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

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Working Papers

2023

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

2022

2. 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

2021

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

2020

6. 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)
7. Doubly Multiplicative Error Models with Long- and Short-run Components
   Papers, arXiv.org View citations (1)
8. 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

9. 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 in International Journal of Forecasting (2021)
10. 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 in The Journal of Financial Econometrics (2020)

2018

11. 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 in Econometrics and Statistics (2019)

2017

12. 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 in Journal of the Royal Statistical Society Series C (2018)
13. 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 (6)
    See also Journal Article in Econometrics (2017)

2016

14. 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"
15. 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)
16. 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"
17. 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"

2014

18. 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 (26)
    See also Journal Article in Journal of Econometrics (2014)
19. 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 (2)
20. 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

21. Realized Volatility and Change of Regimes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
22. 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

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

2010

24. 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)
25. 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

26. 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 in Computational Statistics & Data Analysis (2010)
27. 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 in The Journal of Financial Econometrics (2011)
28. 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 in Journal of Applied Econometrics (2013)

2008

29. 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)
30. 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 in The Journal of Financial Econometrics (2010)

2007

31. 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 (21)
32. 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)
33. 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"
34. 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"
35. 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"
    See also Journal Article in Computational Statistics & Data Analysis (2008)

2006

36. 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 (6)
    See also Journal Article in Applied Economics (2010)
37. 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 (79)
    See also Journal Article in Computational Statistics & Data Analysis (2006)
38. 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 (2)
    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 in Econometric Reviews (2009)
39. Vector Multiplicative Error Models: Representation and Inference
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (22)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (24)
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2006) View citations (25)
40. 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)

2005

41. 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

42. 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 in Econometric Theory (2005)

2003

43. 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 (2003)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2002)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
44. 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 (14)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (21)
    See also Journal Article in Journal of Econometrics (2006)

2002

45. 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 in Statistical Methods & Applications (2002)
46. 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)
47. 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 in Journal of Empirical Finance (2006)

2001

48. 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 in Econometric Reviews (2002)
49. 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 in IMF Staff Papers (2002)
50. 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)
51. 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 (18)
    See also Journal Article in Australian Economic Papers (2001)

1999

52. 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
53. 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

54. 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

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

1991

56. 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

57. 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

58. Ex Post and Ex Ante Analysis of Provisional Data
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 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
   See also Working Paper (2021)

2021

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

2020

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

2019

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

2018

10. 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 (8)
    See also Working Paper (2017)

2017

11. Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
    Econometrics, 2017, 5, (2), 1-24 View citations (6)
    See also Working Paper (2017)
12. Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
    Econometric Research in Finance, 2017, 2, (2), 99-111 View citations (1)
13. 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

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

2014

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

2013

16. SEMIPARAMETRIC VECTOR MEM
    Journal of Applied Econometrics, 2013, 28, (7), 1067-1086 View citations (27)
    See also Working Paper (2009)

2012

17. Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
    The Review of Economics and Statistics, 2012, 94, (1), 222-223 View citations (71)

2011

18. Intra-daily Volume Modeling and Prediction for Algorithmic Trading
    The Journal of Financial Econometrics, 2011, 9, (3), 489-518 View citations (35)
    See also Working Paper (2009)
19. Shrinkage estimation of semiparametric multiplicative error models
    International Journal of Forecasting, 2011, 27, (2), 365-378 View citations (7)
    Also in International Journal of Forecasting, 2011, 27, (2), 365-378 (2011) View citations (7)

2010

20. Automated variable selection in vector multiplicative error models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2470-2486 View citations (7)
    See also Working Paper (2009)
21. Castle, J. L. and Shephard, N.: The methodology and practice of econometrics
    Journal of Economics, 2010, 101, (1), 99-101
22. Comparison of Volatility Measures: a Risk Management Perspective
    The Journal of Financial Econometrics, 2010, 8, (1), 29-56 View citations (95)
    See also Working Paper (2008)
23. Exchange market pressure: some caveats in empirical applications
    Applied Economics, 2010, 42, (19), 2435-2448 View citations (13)
    See also Working Paper (2006)

2009

24. Market interdependence and financial volatility transmission in East Asia
    International Journal of Finance & Economics, 2009, 14, (1), 24-44 View citations (10)
25. 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 (2006)

2008

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

2006

28. A multiple indicators model for volatility using intra-daily data
    Journal of Econometrics, 2006, 131, (1-2), 3-27 View citations (303)
    See also Working Paper (2003)
29. Financial econometric analysis at ultra-high frequency: Data handling concerns
    Computational Statistics & Data Analysis, 2006, 51, (4), 2232-2245 View citations (151)
    See also Working Paper (2006)
30. Frontiers in Time Series Analysis: Introduction
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 679-682
31. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2
32. Volatility estimation via hidden Markov models
    Journal of Empirical Finance, 2006, 13, (2), 203-230 View citations (20)
    See also Working Paper (2002)

2005

33. A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
    Econometric Theory, 2005, 21, (1), 262-277 View citations (11)
    See also Working Paper (2004)

2004

34. Mixture Processes for Financial Intradaily Durations
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-20 View citations (25)

2003

35. 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 (31)
    See also Working Paper (2003)

2002

36. A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
    Econometric Reviews, 2002, 21, (4), 477-496 View citations (25)
    See also Working Paper (2001)
37. Analytic Hessian matrices and the computation of FIGARCH estimates
    Statistical Methods & Applications, 2002, 11, (2), 247-264 View citations (4)
    See also Working Paper (2002)
38. Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets
    IMF Staff Papers, 2002, 49, (1), 2 View citations (39)
    See also Working Paper (2001)

2001

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

2000

40. The effects of trading activity on market volatility
    The European Journal of Finance, 2000, 6, (2), 163-175 View citations (43)

1998

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

1996

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

1991

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

1990

46. 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