EconPapers    
Economics at your fingertips  
 

Econometrics Working Papers Archive

From Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
Viale G.B. Morgagni, 59 - I-50134 Firenze - Italy.
Contact information at EDIRC.

Bibliographic data for series maintained by Fabrizio Cipollini ().

Access Statistics for this working paper series.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


2012: Volatility Swings in the US Financial Markets Downloads
Giampiero Gallo and Edoardo Otranto
2012: Realized Volatility and Change of Regimes Downloads
Giampiero Gallo and Edoardo Otranto
2011: Multiplicative Error Models Downloads
Christian Brownlees, Fabrizio Cipollini and Giampiero Gallo
2010: Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets Downloads
Matteo Barigozzi, Christian Brownlees, Giampiero Gallo and David Veredas
2010: A Time-varying Mixing Multiplicative Error Model for Realized Volatility Downloads
Giovanni De Luca and Giampiero Gallo
2010: The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values Downloads
Giorgio Calzolari and Laura Neri
2009: Semiparametric vector MEM Downloads
Fabrizio Cipollini, Robert Engle and Giampiero Gallo
2009: Automated Variable Selection in Vector Multiplicative Error Models Downloads
Fabrizio Cipollini and Giampiero Gallo
2009: Intra-daily Volume Modeling and Prediction for Algorithmic Trading Downloads
Christian Brownlees, Fabrizio Cipollini and Giampiero Gallo
2008: A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets Downloads
Robert Engle, Giampiero Gallo and Margherita Velucchi
2008: Comparison of Volatility Measures: a Risk Management Perspective Downloads
Christian Brownlees and Giampiero Gallo
2007: A Model for Multivariate Non-negative Valued Processes in Financial Econometrics Downloads
Fabrizio Cipollini, Robert Engle and Giampiero Gallo
2007: Comparison of Volatility Measures: a Risk Management Perspective Downloads
Christian T. Brownlees and Giampiero Gallo
2007: Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach Downloads
Giampiero Gallo and Edoardo Otranto
2007: Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria Downloads
Christian Brownlees and Giampiero Gallo
2007: Regime Switching: Italian Financial Markets over a Century Downloads
Margherita Velucchi
2007: Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria Downloads
Christian Brownlees and Giampiero Gallo
2007: On the Interaction between Ultra–high Frequency Measures of Volatility Downloads
Giampiero Gallo and Margherita Velucchi
2006: Exchange Market Pressure: Some Caveats In Empirical Applications Downloads
Simone Bertoli, Giampiero Gallo and Giorgio Ricchiuti
2006: Vector Multiplicative Error Models: Representation and Inference Downloads
Fabrizio Cipollini, Robert Engle and Giampiero Gallo
2006: Indirect estimation of alpha-stable stochastic volatility models Downloads
Marco Lombardi and Giorgio Calzolari
2006: Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns Downloads
Christian Brownlees and Giampiero Gallo
2006: Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model Downloads
Giampiero Gallo and Edoardo Otranto
2006: Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models Downloads
Giovanni De Luca and Giampiero Gallo
2005: Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models Downloads
Giovanni De Luca and Giampiero Gallo
2005: The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes Downloads
Antonio Matas-Mir, Denise Osborn and Marco Lombardi
2005: Volatility Transmission in Financial Markets: A New Approach Downloads
Giampiero Gallo and Edoardo Otranto
2004: A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets Downloads
Teodosio Perez-Amaral, Giampiero Gallo and Halbert White
2004: Bayesian inference for alpha-stable distributions: a random walk MCMC approach Downloads
Marco Lombardi
2004: Indirect estimation of alpha-stable distributions and processes Downloads
Marco Lombardi and Giorgio Calzolari
2004: On-line Bayesian estimation of AR signals in symmetric alpha-stable noise Downloads
Marco Lombardi and Simon J. Godsill
2003: A Multiple Indicators Model For Volatility Using Intra-Daily Data Downloads
Robert Engle and Giampiero Gallo
2003: A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) Downloads
Teodosio Perez-Amaral, Giampiero Gallo and Halbert White
2002: Volatility Estimation via Hidden Markov Models Downloads
Alessandro Rossi and Giampiero Gallo
2002: Inflation Differentials before and after the EMU Downloads
Giovanni Arese-Visconti
2002: Tassi di Cambio Reale: Teoria ed Evidenza Empirica Downloads
Giovanni Arese-Visconti
2002: GARCH-based Volatility Forecasts for Market Volatility Indices Downloads
Massimiliano Cecconi, Giampiero Gallo and Marco Lombardi
2002: Analytic Hessian Matrices and the Computation of FIGARCH Estimates Downloads
Marco Lombardi and Giampiero Gallo
2001: Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns Downloads
Giampiero Gallo, Yongmiao Hong and Tae-Why Lee
2001: A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models Downloads
Edoardo Otranto and Giampiero Gallo
2001: Modelling the Impact of Overnight Surprises on Intra-daily Volatility Downloads
Giampiero Gallo
2001: Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets Downloads
Giampiero Gallo, Clive Granger and Yongil Jeon
2001: Alternative Simulation-Based Estimators of Logit Models with Random Effects Downloads
Giorgio Calzolari, Fabrizia Mealli and Carla Rampichini
1999: Indirect Estimation of Just-Identified Models with Control Variates Downloads
Giorgio Calzolari, Francesca Di Iorio and Gabriele Fiorentini
Page updated 2020-11-24
Sorted by date