Details about Giampiero M. Gallo

E-mail:
Homepage:	https://rcea.academia.edu/GiampieroMGallo
Postal address:	New York University in Florence, Via Bolognese 120, 50139 Firenze Italy
Workplace:	Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC) Centro Ricerche Nord Sud (CRENoS) (Centre for North South Economic Research), (more information at EDIRC)

Access statistics for papers by Giampiero M. Gallo.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pga48

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Working Papers

2024

1. Dynamic tail risk forecasting: what do realized skewness and kurtosis add?
   Papers, arXiv.org
   Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2024)
2. Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
   Also in Working Paper Series, European Central Bank (2024)
3. Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis
   Working Papers, University of Pretoria, Department of Economics

2023

4. Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito
   Papers, arXiv.org
   Also in Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli (2023)
5. Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall
   Papers, arXiv.org View citations (2)
6. Modeling and evaluating conditional quantile dynamics in VaR forecasts
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
   Also in Papers, arXiv.org (2023)
7. Volatility jumps and the classification of monetary policy announcements
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
   Also in Papers, arXiv.org (2023)

2022

8. Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
   See also Journal Article Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2024) (2024)

2021

9. Multiplicative Error Models: 20 years on
   Papers, arXiv.org View citations (3)
   See also Journal Article Multiplicative Error Models: 20 years on, Econometrics and Statistics, Elsevier (2025) (2025)
10. On Classifying the Effects of Policy Announcements on Volatility
    Papers, arXiv.org View citations (2)
    Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2020)
11. Unconventional Policies Effects on Stock Market Volatility: A MAP Approach
    Papers, arXiv.org View citations (1)
    See also Journal Article Unconventional policies effects on stock market volatility: The MAP approach, Journal of the Royal Statistical Society Series C, Royal Statistical Society (2022) (2022)

2020

12. A Dynamic Conditional Approach to Portfolio Weights Forecasting
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
    Also in Papers, arXiv.org (2020)
13. Doubly Multiplicative Error Models with Long- and Short-run Components
    Papers, arXiv.org View citations (1)
    See also Journal Article Doubly multiplicative error models with long- and short-run components, Socio-Economic Planning Sciences, Elsevier (2024) (2024)
14. Measuring the Effects of Unconventional Policies on Stock Market Volatility
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (2)

2019

15. Realized Volatility Forecasting: Robustness to Measurement Errors
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
    See also Journal Article Realized volatility forecasting: Robustness to measurement errors, International Journal of Forecasting, Elsevier (2021) View citations (19) (2021)
16. Realized variance modeling: decoupling forecasting from estimation
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
    See also Journal Article Realized Variance Modeling: Decoupling Forecasting from Estimation*, Journal of Financial Econometrics, Oxford University Press (2020) View citations (4) (2020)

2018

17. Modeling Euro STOXX 50 Volatility with Common and Market–specific Components
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    See also Journal Article Modeling Euro STOXX 50 volatility with common and market-specific components, Econometrics and Statistics, Elsevier (2019) View citations (3) (2019)

2017

18. Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (1)
    See also Journal Article Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach, Journal of the Royal Statistical Society Series C, Royal Statistical Society (2018) View citations (9) (2018)
19. 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)
    See also Journal Article Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity, Econometrics, MDPI (2017) View citations (7) (2017)

2016

20. 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"
21. 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)
22. 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"
23. 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" View citations (1)

2014

24. 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" View citations (30)
    See also Journal Article Disentangling systematic and idiosyncratic dynamics in panels of volatility measures, Journal of Econometrics, Elsevier (2014) View citations (31) (2014)
25. Forecasting Realized Volatility with Changes of Regimes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (4)
26. 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)

2012

27. Realized Volatility and Change of Regimes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (3)
28. Volatility Swings in the US Financial Markets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (2)

2011

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

2010

30. 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" View citations (1)
31. 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" View citations (7)

2009

32. 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)
33. 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)
34. 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)

2008

35. 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" View citations (10)
36. Comparison of Volatility Measures: a Risk Management Perspective
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (8)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2007)
    See also Journal Article Comparison of Volatility Measures: a Risk Management Perspective, Journal of Financial Econometrics, Oxford University Press (2010) View citations (107) (2010)

