Giampiero M. Gallo : Citation Profile

Are you Giampiero M. Gallo?

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

18

H index

27

i10 index

1164

Citations

RESEARCH PRODUCTION:

48

Articles

66

Papers

1

Chapters

RESEARCH ACTIVITY:

   33 years (1989 - 2022). See details.
   Cites by year: 35
   Journals where Giampiero M. Gallo has often published
   Relations with other researchers
   Recent citing documents: 122.    Total self citations: 58 (4.75 %)

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: 2023-03-02    RAS profile: 2023-01-06    
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Relations with other researchers

Works with:

Otranto, Edoardo (9)

Amendola, Alessandra (4)

Engle, Robert (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 (45)

Hautsch, Nikolaus (30)

Shephard, Neil (28)

Lucas, Andre (26)

Hansen, Peter (25)

Storti, Giuseppe (22)

Xu, Yongdeng (21)

Bauwens, Luc (18)

Andersen, Torben (18)

Caporin, Massimiliano (17)

Teräsvirta, Timo (17)

Cites to:

Engle, Robert (208)

Bollerslev, Tim (100)

Diebold, Francis (82)

Brownlees, Christian (66)

Shephard, Neil (57)

Andersen, Torben (52)

Cipollini, Fabrizio (50)

Hansen, Peter (47)

Lunde, Asger (42)

Otranto, Edoardo (37)

Bauwens, Luc (34)

Main data

Where Giampiero M. Gallo has published?

Journals with more than one article published# docs
The Journal of Financial Econometrics5
International Journal of Forecasting5
Journal of Econometrics3
Computational Statistics & Data Analysis3
International Journal of Finance & Economics2
Econometric Reviews2
Econometrics and Statistics2
Journal of Economics2
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.org7
Department of Economics Working Papers / Department of Economics, University of Trento, Italia2
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

Recent works citing Giampiero M. Gallo (2022 and 2021)

YearTitle of citing document
2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

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2021Stock Market Reaction towards Terrorism: An Evidence Based on Seasonal Variation in Pakistan. (2021). Akhtar, Masud ; Saad, Muhammad ; Hussain, Rana Yassir ; Mirza, Hammad Hassan ; Abbas, Jauhar. In: Journal of Economic Impact. RePEc:adx:journl:v:3:y:2021:i:3:p:167-177.

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2022Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian ; Wang, Linqi ; Linton, Oliver. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022009.

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2022Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian ; Wang, Linqi ; Linton, Oliver. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022002.

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2021Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2021Improved ACD-based financial trade durations prediction leveraging LSTM networks and Attention Mechanism. (2021). Li, BO ; Long, Wen ; Dai, Wei ; Shi, Yong. In: Papers. RePEc:arx:papers:2101.02736.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2021An investigation of higher order moments of empirical financial data series. (2021). Savel, Sergey ; de Clerk, Luke. In: Papers. RePEc:arx:papers:2103.13199.

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2021Generalized Autoregressive Moving Average Models with GARCH Errors. (2021). Zheng, Tingguo ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2105.05532.

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2021The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298.

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2021Predicting Daily Trading Volume via Various Hidden States. (2021). Li, Pengcheng ; Ma, Shaojun. In: Papers. RePEc:arx:papers:2107.07678.

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2021Causal effect of regulated Bitcoin futures on volatility and volume. (2021). Mealli, Fabrizia ; Cipollini, Fabrizio ; Menchetti, Fiammetta. In: Papers. RePEc:arx:papers:2109.15052.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2022High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933.

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2022Modeling Multivariate Positive-Valued Time Series Using R-INLA. (2022). Basu, Sumanta ; Ravishanker, Nalini ; Dutta, Chiranjit. In: Papers. RePEc:arx:papers:2206.05374.

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2022Efficiency of the Moscow Stock Exchange before 2022. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2207.10476.

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2022Distributional Correlation--Aware Knowledge Distillation for Stock Trading Volume Prediction. (2022). Sun, XU ; Harimoto, Keiko ; Bao, Ruihan ; Zhang, Zhiyuan ; Li, Lei. In: Papers. RePEc:arx:papers:2208.07232.

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

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2022Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

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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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2021Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2022Exploring the dependencies among main cryptocurrency log?returns: A hidden Markov model. (2022). Bartolucci, Francesco ; Forte, Gianfranco ; Pennoni, Fulvia ; Ametrano, Ferdinando. In: Economic Notes. RePEc:bla:ecnote:v:51:y:2022:i:1:n:e12193.

