Giampiero M. Gallo : Citation Profile

Are you Giampiero M. Gallo?

Rimini Centre for Economic Analysis (RCEA) (1% share)
Centro Ricerche Nord Sud (CRENoS) (99% share)

18

H index

27

i10 index

1232

Citations

RESEARCH PRODUCTION:

49

Articles

72

Papers

1

Chapters

RESEARCH ACTIVITY:

   34 years (1989 - 2023). See details.
   Cites by year: 36
   Journals where Giampiero M. Gallo has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 61 (4.72 %)

EXPERT IN:

   Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
   Model Construction and Estimation
   Financial Crises

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pga48
   Updated: 2024-01-16    RAS profile: 2023-11-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Otranto, Edoardo (10)

Amendola, Alessandra (4)

Bacchini, Fabio (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Giampiero M. Gallo.

Is cited by:

Otranto, Edoardo (46)

Hautsch, Nikolaus (30)

Shephard, Neil (28)

Lucas, Andre (26)

Hansen, Peter (25)

Storti, Giuseppe (22)

Xu, Yongdeng (21)

Bauwens, Luc (20)

Caporin, Massimiliano (19)

Andersen, Torben (18)

Khalifa, Ahmed (17)

Cites to:

Engle, Robert (217)

Bollerslev, Tim (108)

Diebold, Francis (87)

Brownlees, Christian (70)

Shephard, Neil (58)

Andersen, Torben (58)

Cipollini, Fabrizio (53)

Hansen, Peter (48)

Otranto, Edoardo (43)

Lunde, Asger (43)

Bauwens, Luc (34)

Main data

Where Giampiero M. Gallo has published?

Journals with more than one article published# docs
International Journal of Forecasting5
The Journal of Financial Econometrics5
Computational Statistics & Data Analysis3
Journal of Econometrics3
Econometric Reviews2
Journal of Economics2
International Journal of Finance & Economics2
Econometrics and Statistics2
Journal of the Royal Statistical Society Series C2
Studies in Nonlinear Dynamics & Econometrics2
Oxford Bulletin of Economics and Statistics2

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"44
Papers / arXiv.org10
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego2
NBER Working Papers / National Bureau of Economic Research, Inc2
Department of Economics Working Papers / Department of Economics, University of Trento, Italia2

Recent works citing Giampiero M. Gallo (2024 and 2023)

YearTitle of citing document
2023Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2023Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market. (2023). Petrella, Lea ; Merlo, Luca ; Foroni, Beatrice. In: Papers. RePEc:arx:papers:2307.06400.

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2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27.

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2023On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence. (2023). Otranto, E ; Domianello, Scaffidi L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202304.

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2023Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

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2023The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074.

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2023How does inter-industry spillover improve the performance of volatility forecasting?. (2023). Zhu, Xingting ; Xiao, Wen ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000013.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications. (2023). Wang, Bin ; Kim, Jihyun ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1934-1954.

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2023A financial risk meter for China. (2023). Hardle, Wolfgang Karl ; Althof, Michael ; Wang, Ruting. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000572.

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2023The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach. (2023). Li, Jie ; Han, Yingwei. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004264.

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2023Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model. (2023). Lee, Hsiang-Tai. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028323000030.

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2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

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2023Differing behaviours of forecasters of UK GDP growth. (2023). Driver, Ciaran ; Meade, Nigel. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:772-790.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2023Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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2023Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices. (2023). Liang, Chao ; Duc, Toan Luu ; Lu, Xinjie ; Shen, Lihua. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:224-239.

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2023Hedging performance using google Trends–Evidence from the indian forex options market. (2023). Chang, Chia-Chien ; Liu, Hung-Tsen ; Chi, Tsung-Li. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:107-123.

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2023Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter. (2023). Asai, Manabu. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:18-:d:1207445.

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2023Herding in Probabilistic Forecasts. (2023). Satopaa, Ville ; Keppo, Jussi ; Jia, Yanwei. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2713-2732.

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2023Volatility Puzzle: Long Memory or Antipersistency. (2023). Yu, Jun ; Shi, Shuping. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3861-3883.

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2023Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2023). Tomanova, Petra ; Hol, Vladimir. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-021-10210-w.

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2023Neural network predictions of the high-frequency CSI300 first distant futures trading volume. (2023). Zhang, Yun ; Xu, Xiaojie. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:2:d:10.1007_s11408-022-00421-y.

