Fabrizio Cipollini : Citation Profile


Are you Fabrizio Cipollini?

Università degli Studi di Firenze

5

H index

5

i10 index

123

Citations

RESEARCH PRODUCTION:

4

Articles

13

Papers

RESEARCH ACTIVITY:

   11 years (2006 - 2017). See details.
   Cites by year: 11
   Journals where Fabrizio Cipollini has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 8 (6.11 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pci77
   Updated: 2019-10-15    RAS profile: 2017-04-11    
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Relations with other researchers


Works with:

Gallo, Giampiero (6)

Engle, Robert (4)

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 (19)

Hautsch, Nikolaus (18)

Otranto, Edoardo (10)

Brownlees, Christian (7)

Malec, Peter (7)

Schienle, Melanie (7)

Xu, Yongdeng (5)

Andersen, Torben (4)

Shephard, Neil (4)

Sheppard, Kevin (4)

Barigozzi, Matteo (3)

Cites to:

Gallo, Giampiero (43)

Engle, Robert (40)

Brownlees, Christian (15)

Bollerslev, Tim (10)

Shephard, Neil (10)

Hautsch, Nikolaus (9)

Diebold, Francis (9)

Andersen, Torben (7)

Chou, Ray (7)

Lunde, Asger (6)

Horvath, Lajos (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 (2018 and 2017)


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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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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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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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2017On the memory of products of long range dependent time series. (2017). Leschinski, Christian. In: Economics Letters. RePEc:eee:ecolet:v:153:y:2017:i:c:p:72-76.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2018Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Alavifard, Farzad ; Pourkhanali, Armin. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:508-526.

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2017Forecasting intraday volume: Comparison of two early models. (2017). Szűcs, Balázs Árpád ; Szcs, Balazs Arpad . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:249-258.

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2017Co-movement measure of information transmission on international equity markets. (2017). Bhatti, Ishaq M ; al Rahahleh, Naseem. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:119-131.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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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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2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642.

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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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2018Modeling Euro STOXX 50 Volatility with Common and Market–specific Components. (2018). Gallo, Giampiero ; Cipollini, Fabrizio. In: Working Paper series. RePEc:rim:rimwps:18-26.

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2017Testing weak exogeneity in multiplicative error models. (2017). Xu, Yongdeng ; Luintel, Kul B. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:10:p:1617-1630.

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2017The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data. (2017). Xu, Yongdeng ; Taylor, Nick. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:7:p:1021-1035.

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2017PSO-based tuning of MURAME parameters for creditworthiness evaluation of Italian SMEs. (2017). Gusso, Riccardo ; Fasano, Giovanni ; Corazza, Marco ; Funari, Stefania. In: Working Papers. RePEc:vnm:wpdman:137.

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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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paper22
2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 22
paper
2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Working Papers.
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This paper has another version. Agregated cites: 22
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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paper27
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: 27
article
2009Semiparametric vector MEM In: Econometrics Working Papers Archive.
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paper17
2013SEMIPARAMETRIC VECTOR MEM.(2013) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 17
article
2011Multiplicative Error Models In: Econometrics Working Papers Archive.
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paper28
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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paper1
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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