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2021An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2022Generalized autoregressive moving average models with GARCH errors. (2022). Chen, Rong ; Xiao, Han ; Zheng, Tingguo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:125-146.

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2022Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29.

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2022Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2214.

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2022.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

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2021Cross-correlations between price and volume in Chinas crude oil futures market: A study based on multifractal approaches. (2021). Zhang, Hongwei ; Cheng, Hui ; Guo, Yaoqi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s096007792031033x.

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2022Measuring market efficiency: The Shannon entropy of high-frequency financial time series. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006130.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2021A Bayesian semiparametric vector Multiplicative Error Model. (2021). Mira, Antonietta ; Peluso, Stefano ; Donelli, Nicola. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:161:y:2021:i:c:s0167947321000761.

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2022Non-parametric analysis of serial dependence in time series using ordinal patterns. (2022). Matilla-García, Mariano ; Matilla-Garcia, Mariano ; Keller, Karsten ; Marin, Manuel Ruiz ; Weiss, Christian H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:168:y:2022:i:c:s0167947321002152.

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2022Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x.

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2022Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281.

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2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

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2022Determining hedges and safe havens for stocks using interval analysis. (2022). Hsueh, Shao-Chieh ; Liu, Yilei ; Ju, Peijie ; Chang, Meng-Shiuh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274.

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2021A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation. (2021). Hong, Won-Tak ; Hwang, Eunju. In: Economics Letters. RePEc:eee:ecolet:v:203:y:2021:i:c:s0165176521001324.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2021Time-varying general dynamic factor models and the measurement of financial connectedness. (2021). Soccorsi, Stefano ; von Sachs, Rainer ; Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:324-343.

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2021Volatility analysis with realized GARCH-Itô models. (2021). Wang, Yazhen ; Zhou, Yong ; Lu, Zhiping ; Cui, Xiangyu ; Yuan, Huiling ; Kim, Donggyu ; Song, Xinyu. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:393-410.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2021Cyclical fractional cointegration. (2021). Sibbertsen, Philipp ; Voges, Michelle. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:114-129.

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2022Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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2021Volatility cascades in cryptocurrency trading. (2021). Tsiakas, Ilias ; Gradojevic, Nikola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:252-265.

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2021Forecasting volatility using double shrinkage methods. (2021). Cheng, Mingmian ; Yang, Xiye ; Swanson, Norman R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:46-61.

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2022The banking instability and climate change: Evidence from China. (2022). Lu, Li Ping ; Zhang, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006253.

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2021The impact of geopolitical uncertainty on energy volatility. (2021). Xu, Yang ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000855.

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2021Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?. (2021). Ma, Feng ; Wang, LU ; Gao, Xinxin ; Hao, Jianyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000983.

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2021How do macroeconomic news surprises affect round-the-clock price discovery of gold?. (2021). Ilango, Balakrishnan ; Sehgal, Sanjay ; Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002209.

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2022Detecting signed spillovers in global financial markets: A Markov-switching approach. (2022). Kangogo, Moses ; Volkov, Vladimir. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001259.

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2022Predicting VaR for Chinas stock market: A score-driven model based on normal inverse Gaussian distribution. (2022). Song, Shijia ; Li, Handong. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001429.

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2021Covid-19 pandemic and tail-dependency networks of financial assets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Do, Hung Xuan ; Le, Trung Hai. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316147.

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2022Switching connectedness between real estate investment trusts, oil, and gold markets. (2022). Ugolini, Andrea ; Reboredo, Juan ; Vo, Xuan Vinh ; Mensi, Walid. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003361.

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2021Information processing on equity prices and exchange rate for cross-listed stocks. (2021). Scherrer, Cristina Mabel. In: Journal of Financial Markets. RePEc:eee:finmar:v:54:y:2021:i:c:s1386418121000161.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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2022Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. (2022). Marco, Chi Keung ; Lucey, Brian ; Goodell, John W ; Brzeszczyski, Janusz ; Yarovaya, Larisa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000725.

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2021A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Corsi, Fulvio ; Buccheri, Giuseppe ; Vassallo, Danilo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586.

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2021Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting. (2021). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:622-633.

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2021Forecasting the volatility of asset returns: The informational gains from option prices. (2021). Yao, Wenying ; Tang, Chrismin ; Martin, Vance L. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:862-880.

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2021A Practical Guide to harnessing the HAR volatility model. (2021). Clements, Adam ; Daniel, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002417.

