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A smooth transition autoregressive model for matrix-variate time series
Bucci, Andrea - In: Computational economics 65 (2025) 1, pp. 429-458
Persistent link: https://www.econbiz.de/10015195772
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Does macroeconomics help in predicting stock markets volatility comovements? : a nonlinear approach
Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - 2019
Persistent link: https://www.econbiz.de/10012154493
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Market regime detection via realized covariances
Bucci, Andrea; Ciciretti, Vito - In: Economic modelling 111 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013349063
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The role of uncertainty in forecasting volatility comovements across stock markets
Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - In: Economic modelling 125 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014463541