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2023Return Volatility, Correlation, and Hedging of Green and Brown Stocks: Is there a Role for Climate Risk Factors?. (2023). GUPTA, RANGAN ; Fang, Libing ; Bouri, Elie ; Li, Haohua. In: Working Papers. RePEc:pre:wpaper:202301.

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2023Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model. (2023). Cepni, Oguzhan ; Gupta, Rangan ; Liao, Wenting ; Salisu, Afees A. In: Working Papers. RePEc:pre:wpaper:202323.

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2023The Analysis of the Dynamic Relationships between Real Exchange Rates and Macroeconomic Variables in Selected Countries with Targeted Inflation: Evidence from Linear and Non-Linear ARDL Models. (2023). Uki, Malia ; Ozer, Mustafa. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2023:i:2:p:104-124.

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2023A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x.

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2023Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data. (2023). Shira, Ruba Khalid ; Lamouchi, Rim Ammar. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_3.

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2023Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. (2021). Lucas, Andr E ; Blasques, Francisco ; Rossini, Luca ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210010.

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2023Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051.

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2023Foreign exchange market asymmetries in Pacific small island developing states: Evidence from Fiji. (2023). Singh, Rup ; Jain, Devendra Kumar ; Chand, Ronal ; Patel, Arvind. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:4353-4364.

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2023Forecasting realized volatility in turbulent times using temporal fusion transformers. (2023). Frank, Johannes. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:032023.

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Works by Giampiero M. Gallo:

