Research output per year
Research output per year
Search results
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2024
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 AccessFile8 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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2022
Multivariate Stochastic Volatility: A Likelihood Approach
Turatti, D. E., 2022.Research output: Working paper/Preprint › Working paper › Research
File59 Downloads (Pure) -
2021
Efficient estimation of time-varying parameter models with stochastic volatility
Turatti, D. E., 2021, (Submitted).Research output: Working paper/Preprint › Working paper › Research › peer-review
File88 Downloads (Pure) -
2020
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) -
2018
Monte Carlo Analysis of Time-Varying Parameter Models with Stochastic Volatility
Turatti, D. E., 17 May 2018, Department of Economics and Business Economics, Aarhus University. 105 p.Research output: PhD thesis
Open Access -
2015
Monetary policy surprises and jumps in interest rates: evidence from Brazil
Meurer, R., Santos, A. A. P. & Turatti, D. E., 12 Oct 2015, In: Journal of Economic Studies. 42, 5, p. 893-907 15 p.Research output: Contribution to journal › Journal article › Research › peer-review
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2014
Efficient estimation of conditionally linear and Gaussian state space models
Moura, G. V. & Turatti, D. E., 3 Sept 2014, In: Economics Letters. 124, 3, p. 494-499 6 p.Research output: Contribution to journal › Journal article › Research › peer-review
6 Citations (Scopus)