Details about Giampiero M. Gallo
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Short-id: pga48
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Working Papers
2023
- Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall
Papers, arXiv.org
2022
- 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
- Multiplicative Error Models: 20 years on
Papers, arXiv.org View citations (2)
- 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)
- 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
- 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)
- Doubly Multiplicative Error Models with Long- and Short-run Components
Papers, arXiv.org View citations (1)
- 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
- 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)
- 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
- 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
- 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)
- 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
- 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"
- 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)
- 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"
- 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
- 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)
- 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)
- 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
- Realized Volatility and Change of Regimes
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
- 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
- Multiplicative Error Models
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (27)
2010
- 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)
- 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
- 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)
- 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)
- 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
- 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)
- 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
- 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)
- 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)
- 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"
- 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"
- 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
- 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)
- 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)
- 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)
- 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)
- 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
- 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
- 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
- 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)
- 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
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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
- 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
- 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
- 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
- On the Evolution of Credibility and Flexible Exchange Rate Target Zones
CEPR Discussion Papers, C.E.P.R. Discussion Papers
1991
- 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
- 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
- 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
- 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
- A dynamic conditional approach to forecasting portfolio weights
International Journal of Forecasting, 2021, 37, (3), 1111-1126 View citations (1)
- 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)
- 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
- Adaptive Lasso for vector Multiplicative Error Models
Quantitative Finance, 2020, 20, (2), 255-274 View citations (3)
- Energy and non–energy Commodities: Spillover Effects on African Stock Markets
Journal of Statistical and Econometric Methods, 2020, 9, (4), 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
- 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)
- On the asymmetric impact of macro–variables on volatility
Economic Modelling, 2019, 76, (C), 135-152 View citations (11)
2018
- 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
- 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)
- Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
Econometric Research in Finance, 2017, 2, (2), 99-111 View citations (1)
- 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
- Forecasting realized volatility with changing average levels
International Journal of Forecasting, 2015, 31, (3), 620-634 View citations (35)
2014
- 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
- SEMIPARAMETRIC VECTOR MEM
Journal of Applied Econometrics, 2013, 28, (7), 1067-1086 View citations (27)
See also Working Paper (2009)
2012
- 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
- 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)
- 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
- 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)
- Castle, J. L. and Shephard, N.: The methodology and practice of econometrics
Journal of Economics, 2010, 101, (1), 99-101
- 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)
- Exchange market pressure: some caveats in empirical applications
Applied Economics, 2010, 42, (19), 2435-2448 View citations (13)
See also Working Paper (2006)
2009
- Market interdependence and financial volatility transmission in East Asia
International Journal of Finance & Economics, 2009, 14, (1), 24-44 View citations (10)
- 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
- 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)
- 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
- 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)
- 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)
- Frontiers in Time Series Analysis: Introduction
Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 679-682
- The econometrics of macroeconomics, finance, and the interface
Journal of Econometrics, 2006, 131, (1-2), 1-2
- Volatility estimation via hidden Markov models
Journal of Empirical Finance, 2006, 13, (2), 203-230 View citations (20)
See also Working Paper (2002)
2005
- 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
- Mixture Processes for Financial Intradaily Durations
Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-20 View citations (25)
2003
- 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
- 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)
- 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)
- 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
- 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
- The effects of trading activity on market volatility
The European Journal of Finance, 2000, 6, (2), 163-175 View citations (43)
1998
- 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)
- Simulation methods in econometrics: editors' introduction
Econometrics Journal, 1998, 1, (ConferenceIssue), Ci-Cvii
- Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets
International Journal of Finance & Economics, 1998, 3, (3), 241-59
1996
- Volatilité conditionnelle, signaux d'échange et perception du risque
Économie et Prévision, 1996, 123, (2), 207-220
1991
- Forecast Error Decomposition in a Nonlinear Model with Provisional Data
Annals of Economics and Statistics, 1991, (22), 103-128
1990
- How to Strip a Model to Its Essential Elements
Computer Science in Economics & Management, 1990, 3, (2), 199-214
Chapters
2021
- On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS
Springer
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