2007

37. 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)
38. 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" View citations (1)
39. 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"
40. 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"
41. 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" View citations (1)
    See also Journal Article Volatility spillovers, interdependence and comovements: A Markov Switching approach, Computational Statistics & Data Analysis, Elsevier (2008) View citations (91) (2008)

2006

42. Exchange Market Pressure: Some Caveats In Empirical Applications
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (7)
    See also Journal Article Exchange market pressure: some caveats in empirical applications, Applied Economics, Taylor & Francis Journals (2010) View citations (14) (2010)
43. 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" View citations (87)
    See also Journal Article Financial econometric analysis at ultra-high frequency: Data handling concerns, Computational Statistics & Data Analysis, Elsevier (2006) View citations (163) (2006)
44. 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" View citations (3)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2005) View citations (6)
    See also Journal Article Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models, Econometric Reviews, Taylor & Francis Journals (2009) View citations (13) (2009)
45. 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 Technical Working Papers, National Bureau of Economic Research, Inc (2006) View citations (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (26)
46. 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" View citations (6)
    See also Journal Article Volatility transmission across markets: a Multichain Markov Switching model, Applied Financial Economics, Taylor & Francis Journals (2007) View citations (32) (2007)

2005

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

2004

48. 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" View citations (1)
    See also Journal Article A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets, Econometric Theory, Cambridge University Press (2005) View citations (13) (2005)

2003

49. 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" View citations (16)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2002)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2003) View citations (2)
    See also Journal Article A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2003) View citations (35) (2003)
50. 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" View citations (20)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (23)
    See also Journal Article A multiple indicators model for volatility using intra-daily data, Journal of Econometrics, Elsevier (2006) View citations (348) (2006)

2002

51. 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" View citations (6)
    See also Journal Article Analytic Hessian matrices and the computation of FIGARCH estimates, Statistical Methods & Applications, Springer (2002) View citations (4) (2002)
52. GARCH-based Volatility Forecasts for Market Volatility Indices
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (3)
53. Volatility Estimation via Hidden Markov Models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
    See also Journal Article Volatility estimation via hidden Markov models, Journal of Empirical Finance, Elsevier (2006) View citations (20) (2006)

2001

54. 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" View citations (8)
    See also Journal Article A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS, Econometric Reviews, Taylor & Francis Journals (2002) View citations (27) (2002)
55. 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" View citations (1)
    See also Journal Article Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets, IMF Staff Papers, Palgrave Macmillan (2002) View citations (43) (2002)
56. 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" View citations (11)
57. 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" View citations (19)
    See also Journal Article Modelling the Impact of Overnight Surprises on Intra‐daily Volatility, Australian Economic Papers, Wiley Blackwell (2001) View citations (6) (2001)

1999

58. 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
59. 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 View citations (9)
    Also in Research Notes, Deutsche Bank Research (1999) View citations (4)

1998

60. Early News Is Good News. The Effects of Market Opening on Market Volatility
    Economics Working Papers, European University Institute View citations (10)
    See also Journal Article Early News is Good News: The Effects of Market Opening on Market Volatility, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (1998) View citations (9) (1998)

1995

61. On the Evolution of Credibility and Flexible Exchange Rate Target Zones
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

1991

62. Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia View citations (2)

1989

63. Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia

Undated

64. Ex Post and Ex Ante Analysis of Provisional Data
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (3)

Journal Articles

2025

1. Multiplicative Error Models: 20 years on
   Econometrics and Statistics, 2025, 33, (C), 209-229
   See also Working Paper Multiplicative Error Models: 20 years on, Papers (2021) View citations (3) (2021)

2024

2. Doubly multiplicative error models with long- and short-run components
   Socio-Economic Planning Sciences, 2024, 91, (C)
   See also Working Paper Doubly Multiplicative Error Models with Long- and Short-run Components, Papers (2020) View citations (1) (2020)
3. Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS
   Oxford Bulletin of Economics and Statistics, 2024, 86, (1), 21-43
   See also Working Paper Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS, Working Paper CRENoS (2022) (2022)

