Fabrizio Cipollini : Citation Profile


Are you Fabrizio Cipollini?

Università degli Studi di Firenze

5

H index

5

i10 index

140

Citations

RESEARCH PRODUCTION:

4

Articles

13

Papers

RESEARCH ACTIVITY:

   11 years (2006 - 2017). See details.
   Cites by year: 12
   Journals where Fabrizio Cipollini has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 8 (5.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pci77
   Updated: 2020-11-21    RAS profile: 2017-04-11    
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Relations with other researchers


Works with:

Gallo, Giampiero (4)

Engle, Robert (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Fabrizio Cipollini.

Is cited by:

Gallo, Giampiero (30)

Hautsch, Nikolaus (19)

Otranto, Edoardo (11)

Brownlees, Christian (7)

Malec, Peter (7)

Schienle, Melanie (7)

Xu, Yongdeng (5)

Engle, Robert (4)

Sheppard, Kevin (4)

Shephard, Neil (4)

Andersen, Torben (4)

Cites to:

Gallo, Giampiero (43)

Engle, Robert (40)

Brownlees, Christian (15)

Shephard, Neil (10)

Bollerslev, Tim (10)

Diebold, Francis (9)

Hautsch, Nikolaus (9)

Chou, Ray (7)

Andersen, Torben (7)

Horvath, Lajos (6)

Lunde, Asger (6)

Main data


Where Fabrizio Cipollini has published?


Working Papers Series with more than one paper published# docs
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"10

Recent works citing Fabrizio Cipollini (2020 and 2019)


YearTitle of citing document
2019Quintet Volume Projection. (2019). Rashkovich, Vlad ; Vilenskaia, Olga ; Markov, Vladimir. In: Papers. RePEc:arx:papers:1904.01412.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2010.08259.

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2020Measuring the Effects of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202006.

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2020Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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2019Modeling Euro STOXX 50 volatility with common and market-specific components. (2019). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:22-42.

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2019A SHARP model of bid–ask spread forecasts. (2019). Pirino, Davide ; Cattivelli, Luca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1211-1225.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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2019Realized Volatility Forecasting: Robustness to Measurement Errors. (2019). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_04.

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2019Realized variance modeling: decoupling forecasting from estimation. (2019). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_05.

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2019Forecasting Realized Volatility Using a Nonnegative Semiparametric Model. (2019). Yu, Jun ; JunYu, ; Daniel, ; Eriksson, Anders. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:139-:d:262198.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:93802.

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2019Point forecasting of intraday volume using Bayesian autoregressive conditional volume models. (2019). Huptas, Roman. In: Journal of Forecasting. RePEc:wly:jforec:v:38:y:2019:i:4:p:293-310.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2019Modeling Euro STOXX 50 volatility with common and market-specific components. (2019). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:22-42.

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Works by Fabrizio Cipollini:


YearTitleTypeCited
2016Copula--based Specification of vector MEMs In: Papers.
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paper1
2016Copula--based Specification of vector MEMs.(2016) In: Econometrics Working Papers Archive.
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This paper has another version. Agregated cites: 1
paper
2010Automated variable selection in vector multiplicative error models In: Computational Statistics & Data Analysis.
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article4
2009Automated Variable Selection in Vector Multiplicative Error Models.(2009) In: Econometrics Working Papers Archive.
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This paper has another version. Agregated cites: 4
paper
2006Vector Multiplicative Error Models: Representation and Inference In: Econometrics Working Papers Archive.
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paper24
2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 24
paper
2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Working Papers.
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This paper has another version. Agregated cites: 24
paper
2007A Model for Multivariate Non-negative Valued Processes in Financial Econometrics In: Econometrics Working Papers Archive.
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paper19
2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive.
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paper35
2011Intra-daily Volume Modeling and Prediction for Algorithmic Trading.(2011) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 35
article
2009Semiparametric vector MEM In: Econometrics Working Papers Archive.
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paper20
2013SEMIPARAMETRIC VECTOR MEM.(2013) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 20
article
2011Multiplicative Error Models In: Econometrics Working Papers Archive.
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paper29
2014Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares In: Econometrics Working Papers Archive.
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paper1
2016Median Response to Shocks: A Model for VaR Spillovers in East Asia In: Econometrics Working Papers Archive.
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paper0
2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity In: Econometrics Working Papers Archive.
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paper4
2013Determinants of SME credit worthiness under Basel rules: the value of credit history information In: PSL Quarterly Review.
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article3

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