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Details about Fabrizio Cipollini

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Workplace:Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (Department of Statistics), Scuola di Economia e Management (Florence School of Economics and Management), Università degli Studi di Firenze (University of Florence), (more information at EDIRC)

Access statistics for papers by Fabrizio Cipollini.

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

Short-id: pci77


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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 View citations (1)

2016

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

2014

  1. 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 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 (21)

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)

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 (21)

2006

  1. Vector Multiplicative Error Models: Representation and Inference
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2006) Downloads View citations (21)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (15)

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 Downloads View citations (3)
  2. SEMIPARAMETRIC VECTOR MEM
    Journal of Applied Econometrics, 2013, 28, (7), 1067-1086 Downloads View citations (16)
    See also Working Paper (2009)

2011

  1. Intra-daily Volume Modeling and Prediction for Algorithmic Trading
    Journal of Financial Econometrics, 2011, 9, (3), 489-518 Downloads View citations (21)
    See also Working Paper (2009)

2010

  1. Automated variable selection in vector multiplicative error models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2470-2486 Downloads View citations (5)
    See also Working Paper (2009)
 
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