| Long memory and tail dependence in trading volume and volatility E Rossi, PS De Magistris Journal of Empirical Finance 22, 94-112, 2013 | 73 | 2013 |
| Long memory and tail dependence in trading volume and volatility E Rossi, PS De Magistris Journal of Empirical Finance 22, 94-112, 2013 | 73 | 2013 |
| Long memory and periodicity in intraday volatility E Rossi, D Fantazzini Journal of Financial Econometrics 13 (4), 922-961, 2015 | 56 | 2015 |
| Volatility jumps and their economic determinants M Caporin, E Rossi, PS Magistris Journal of Financial Econometrics 14 (1), 29-80, 2015 | 48 | 2015 |
| Independent factor autoregressive conditional density model A Ghalanos, E Rossi, G Urga Econometric Reviews 34 (5), 594-616, 2015 | 41 | 2015 |
| Euro corporate bond risk factors C Castagnetti, E Rossi Journal of Applied Econometrics 28 (3), 372-391, 2013 | 32 | 2013 |
| Euro corporate bond risk factors C Castagnetti, E Rossi Journal of Applied Econometrics 28 (3), 372-391, 2013 | 32 | 2013 |
| Hedging interest rate risk with multivariate GARCH E Rossi, C Zucca Applied Financial Economics 12 (4), 241-251, 2002 | 32 | 2002 |
| Inference on factor structures in heterogeneous panels C Castagnetti, E Rossi, L Trapani Journal of econometrics 184 (1), 145-157, 2015 | 28 | 2015 |
| Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis E Rossi, F Spazzini Computational Statistics & Data Analysis 54 (11), 2786-2800, 2010 | 26 | 2010 |
| Chasing volatility: A persistent multiplicative error model with jumps M Caporin, E Rossi, PS De Magistris Journal of econometrics 198 (1), 122-145, 2017 | 25 | 2017 |
| Chasing volatility: A persistent multiplicative error model with jumps M Caporin, E Rossi, PS De Magistris Journal of econometrics 198 (1), 122-145, 2017 | 25 | 2017 |
| Impulse response functions E Rossi Notes for a Lecture on Econometrics, 2011 | 23 | 2011 |
| A no‐arbitrage fractional cointegration model for futures and spot daily ranges E Rossi, P Santucci de Magistris Journal of Futures Markets 33 (1), 77-102, 2013 | 21 | 2013 |
| Lecture notes on GARCH models E Rossi University of Pavia, March, 2004 | 21 | 2004 |
| Estimation of long memory in integrated variance E Rossi, P Santucci de Magistris Econometric Reviews 33 (7), 785-814, 2014 | 18 | 2014 |
| Univariate GARCH models: a survey (in Russian) E Rossi Quantile, 1-67, 2010 | 14 | 2010 |
| Efficient importance sampling maximum likelihood estimation of stochastic differential equations S Pastorello, E Rossi Computational statistics & data analysis 54 (11), 2753-2762, 2010 | 9 | 2010 |
| Finite sample results of range-based integrated volatility estimation E Rossi, F Spazzini | 9 | 2009 |
| Testing for no factor structures: On the use of Hausman-type statistics C Castagnetti, E Rossi, L Trapani Economics Letters 130, 66-68, 2015 | 8 | 2015 |
Massimiliano CaporinUniversity of Padova - Department of Statistical SciencesEmail verificata su unipd.it
