EconPapers    
Economics at your fingertips  
 

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:Centro Ricerche Nord Sud (CRENoS) (Centre for North South Economic Research), (more information at EDIRC)
Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC)

Access statistics for papers by Giampiero M. Gallo.

Last updated 2023-01-06. Update your information in the RePEc Author Service.

Short-id: pga48


Jump to Journal Articles Chapters

Working Papers

2023

  1. Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall
    Papers, arXiv.org Downloads

2022

  1. 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 Downloads

2021

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

2020

  1. A Dynamic Conditional Approach to Portfolio Weights Forecasting
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
    Also in Papers, arXiv.org (2020) Downloads
  2. Doubly Multiplicative Error Models with Long- and Short-run Components
    Papers, arXiv.org Downloads View citations (1)
  3. 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 Downloads View citations (2)

2019

  1. Realized Volatility Forecasting: Robustness to Measurement Errors
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
    See also Journal Article in International Journal of Forecasting (2021)
  2. Realized variance modeling: decoupling forecasting from estimation
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
    See also Journal Article in The Journal of Financial Econometrics (2020)

2018

  1. Modeling Euro STOXX 50 Volatility with Common and Market–specific Components
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    See also Journal Article in Econometrics and Statistics (2019)

2017

  1. 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" Downloads View citations (1)
    See also Journal Article in Journal of the Royal Statistical Society Series C (2018)
  2. 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 (6)
    See also Journal Article in Econometrics (2017)

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 View citations (1)
    Also in Papers, arXiv.org (2016) Downloads 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" 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 (26)
    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 View citations (2)
  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 View citations (1)

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. 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 (2)

2011

  1. Multiplicative Error Models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (27)

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)

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 (18)
    See also Journal Article in The 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 (13)
    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 (10)
  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)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2007) Downloads

    See also Journal Article in The 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 (21)
  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 (6)
    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 (79)
    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 (6)

    See also Journal Article in Econometric Reviews (2009)
  4. Vector Multiplicative Error Models: Representation and Inference
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (24)
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2006) Downloads View citations (25)
  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)

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 (16)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2003) Downloads
    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 (14)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (21)

    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 (6)
    See also Journal Article in Statistical Methods & Applications (2002)
  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 (1)
    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 (11)
  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 (18)
    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. 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 (9)
    Also in Research Notes, Deutsche Bank Research (1999) Downloads View citations (4)

1998

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

1995

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

1991

  1. 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

  1. 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

  1. Ex Post and Ex Ante Analysis of Provisional Data
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)

Journal Articles

2022

  1. Unconventional policies effects on stock market volatility: The MAP approach
    Journal of the Royal Statistical Society Series C, 2022, 71, (5), 1245-1265 Downloads
    See also Working Paper (2021)

2021

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

2020

  1. Adaptive Lasso for vector Multiplicative Error Models
    Quantitative Finance, 2020, 20, (2), 255-274 Downloads View citations (3)
  2. Energy and non–energy Commodities: Spillover Effects on African Stock Markets
    Journal of Statistical and Econometric Methods, 2020, 9, (4), 7 Downloads
  3. Realized Variance Modeling: Decoupling Forecasting from Estimation*
    The Journal of Financial Econometrics, 2020, 18, (3), 532-555 Downloads View citations (1)
    Also in The Journal of Financial Econometrics, 18, (3), 532-555 Downloads View citations (1)

    See also Working Paper (2019)

2019

  1. Modeling Euro STOXX 50 volatility with common and market-specific components
    Econometrics and Statistics, 2019, 11, (C), 22-42 Downloads View citations (2)
    See also Working Paper (2018)
  2. On the asymmetric impact of macro–variables on volatility
    Economic Modelling, 2019, 76, (C), 135-152 Downloads View citations (11)

2018

  1. 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 Downloads View citations (8)
    See also Working Paper (2017)

2017

  1. Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
    Econometrics, 2017, 5, (2), 1-24 Downloads View citations (6)
    See also Working Paper (2017)
  2. Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
    Econometric Research in Finance, 2017, 2, (2), 99-111 Downloads View citations (1)
  3. 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 Downloads

2015

  1. Forecasting realized volatility with changing average levels
    International Journal of Forecasting, 2015, 31, (3), 620-634 Downloads View citations (35)

2014

  1. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
    Journal of Econometrics, 2014, 182, (2), 364-384 Downloads View citations (30)
    See also Working Paper (2014)

2013

  1. SEMIPARAMETRIC VECTOR MEM
    Journal of Applied Econometrics, 2013, 28, (7), 1067-1086 Downloads View citations (27)
    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 (71)

2011

  1. Intra-daily Volume Modeling and Prediction for Algorithmic Trading
    The Journal of Financial Econometrics, 2011, 9, (3), 489-518 Downloads View citations (35)
    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 (7)
    Also in International Journal of Forecasting, 2011, 27, (2), 365-378 (2011) Downloads View citations (7)

2010

  1. Automated variable selection in vector multiplicative error models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2470-2486 Downloads View citations (7)
    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
    The Journal of Financial Econometrics, 2010, 8, (1), 29-56 Downloads View citations (95)
    See also Working Paper (2008)
  4. Exchange market pressure: some caveats in empirical applications
    Applied Economics, 2010, 42, (19), 2435-2448 Downloads View citations (13)
    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 (10)
  2. Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
    Econometric Reviews, 2009, 28, (1-3), 102-120 Downloads View citations (13)
    See also Working Paper (2006)

2008

  1. On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
    The Journal of Financial Econometrics, 2008, 6, (4), 513-539 Downloads View citations (11)
  2. Volatility spillovers, interdependence and comovements: A Markov Switching approach
    Computational Statistics & Data Analysis, 2008, 52, (6), 3011-3026 Downloads View citations (83)
    See also Working Paper (2007)

2006

  1. A multiple indicators model for volatility using intra-daily data
    Journal of Econometrics, 2006, 131, (1-2), 3-27 Downloads View citations (303)
    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 (151)
    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 (20)
    See also Working Paper (2002)

2005

  1. A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
    Econometric Theory, 2005, 21, (1), 262-277 Downloads View citations (11)
    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 (25)

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 (31)
    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 (25)
    See also Working Paper (2001)
  2. Analytic Hessian matrices and the computation of FIGARCH estimates
    Statistical Methods & Applications, 2002, 11, (2), 247-264 Downloads View citations (4)
    See also Working Paper (2002)
  3. Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets
    IMF Staff Papers, 2002, 49, (1), 2 Downloads View citations (39)
    See also Working Paper (2001)

2001

  1. Modelling the Impact of Overnight Surprises on Intra‐daily Volatility
    Australian Economic Papers, 2001, 40, (4), 567-580 Downloads View citations (4)
    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 (43)

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 (9)
    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

Chapters

2021

  1. On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS
    Springer
 
Page updated 2023-06-01