Research output per year
Research output per year
Personal profile
Research profile
Douglas Eduardo Turatti is an Assistant Professor affiliated with the Finance Research Group at Aalborg University Business School. Douglas holds a PhD In Economics and Business from Aarhus University. His research interests lie within the fields of financial econometrics, empirical finance, and econometric applications to finance and macroeconomics.
Education/Academic qualification
Economics and Business, PhD, Aarhus University
Award Date: 1 Jun 2018
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Collaborations from the last five years
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Combining Volatility Forecasts of Duration-Dependent Markov-Switching Models
Turatti, D. E., Mendes, F. H. D. P. E. S. & Mazzeu, J. H. G., 2024, (Accepted/In press) In: Journal of Forecasting.Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile26 Downloads (Pure) -
Mitigating the choice of the duration in DDMS models through a parametric link
Mendes, F. H. D. P. E. S., Turatti, D. E. & Pumi, G., 2024, (Accepted/In press) In: Journal of Applied Statistics.Research output: Contribution to journal › Journal article › Research › peer-review
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Multivariate Stochastic Volatility: A Likelihood Approach
Turatti, D. E., 2022.Research output: Working paper/Preprint › Working paper › Research
File71 Downloads (Pure) -
Efficient estimation of time-varying parameter models with stochastic volatility
Turatti, D. E., 2021, SSRN: Social Science Research Network, 25 p.Research output: Working paper/Preprint › Preprint
File110 Downloads (Pure) -
Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization
Turatti, D. E., Mendes, F. H. D. P. E. S. & Caldeira, J. F., May 2020, In: Finance Research Letters. 34, 101252.Research output: Contribution to journal › Journal article › Research › peer-review
5 Citations (Scopus)
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Combining volatility forecasts of duration-dependent Markov-Switching models
Turatti, D. E. (Lecturer)
7 Jun 2024Activity: Talks and presentations › Conference presentations
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29th International Conference Computing in Economics and Finance
Turatti, D. E. (Lecturer)
4 Jul 2023Activity: Talks and presentations › Conference presentations
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41st International Symposium on Forecasting
Turatti, D. E. (Lecturer)
28 Jun 2021Activity: Talks and presentations › Conference presentations
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APC: Assistant Professor Circle at AAUBS (External organisation)
Madsen, K. M. (Chairperson), Nowinska, A. U. (Chairperson), Nygaard, K. (Member), Shin, S. (Member), Balasubramanian, P. (Member), Lindbjerg, L. (Member), Valdecantos, S. (Member), Laurentjoye, T. (Member), Crovini, C. (Member), Mateus, I. (Member), Thomsen, P. (Member), Sort, J. C. (Member), Brøns Kringelum, L. (Chairperson), Turatti, D. E. (Member), Bekamiri, H. (Member), Parra-Alvarez, J. C. (Member), Smith, R. (Member) & Bhatti, W. A. (Member)
2021 → 2025Activity: Memberships › Membership of research networks or expert groups