2023

4. Common rrf Indicators and sdgs Framework: A Proposal for a Composite Index
   L'industria, 2023, (3), 441-470

2022

5. Unconventional policies effects on stock market volatility: The MAP approach
   Journal of the Royal Statistical Society Series C, 2022, 71, (5), 1245-1265
   See also Working Paper Unconventional Policies Effects on Stock Market Volatility: A MAP Approach, Papers (2021) View citations (1) (2021)

2021

6. A dynamic conditional approach to forecasting portfolio weights
   International Journal of Forecasting, 2021, 37, (3), 1111-1126 View citations (2)
7. Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model
   Econometrics and Statistics, 2021, 20, (C), 12-28 View citations (7)
8. Realized volatility forecasting: Robustness to measurement errors
   International Journal of Forecasting, 2021, 37, (1), 44-57 View citations (19)
   See also Working Paper Realized Volatility Forecasting: Robustness to Measurement Errors, Econometrics Working Papers Archive (2019) (2019)

2020

9. Adaptive Lasso for vector Multiplicative Error Models
   Quantitative Finance, 2020, 20, (2), 255-274 View citations (3)
10. Energy and non–energy Commodities: Spillover Effects on African Stock Markets
    Journal of Statistical and Econometric Methods, 2020, 9, (4), 7 View citations (2)
11. Realized Variance Modeling: Decoupling Forecasting from Estimation*
    Journal of Financial Econometrics, 2020, 18, (3), 532-555 View citations (4)
    Also in Journal of Financial Econometrics, 18, (3), 532-555 View citations (1)
    See also Working Paper Realized variance modeling: decoupling forecasting from estimation, Econometrics Working Papers Archive (2019) (2019)

2019

12. Modeling Euro STOXX 50 volatility with common and market-specific components
    Econometrics and Statistics, 2019, 11, (C), 22-42 View citations (3)
    See also Working Paper Modeling Euro STOXX 50 Volatility with Common and Market–specific Components, Working Paper series (2018) View citations (1) (2018)
13. On the asymmetric impact of macro–variables on volatility
    Economic Modelling, 2019, 76, (C), 135-152 View citations (13)

2018

14. Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach
    Journal of the Royal Statistical Society Series C, 2018, 67, (3), 549-573 View citations (9)
    See also Working Paper Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach, Econometrics Working Papers Archive (2017) View citations (1) (2017)

2017

15. Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
    Econometrics, 2017, 5, (2), 1-24 View citations (7)
    See also Working Paper Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity, Econometrics Working Papers Archive (2017) View citations (7) (2017)
16. Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
    Econometric Research in Finance, 2017, 2, (2), 99-111 View citations (1)
17. Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics
    Journal of Economics, 2017, 120, (3), 279-281

2015

18. Forecasting realized volatility with changing average levels
    International Journal of Forecasting, 2015, 31, (3), 620-634 View citations (39)

2014

19. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
    Journal of Econometrics, 2014, 182, (2), 364-384 View citations (31)
    See also Working Paper Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures, Econometrics Working Papers Archive (2014) View citations (30) (2014)

2013

20. 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)

2012

21. Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
    The Review of Economics and Statistics, 2012, 94, (1), 222-223 View citations (80)

2011

22. 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)
23. Shrinkage estimation of semiparametric multiplicative error models
    International Journal of Forecasting, 2011, 27, (2), 365-378 View citations (8)
    Also in International Journal of Forecasting, 2011, 27, (2), 365-378 (2011) View citations (8)

2010

24. 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)
25. Castle, J. L. and Shephard, N.: The methodology and practice of econometrics
    Journal of Economics, 2010, 101, (1), 99-101
26. Comparison of Volatility Measures: a Risk Management Perspective
    Journal of Financial Econometrics, 2010, 8, (1), 29-56 View citations (107)
    See also Working Paper Comparison of Volatility Measures: a Risk Management Perspective, Econometrics Working Papers Archive (2008) View citations (8) (2008)
27. Exchange market pressure: some caveats in empirical applications
    Applied Economics, 2010, 42, (19), 2435-2448 View citations (14)
    See also Working Paper Exchange Market Pressure: Some Caveats In Empirical Applications, Econometrics Working Papers Archive (2006) View citations (7) (2006)

