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Details about Giampiero M. Gallo

E-mail:
Homepage:http://www.disia.unifi.it/gallog
Phone:+39 055 4237 273
Postal address:Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" Università di Firenze Viale G.B. Morgagni 59 50134 Firenze Italy
Workplace:Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (Department of Statistics), Università degli Studi di Firenze (University of Florence), (more information at EDIRC)
Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC)

Access statistics for papers by Giampiero M. Gallo.

Last updated 2017-04-11. Update your information in the RePEc Author Service.

Short-id: pga48


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Working Papers

2017

  1. Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads

2016

  1. Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
  2. Copula--based Specification of vector MEMs
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
    Also in Papers, arXiv.org (2016) Downloads
  3. Median Response to Shocks: A Model for VaR Spillovers in East Asia
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
  4. Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads

2014

  1. Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2014)
  2. Forecasting Realized Volatility with Changes of Regimes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
  3. Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads

2012

  1. Realized Volatility and Change of Regimes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
  2. The Markov Switching Asymmetric Multiplicative Error Model
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads View citations (2)
  3. Volatility Swings in the US Financial Markets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (1)

2011

  1. Multiplicative Error Models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (18)

2010

  1. A Time-varying Mixing Multiplicative Error Model for Realized Volatility
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (1)
  2. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (7)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2009

  1. Automated Variable Selection in Vector Multiplicative Error Models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2010)
  2. Intra-daily Volume Modeling and Prediction for Algorithmic Trading
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (15)
    See also Journal Article in Journal of Financial Econometrics (2011)
  3. Semiparametric vector MEM
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (10)
    See also Journal Article in Journal of Applied Econometrics (2013)

2008

  1. A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (9)
  2. Comparison of Volatility Measures: a Risk Management Perspective
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (8)
    See also Journal Article in Journal of Financial Econometrics (2010)

2007

  1. A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (18)
  2. Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (1)
  3. On the Interaction between Ultra–high Frequency Measures of Volatility
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
  4. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
  5. Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2008)

2006

  1. Exchange Market Pressure: Some Caveats In Empirical Applications
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (4)
    See also Journal Article in Applied Economics (2010)
  2. Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (38)
    See also Journal Article in Computational Statistics & Data Analysis (2006)
  3. Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (2)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2005) Downloads View citations (4)

    See also Journal Article in Econometric Reviews (2009)
  4. Vector Multiplicative Error Models: Representation and Inference
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (10)
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2006) Downloads View citations (18)
  5. Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (6)
    See also Journal Article in Applied Financial Economics (2007)

2005

  1. Volatility Transmission in Financial Markets: A New Approach
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (1)

2004

  1. A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (1)
    See also Journal Article in Econometric Theory (2005)

2003

  1. A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (12)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2003) Downloads View citations (6)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2002) Downloads

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
  2. A Multiple Indicators Model For Volatility Using Intra-Daily Data
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (13)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (14)

    See also Journal Article in Journal of Econometrics (2006)

2002

  1. Analytic Hessian Matrices and the Computation of FIGARCH Estimates
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (3)
  2. GARCH-based Volatility Forecasts for Market Volatility Indices
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (3)
  3. Volatility Estimation via Hidden Markov Models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
    See also Journal Article in Journal of Empirical Finance (2006)

2001

  1. A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (8)
    See also Journal Article in Econometric Reviews (2002)
  2. Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (2)
    See also Journal Article in IMF Staff Papers (2002)
  3. Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (4)
  4. Modelling the Impact of Overnight Surprises on Intra-daily Volatility
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (11)
    See also Journal Article in Australian Economic Papers (2001)

1999

  1. Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
  2. On the Evolution of Credibility and Flexible Exchange Rate Target Zones
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1995) Downloads
  3. The Impact of the Use of Forecasts in Information Sets
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (4)
    Also in Research Notes, Deutsche Bank Research (1999) Downloads View citations (3)

1998

  1. Early News Is Good News. The Effects of Market Opening on Market Volatility
    Economics Working Papers, European University Institute View citations (5)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1998)

1988

  1. How To Strip A Model To Its Essential Elements
    Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva, Institut d'Economie et Econométrie, Université de Genève
    See also Journal Article in Computer Science in Economics & Management (1990)

Undated

  1. Ex Post and Ex Ante Analysis of Provisional Data
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (2)

Journal Articles

2015

  1. Forecasting realized volatility with changing average levels
    International Journal of Forecasting, 2015, 31, (3), 620-634 Downloads View citations (11)

2014

  1. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
    Journal of Econometrics, 2014, 182, (2), 364-384 Downloads View citations (7)
    See also Working Paper (2014)

2013

  1. SEMIPARAMETRIC VECTOR MEM
    Journal of Applied Econometrics, 2013, 28, (7), 1067-1086 Downloads View citations (8)
    See also Working Paper (2009)