YearTitleTypeCited
1991Forecast Error Decomposition in a Nonlinear Model with Provisional Data In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article0
2016Copula--based Specification of vector MEMs In: Papers.
[Full Text][Citation analysis]		paper1
2016Copula--based Specification of vector MEMs.(2016) In: Econometrics Working Papers Archive.
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This paper has nother version. Agregated cites: 1		paper
2020A dynamic conditional approach to portfolio weights forecasting In: Papers.
[Full Text][Citation analysis]		paper0
2020Doubly Multiplicative Error Models with Long- and Short-run Components In: Papers.
[Full Text][Citation analysis]		paper1
2021Unconventional Policies Effects on Stock Market Volatility: A MAP Approach In: Papers.
[Full Text][Citation analysis]		paper0
2022Unconventional policies effects on stock market volatility: The MAP approach.(2022) In: Journal of the Royal Statistical Society Series C.
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2023Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall In: Papers.
[Full Text][Citation analysis]		paper1
2021On Classifying the Effects of Policy Announcements on Volatility In: Papers.
[Full Text][Citation analysis]		paper1
2020On Classifying the Effects of Policy Announcements on Volatility.(2020) In: Working Paper CRENoS.
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2021Multiplicative Error Models: 20 years on In: Papers.
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2023Volatility jumps and the classification of monetary policy announcements In: Papers.
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2023Volatility jumps and the classification of monetary policy announcements.(2023) In: Working Paper CRENoS.
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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts In: Papers.
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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts.(2023) In: Working Paper CRENoS.
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2023Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito In: Papers.
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2023Indicatori comuni del PNRR e framework SDGs:una proposta di indicatore composito.(2023) In: Working Papers LuissLab.
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2001Modelling the Impact of Overnight Surprises on Intra?daily Volatility In: Australian Economic Papers.
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2001Modelling the Impact of Overnight Surprises on Intra-daily Volatility.(2001) In: Econometrics Working Papers Archive.
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2018Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach In: Journal of the Royal Statistical Society Series C.
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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach.(2017) In: Econometrics Working Papers Archive.
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2003A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article31
2003A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)..(2003) In: Econometrics Working Papers Archive.
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2006Frontiers in Time Series Analysis: Introduction In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article0
1998Early News is Good News: The Effects of Market Opening on Market Volatility In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article7
1998Early News Is Good News. The Effects of Market Opening on Market Volatility..(1998) In: Economics Working Papers.
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2004Mixture Processes for Financial Intradaily Durations In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article21
1999The Impact of the Use of Forecasts in Information Sets In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper9
1999The impact of the use of forecasts in information sets.(1999) In: Research Notes.
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1999Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper0
2020Measuring the Effects of Unconventional Policies on Stock Market Volatility In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper1
2022Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper0
1995On the Evolution of Credibility and Flexible Exchange Rate Target Zones In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2005A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets In: Econometric Theory.
[Full Text][Citation analysis]		article11
2004A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets..(2004) In: Econometrics Working Papers Archive.
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1998Simulation methods in econometrics: editors introduction In: Econometrics Journal.
[Citation analysis]		article0
2006Financial econometric analysis at ultra-high frequency: Data handling concerns In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article137
2006Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns.(2006) In: Econometrics Working Papers Archive.
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2008Volatility spillovers, interdependence and comovements: A Markov Switching approach In: Computational Statistics & Data Analysis.
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2007Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach.(2007) In: Econometrics Working Papers Archive.
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2010Automated variable selection in vector multiplicative error models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article3
2009Automated Variable Selection in Vector Multiplicative Error Models.(2009) In: Econometrics Working Papers Archive.
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2019On the asymmetric impact of macro–variables on volatility In: Economic Modelling.
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2006The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics.
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2006A multiple indicators model for volatility using intra-daily data In: Journal of Econometrics.
[Full Text][Citation analysis]		article297
2003A Multiple Indicators Model For Volatility Using Intra-Daily Data..(2003) In: Econometrics Working Papers Archive.
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2003A Multiple Indicators Model for Volatility Using Intra-Daily Data.(2003) In: NBER Working Papers.
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2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
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2014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive.
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2019Modeling Euro STOXX 50 volatility with common and market-specific components In: Econometrics and Statistics.
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2018Modeling Euro STOXX 50 Volatility with Common and Market–specific Components.(2018) In: Working Paper series.
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2021Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model In: Econometrics and Statistics.
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2006Volatility estimation via hidden Markov models In: Journal of Empirical Finance.
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2002Volatility Estimation via Hidden Markov Models..(2002) In: Econometrics Working Papers Archive.
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2011Shrinkage estimation of semiparametric multiplicative error models In: International Journal of Forecasting.
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2011Shrinkage estimation of semiparametric multiplicative error models.(2011) In: International Journal of Forecasting.
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2015Forecasting realized volatility with changing average levels In: International Journal of Forecasting.
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2021Realized volatility forecasting: Robustness to measurement errors In: International Journal of Forecasting.
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2019Realized Volatility Forecasting: Robustness to Measurement Errors.(2019) In: Econometrics Working Papers Archive.
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2021A dynamic conditional approach to forecasting portfolio weights In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2001Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets In: Econometrics Working Papers Archive.
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2002Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets.(2002) In: IMF Staff Papers.
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2001Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns In: Econometrics Working Papers Archive.
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2001A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models In: Econometrics Working Papers Archive.
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2002A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS.(2002) In: Econometric Reviews.
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2002Analytic Hessian Matrices and the Computation of FIGARCH Estimates In: Econometrics Working Papers Archive.
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2002Analytic Hessian matrices and the computation of FIGARCH estimates.(2002) In: Statistical Methods & Applications.
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2002GARCH-based Volatility Forecasts for Market Volatility Indices In: Econometrics Working Papers Archive.
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2005Volatility Transmission in Financial Markets: A New Approach In: Econometrics Working Papers Archive.
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2005Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models In: Econometrics Working Papers Archive.
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2006Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models.(2006) In: Econometrics Working Papers Archive.
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2009Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models.(2009) In: Econometric Reviews.
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2006Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model In: Econometrics Working Papers Archive.
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2006Vector Multiplicative Error Models: Representation and Inference In: Econometrics Working Papers Archive.
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2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Technical Working Papers.
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2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Working Papers.
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2006Exchange Market Pressure: Some Caveats In Empirical Applications In: Econometrics Working Papers Archive.
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2007On the Interaction between Ultra–high Frequency Measures of Volatility In: Econometrics Working Papers Archive.
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2007Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria In: Econometrics Working Papers Archive.
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2007Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria In: Econometrics Working Papers Archive.
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2008Comparison of Volatility Measures: a Risk Management Perspective.(2008) In: Econometrics Working Papers Archive.
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2010Comparison of Volatility Measures: a Risk Management Perspective.(2010) In: The Journal of Financial Econometrics.
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2007A Model for Multivariate Non-negative Valued Processes in Financial Econometrics In: Econometrics Working Papers Archive.
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2008A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets In: Econometrics Working Papers Archive.
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2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive.
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2010A Time-varying Mixing Multiplicative Error Model for Realized Volatility In: Econometrics Working Papers Archive.
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2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
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2014Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares In: Econometrics Working Papers Archive.
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2014Forecasting Realized Volatility with Changes of Regimes In: Econometrics Working Papers Archive.
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2016Median Response to Shocks: A Model for VaR Spillovers in East Asia In: Econometrics Working Papers Archive.
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2016Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM In: Econometrics Working Papers Archive.
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2016Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears In: Econometrics Working Papers Archive.
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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity In: Econometrics Working Papers Archive.
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