2009

28. Market interdependence and financial volatility transmission in East Asia
    International Journal of Finance & Economics, 2009, 14, (1), 24-44 View citations (10)
29. Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
    Econometric Reviews, 2009, 28, (1-3), 102-120 View citations (13)
    See also Working Paper Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models, Econometrics Working Papers Archive (2006) View citations (3) (2006)

2008

30. On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
    Journal of Financial Econometrics, 2008, 6, (4), 513-539 View citations (11)
31. Volatility spillovers, interdependence and comovements: A Markov Switching approach
    Computational Statistics & Data Analysis, 2008, 52, (6), 3011-3026 View citations (91)
    See also Working Paper Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach, Econometrics Working Papers Archive (2007) View citations (1) (2007)

2007

32. Volatility transmission across markets: a Multichain Markov Switching model
    Applied Financial Economics, 2007, 17, (8), 659-670 View citations (32)
    See also Working Paper Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model, Econometrics Working Papers Archive (2006) View citations (6) (2006)

2006

33. A multiple indicators model for volatility using intra-daily data
    Journal of Econometrics, 2006, 131, (1-2), 3-27 View citations (348)
    See also Working Paper A Multiple Indicators Model For Volatility Using Intra-Daily Data, Econometrics Working Papers Archive (2003) View citations (20) (2003)
34. Financial econometric analysis at ultra-high frequency: Data handling concerns
    Computational Statistics & Data Analysis, 2006, 51, (4), 2232-2245 View citations (163)
    See also Working Paper Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns, Econometrics Working Papers Archive (2006) View citations (87) (2006)
35. Frontiers in Time Series Analysis: Introduction
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 679-682
36. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2
37. Volatility estimation via hidden Markov models
    Journal of Empirical Finance, 2006, 13, (2), 203-230 View citations (20)
    See also Working Paper Volatility Estimation via Hidden Markov Models, Econometrics Working Papers Archive (2002) (2002)

2005

38. A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
    Econometric Theory, 2005, 21, (1), 262-277 View citations (13)
    See also Working Paper A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets, Econometrics Working Papers Archive (2004) View citations (1) (2004)

2004

39. Mixture Processes for Financial Intradaily Durations
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 20 View citations (25)

2003

40. 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 View citations (35)
    See also Working Paper A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA), Econometrics Working Papers Archive (2003) View citations (16) (2003)

2002

41. A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
    Econometric Reviews, 2002, 21, (4), 477-496 View citations (27)
    See also Working Paper A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models, Econometrics Working Papers Archive (2001) View citations (8) (2001)
42. Analytic Hessian matrices and the computation of FIGARCH estimates
    Statistical Methods & Applications, 2002, 11, (2), 247-264 View citations (4)
    See also Working Paper Analytic Hessian Matrices and the Computation of FIGARCH Estimates, Econometrics Working Papers Archive (2002) View citations (6) (2002)
43. Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets
    IMF Staff Papers, 2002, 49, (1), 2 View citations (43)
    See also Working Paper Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets, Econometrics Working Papers Archive (2001) View citations (1) (2001)

2001

44. Modelling the Impact of Overnight Surprises on Intra‐daily Volatility
    Australian Economic Papers, 2001, 40, (4), 567-580 View citations (6)
    See also Working Paper Modelling the Impact of Overnight Surprises on Intra-daily Volatility, Econometrics Working Papers Archive (2001) View citations (19) (2001)

2000

45. The effects of trading activity on market volatility
    The European Journal of Finance, 2000, 6, (2), 163-175 View citations (45)

1998

46. Early News is Good News: The Effects of Market Opening on Market Volatility
    Studies in Nonlinear Dynamics & Econometrics, 1998, 2, (4), 19 View citations (9)
    See also Working Paper Early News Is Good News. The Effects of Market Opening on Market Volatility, Economics Working Papers (1998) View citations (10) (1998)
47. Simulation methods in econometrics: editors' introduction
    Econometrics Journal, 1998, 1, (ConferenceIssue), Ci-Cvii
48. Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets
    International Journal of Finance & Economics, 1998, 3, (3), 241-59

1996

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

1991

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

1990

51. How to Strip a Model to Its Essential Elements
    Computer Science in Economics & Management, 1990, 3, (2), 199-214

Chapters

2021

1. On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS
   Springer