CRENoS Working Paper 2020/07 and CORE WP 2020/34

• "Measuring the Effects of Unconventional Policies on Stock Market Volatility" (2020) (with D. Lacava and G.M. Gallo), CRENoS Working Paper 2020/06

• "Realized Volatility Forecasting: Robustness to Measurement Errors" (2019) (with F. Cipollini and G.M. Gallo), DISIA Working Paper 2019/04

• "Reducing Bias in a Matching Estimation of Endogenous Treatment Effect" (2018) (with M.G. Campolo and A. Di Pino Incognito), CRENoS Working Paper 2018/05

• "Nonlinearities and Regimes in Conditional Correlations with Different Dynamics" (2018) (with L. Bauwens). CRENoS Working Paper 2018/03; CORE Discussion Paper 2018/09.

  • "Clustering Space-Time Series: A Flexible STAR Approach"  (2017)(with M. Mucciardi). CRENoS Working Paper 2017/07.

  • "Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach" (2017) (with G.M. Gallo), DISIA Working Paper 2017/05

• “A Flexible Specification of Space-Time Autoregressive Models” (with M. Mucciardi), CRENoS Working Paper 2016/08

  • " Combining Markov Switching and Smooth Transition in Modeling Volatility: a Fuzzy Regime MEM" (2016) (with G.M. Gallo), DISIA Working Paper 2016/02

  • "Adding Flexibility to Markov Switching Models" (2015), CRENoS Working Paper 2015/09; GAUSS code to estimate the FSMS-AR model  Gauss code to estimate a FSMS-GARCH model Gauss code to estimate a FSMS-RSDC model

  • "Spatial Effects in Dynamic Conditional Correlations" (2014) (with M. Mucciardi and P. Bertuccelli), CRENoS Working Paper 2014/06

  • "Financial Clustering in Presence of Dominant Markets" (2013) (with R. Gargano),  CRENoS Working Paper 2013/18

  • "Modeling the Dependence of Conditional Correlations on Volatility" (2013) (with L. Bauwens),  CRENoS Working Paper 2013/04; CORE Discussion Papers 2013/14, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

• "Volatility Swings in the US Financial Markets" (2012) (with G.M. Gallo), Working Paper Dipartimento di Statistica "G. Parenti",  2012/03

  • "Realized Volatility and Change of Regimes" (2012) (with G.M. Gallo), Working Paper Dipartimento di Statistica "G. Parenti",  2012/02

  • "Spillover Effects in the Volatility of Financial Markets", CRENoS Working Paper 2012/17.

  • "Model Effect on Projected Mortality Indicators" (2012) (with A. Debon, S. Haberman and F. Montes), CRENoS Working Paper 2012/15

  • "Volatility Transmission across Currency, Commodity and Equity Markets under Multi Chain Regime Switching: Implications for Hedging and Portfolio Allocation" (2012) (with A. Khalifa, S. Hammoudeh and S. Ramchander),  CRENoS Working Paper 2012/14

  • "Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment" (2012)  (with A. Khalifa and S. Hammoudeh), CRENoS Working Paper 2012/09.

  • "The Markov Switching Asymmetric Multiplicative Error Model" (2012) (with G. M. Gallo), CRENoS Working Paper  2012/05

  • "Classification of Volatility in Presence of Changes in Model Parameters" (2011), CRENoS Workimg Paper  2011/13

  • "Cycles in Crime and Economy Revised" (2011) (with C. Detotto), CRENoS Working Paper  2011/07

• "Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors" (2010) (with C. Detotto), CRENoS Working Paper 2010/23

  • "A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime" (2010) (with C. Detotto), CRENoS Working Paper 2010/02

  • "Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach" (2009), CRENoS Working Paper 2009/17

  • "Identifying Financial Time Series with Similar Dynamic Conditional Correlation" (2008), CRENoS Working Paper 2008/17

  • "Clustering Mutual Funds by Return and Risk Levels" (2008) (with F. Lisi), CRENoS Working Paper 2008/13

  • "Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching" (2008),   CRENoS Working Paper 2008/10

  • "Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models" (2008) (with M. Bicego and E. Grosso), CRENoS Working Paper 2008/03

  • "A Realistic Model for Official Interest Rates" (2008) (with J. Tena Horrillo) CRENoS Working Paper 2008/02

  • "Clustering Heteroskedastic Time Series by Model-Based Procedures" (2008) CRENoS Working Paper 2008/01

  • "Modelling the Discrete and Infrequent Official Interest Change Rate in the UK" (2006) (with J. Tena Horrillo), Working Paper 06-20, Statistics and Econometrics series 06, Departamento de Estadistica, Universidad Carlos III de Madrid.

  • "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model" (with G.M. Gallo) (2006), Working  Paper 2006/04, Dipartimento di Statistica "G. Parenti", Università degli Studi di Firenze.

  • "Volatility Transmission in Financial Markets: A New Approach" (with G. M. Gallo) (2005), working Paper 2005/10, Dipartimento di Statistica "G. Parenti", Università degli Studi di Firenze.

  • "Extraction of Common Signals from Series with Different Frequency" (2005), Economics Working Paper Archive at WUSTL, submitted

  • "Dating the Italian Business Cycle" (with G. Bruno) (2004), Working Paper ISAE N° 41

  •   "The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools" (2001), (with G. Bruno), Documenti di Lavoro ISAE, n. 21/01.

  • "A Distance-Based Method for the Choice of Direct or Indirect Seasonal Adjustment" (2001), (with U. Triacca), Contributi Istat, 1/2001. Presentato al Convegno "Seasonality in Economic and Financial Variables", University of Algarve (Portugal) 6 - 7 October 2000.

  • "A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models" (with G. M. Gallo) (2001), Working Paper 2001/4, series Econometrics, Dipartimento di Statistica "G. Parenti", Università degli Studi di Firenze. Presentato all' ESEM 99, Santiago de Compostela, 28 August-2 September 1999 

  • "Un approccio bayesiano non parametrico per l’identificazione del numero di regimi in modelli switching" (1998), Quaderno n. 4, Istituto Economico ed Aziendale, Università degli Studi di Sassari.

Other Works

• "Smooth and abrupt dynamics in financial volatility: the MS-MEM-MIDAS" (2022) (with G.M. Gallo and L. Scaffidi Domianello), in  "Book of Short Papers-SIS 2022" (A. Balzanella, M. Bini, C. Cavicchia, R. Verde  eds.), Pearson, pp. 492-500.
• "Asymptotic Properties of the Nonlinear Least Squares Estimator in HE-HAR Models" (2022) (with E. Dzuverovic), in  "Book of Short Papers-SIS 2022" (A. Balzanella, M. Bini, C. Cavicchia, R. Verde  eds.), Pearson, pp. 2024-2029.

• "Measuring the Effect of Unconventional Policies on Stock Market Volatility" (2020) (with G.M. Gallo and D. Lacava), in "Book of Short Papers-SIS 2020" (A. Pollice, N. Salvati, F. Schirripa Spagnolo eds.), Pearson, pp. 963-968.