Details about Fabrizio Cipollini

Access statistics for papers by Fabrizio Cipollini.

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

Short-id: pci77

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" View citations (7)

2016

2. Copula--based Specification of vector MEMs
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (1)
   Also in Papers, arXiv.org (2016) View citations (1)
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"

2014

4. 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" View citations (1)

2011

5. Multiplicative Error Models
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (30)

2009

6. Automated Variable Selection in Vector Multiplicative Error Models
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (1)
   See also Journal Article Automated variable selection in vector multiplicative error models, Computational Statistics & Data Analysis, Elsevier (2010) View citations (8) (2010)
7. 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" View citations (18)
   See also Journal Article Intra-daily Volume Modeling and Prediction for Algorithmic Trading, Journal of Financial Econometrics, Oxford University Press (2011) View citations (40) (2011)
8. Semiparametric vector MEM
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (13)
   See also Journal Article SEMIPARAMETRIC VECTOR MEM, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (34) (2013)

2007

9. 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" View citations (22)

2006

10. Vector Multiplicative Error Models: Representation and Inference
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (26)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (26)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (2006) View citations (24)

Journal Articles

2013

1. Determinants of SME credit worthiness under Basel rules: the value of credit history information
   PSL Quarterly Review, 2013, 66, (264), 21-47 View citations (6)
2. SEMIPARAMETRIC VECTOR MEM
   Journal of Applied Econometrics, 2013, 28, (7), 1067-1086 View citations (34)
   See also Working Paper Semiparametric vector MEM, Econometrics Working Papers Archive (2009) View citations (13) (2009)

2011

3. Intra-daily Volume Modeling and Prediction for Algorithmic Trading
   Journal of Financial Econometrics, 2011, 9, (3), 489-518 View citations (40)
   See also Working Paper Intra-daily Volume Modeling and Prediction for Algorithmic Trading, Econometrics Working Papers Archive (2009) View citations (18) (2009)

2010

4. Automated variable selection in vector multiplicative error models
   Computational Statistics & Data Analysis, 2010, 54, (11), 2470-2486 View citations (8)
   See also Working Paper Automated Variable Selection in Vector Multiplicative Error Models, Econometrics Working Papers Archive (2009) View citations (1) (2009)