2012

  1. Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
    The Review of Economics and Statistics, 2012, 94, (1), 222-223 Downloads View citations (33)

2011

  1. Intra-daily Volume Modeling and Prediction for Algorithmic Trading
    Journal of Financial Econometrics, 2011, 9, (3), 489-518 Downloads View citations (17)
    See also Working Paper (2009)
  2. Shrinkage estimation of semiparametric multiplicative error models
    International Journal of Forecasting, 2011, 27, (2), 365-378 Downloads View citations (3)
    Also in International Journal of Forecasting, 2011, 27, (2), 365-378 (2011) Downloads View citations (3)

2010

  1. Automated variable selection in vector multiplicative error models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2470-2486 Downloads View citations (3)
    See also Working Paper (2009)
  2. Castle, J. L. and Shephard, N.: The methodology and practice of econometrics
    Journal of Economics, 2010, 101, (1), 99-101 Downloads
  3. Comparison of Volatility Measures: a Risk Management Perspective
    Journal of Financial Econometrics, 2010, 8, (1), 29-56 Downloads View citations (49)
    See also Working Paper (2008)
  4. Exchange market pressure: some caveats in empirical applications
    Applied Economics, 2010, 42, (19), 2435-2448 Downloads View citations (9)
    See also Working Paper (2006)

2009

  1. Market interdependence and financial volatility transmission in East Asia
    International Journal of Finance & Economics, 2009, 14, (1), 24-44 Downloads View citations (7)
  2. Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
    Econometric Reviews, 2009, 28, (1-3), 102-120 Downloads View citations (6)
    See also Working Paper (2006)

2008

  1. On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
    Journal of Financial Econometrics, 2008, 6, (4), 513-539 Downloads View citations (6)
  2. Volatility spillovers, interdependence and comovements: A Markov Switching approach
    Computational Statistics & Data Analysis, 2008, 52, (6), 3011-3026 Downloads View citations (56)
    See also Working Paper (2007)

2007

  1. Volatility transmission across markets: a Multichain Markov Switching model
    Applied Financial Economics, 2007, 17, (8), 659-670 Downloads View citations (23)
    See also Working Paper (2006)

2006

  1. A multiple indicators model for volatility using intra-daily data
    Journal of Econometrics, 2006, 131, (1-2), 3-27 Downloads View citations (185)
    See also Working Paper (2003)
  2. Financial econometric analysis at ultra-high frequency: Data handling concerns
    Computational Statistics & Data Analysis, 2006, 51, (4), 2232-2245 Downloads View citations (68)
    See also Working Paper (2006)
  3. Frontiers in Time Series Analysis: Introduction
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 679-682 Downloads
  4. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2 Downloads
  5. Volatility estimation via hidden Markov models
    Journal of Empirical Finance, 2006, 13, (2), 203-230 Downloads View citations (14)
    See also Working Paper (2002)

2005

  1. A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
    Econometric Theory, 2005, 21, (01), 262-277 Downloads View citations (10)
    See also Working Paper (2004)

2004

  1. Mixture Processes for Financial Intradaily Durations
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-20 Downloads View citations (17)

2003

  1. A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 821-838 Downloads View citations (16)
    See also Working Paper (2003)

2002

  1. A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
    Econometric Reviews, 2002, 21, (4), 477-496 Downloads View citations (19)
    See also Working Paper (2001)
  2. Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets
    IMF Staff Papers, 2002, 49, (1), 2 Downloads View citations (24)
    See also Working Paper (2001)

2001

  1. Modelling the Impact of Overnight Surprises on Intra-Daily Volatility
    Australian Economic Papers, 2001, 40, (4), 567-80 Downloads View citations (9)
    See also Working Paper (2001)

2000

  1. The effects of trading activity on market volatility
    The European Journal of Finance, 2000, 6, (2), 163-175 Downloads View citations (26)

1998

  1. Early News is Good News: The Effects of Market Opening on Market Volatility
    Studies in Nonlinear Dynamics & Econometrics, 1998, 2, (4), 1-19 Downloads View citations (6)
    See also Working Paper (1998)
  2. Simulation methods in econometrics: editors' introduction
    Econometrics Journal, 1998, 1, (ConferenceIssue), Ci-Cvii
  3. Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets
    International Journal of Finance & Economics, 1998, 3, (3), 241-59 Downloads

1996

  1. Volatilité conditionnelle, signaux d'échange et perception du risque
    Économie et Prévision, 1996, 123, (2), 207-220 Downloads

1991

  1. Forecast Error Decomposition in a Nonlinear Model with Provisional Data
    Annals of Economics and Statistics, 1991, (22), 103-128 Downloads

1990

  1. How to Strip a Model to Its Essential Elements
    Computer Science in Economics & Management, 1990, 3, (2), 199-214
    See also Working Paper (1988)
 
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