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.
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2011: Multiplicative Error Models

Christian Brownlees, Fabrizio Cipollini and Giampiero Gallo

2010: Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets

Matteo Barigozzi, Christian Brownlees, Giampiero Gallo and David Veredas

2010: A Time-varying Mixing Multiplicative Error Model for Realized Volatility

Giovanni De Luca and Giampiero Gallo

2010: The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values

Giorgio Calzolari and Laura Neri

2009: Semiparametric vector MEM

Fabrizio Cipollini, Robert Engle and Giampiero Gallo

2009: Automated Variable Selection in Vector Multiplicative Error Models

Fabrizio Cipollini and Giampiero Gallo

2009: Intra-daily Volume Modeling and Prediction for Algorithmic Trading

Christian Brownlees, Fabrizio Cipollini and Giampiero Gallo

2008: A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets

Robert Engle, Giampiero Gallo and Margherita Velucchi

2008: Comparison of Volatility Measures: a Risk Management Perspective

Christian Brownlees and Giampiero Gallo

2007: A Model for Multivariate Non-negative Valued Processes in Financial Econometrics

Fabrizio Cipollini, Robert Engle and Giampiero Gallo

2007: Comparison of Volatility Measures: a Risk Management Perspective

Christian Brownlees and Giampiero Gallo

2007: Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach

Giampiero Gallo and Edoardo Otranto

2007: Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria

Christian Brownlees and Giampiero Gallo

2007: Regime Switching: Italian Financial Markets over a Century

Margherita Velucchi

2007: Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria

Christian Brownlees and Giampiero Gallo

2007: On the Interaction between Ultra–high Frequency Measures of Volatility

Giampiero Gallo and Margherita Velucchi

2006: Exchange Market Pressure: Some Caveats In Empirical Applications

Simone Bertoli, Giampiero Gallo and Giorgio Ricchiuti

2006: Vector Multiplicative Error Models: Representation and Inference

Fabrizio Cipollini, Robert Engle and Giampiero Gallo

2006: Indirect estimation of alpha-stable stochastic volatility models

Marco Lombardi and Giorgio Calzolari

2006: Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns

Christian Brownlees and Giampiero Gallo

2006: Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model

Giampiero Gallo and Edoardo Otranto

2006: Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

Giovanni De Luca and Giampiero Gallo

2005: Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

Giovanni De Luca and Giampiero Gallo

2005: The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes

Antonio Matas-Mir, Denise Osborn and Marco Lombardi

2005: Volatility Transmission in Financial Markets: A New Approach

Giampiero Gallo and Edoardo Otranto

2004: A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets

Teodosio Pérez-Amaral, Giampiero Gallo and Halbert White

2004: Bayesian inference for alpha-stable distributions: a random walk MCMC approach

Marco Lombardi

2004: Indirect estimation of alpha-stable distributions and processes

Marco Lombardi and Giorgio Calzolari

2004: On-line Bayesian estimation of AR signals in symmetric alpha-stable noise

Marco Lombardi and Simon J. Godsill

2003: A Multiple Indicators Model For Volatility Using Intra-Daily Data

Robert Engle and Giampiero Gallo

2003: A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)

Teodosio Pérez-Amaral, Giampiero Gallo and Halbert White

2002: Volatility Estimation via Hidden Markov Models

Alessandro Rossi and Giampiero Gallo

2002: Labor-Cost Effects on Relative Prices between Regions of a Monetary Union: Implications for the EMU

Giovanni Arese-Visconti

2002: Inflation Differentials before and after the EMU

Giovanni Arese-Visconti

2002: Tassi di Cambio Reale: Teoria ed Evidenza Empirica

Giovanni Arese-Visconti

2002: GARCH-based Volatility Forecasts for Market Volatility Indices

Massimiliano Cecconi, Giampiero Gallo and Marco Lombardi

2002: Analytic Hessian Matrices and the Computation of FIGARCH Estimates

Marco Lombardi and Giampiero Gallo

2001: Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns

Giampiero Gallo, Yongmiao Hong and Tae-Why Lee

2001: A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models

Edoardo Otranto and Giampiero Gallo

2001: Modelling the Impact of Overnight Surprises on Intra-daily Volatility

Giampiero Gallo

2001: Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets

Giampiero Gallo, Clive Granger and Yongil Jeon

2001: Alternative Simulation-Based Estimators of Logit Models with Random Effects

Giorgio Calzolari, Fabrizia Mealli and Carla Rampichini

1999: Indirect Estimation of Just-Identified Models with Control Variates

Giorgio Calzolari, Francesca Di Iorio and Gabriele Fiorentini