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2022FOMC minutes sentiments and their impact on financial markets. (2022). Tadle, Raul Cruz. In: Journal of Economics and Business. RePEc:eee:jebusi:v:118:y:2022:i:c:s0148619521000394.

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2022What type of information calls the attention of forecasters? Evidence from survey data in an emerging market. (2022). de Mendonça, Helder ; de Azevedo, Mateus ; Vereda, Luciano ; de Mendona, Helder Ferreira. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:129:y:2022:i:c:s0261560622001255.

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2022Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency. (2022). Wang, Yazhen ; Song, Xinyu ; Kim, Donggyu. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x22000860.

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2022Spillovers and interdependency across base metals: Evidence from Chinas futures and spot markets. (2022). Tongurai, Jittima ; Chen, Xiangyu. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004876.

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2022Framework based on multiplicative error and residual analysis to forecast bitcoin intraday-volatility. (2022). Kristjanpoller, Werner ; Tapia, Sebastian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008724.

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2021Testing unobserved market heterogeneity in financial markets: The case of Banco Popular. (2021). Sosvilla-Rivero, Simon ; Gomez-Deniz, Emilio ; Perez-Rodriguez, Jorge V. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:151-160.

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2021Share pledge transactions as an investor sentiment indicator - Evidence from China. (2021). Ho Yin Yick, ; Wang, Jianli ; Zhu, Xiaoyu ; Lu, Hengzhen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:230-238.

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2021Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Ding, Hui ; Wang, Jiqian ; Ma, Feng ; Lu, Botao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:672-689.

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2021Digital divides across consumers of internet services in Spain using panel data 2007–2019. Narrowing or not?. (2021). Valarezo Unda, Angel ; Garin-Muoz, Teresa ; Lopez, Rafael ; Perez-Amaral, Teodosio. In: Telecommunications Policy. RePEc:eee:telpol:v:45:y:2021:i:2:s030859612030183x.

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2021Multivariate Analysis of Cryptocurrencies. (2021). Candila, Vincenzo. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:3:p:28-:d:586873.

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2021The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa. (2021). giouvris, evangelos ; Korley, Maud. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:122-:d:517039.

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2021Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019). (2021). Tronzano, Marco. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:127-:d:518658.

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2021The Incidence of Spillover Effects during the Unconventional Monetary Policies Era. (2021). Domianello, Luca Scaffidi ; Lacava, Demetrio. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:242-:d:566026.

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2021Modelling the Impact of Different COVID-19 Pandemic Waves on Real Estate Stock Returns and Their Volatility Using a GJR-GARCHX Approach: An International Perspective. (2021). Tomal, Mateusz. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:8:p:374-:d:614331.

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2022Co-Jumps, Co-Jump Tests, and Volatility Forecasting: Monte Carlo and Empirical Evidence. (2022). Yao, Chun ; Peng, Weijia. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:8:p:334-:d:874107.

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2022Volatility Spillover Effects during Pre-and-Post COVID-19 Outbreak on Indian Market from the USA, China, Japan, Germany, and Australia. (2022). Naik, Deepak Raghava ; Maheshwari, Suneel ; Thangamuthu, Mohanasundaram. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:9:p:378-:d:897410.

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2021.

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2022Exchange Rate Crisis among Inflation Targeting Countries in Sub-Saharan Africa. (2022). Kiss, Gabor David ; Sagi, Judit ; Klutse, Senanu Kwasi. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:5:p:94-:d:808116.

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2021Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach. (2021). Morelli, Giacomo ; Candila, Vincenzo ; Andreani, Mila ; Petrella, Lea. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:144-:d:612252.

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2021Has financial globalization since 1990 reduced income inequality: the role of rating announcements on the volatility and the returns of the Brazilian Financial Market.. (2021). Albouz, Nivine ; Baulant, Camille. In: Working Papers. RePEc:hal:wpaper:hal-03258994.

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2021An Analysis of the Stock Market Volatility Spread in Emerging Countries. (2021). Akkaya, Murat. In: Istanbul Business Research. RePEc:ist:ibsibr:v:50:y:2021:i:2:p:215-233.

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2022Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2022). Asai, Manabu ; McAleer, Michael. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10074-6.

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2022Portfolio Correlations in the Bank-Firm Credit Market of Japan. (2022). Luu, Duc Thi. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:2:d:10.1007_s10614-021-10157-y.

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2022Dynamic relationship between trading volume, returns and returns volatility: an empirical investigation on the main African’s stock markets. (2022). Ouedraogo, Salifou ; Tan, Daouda Lawa. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:5:d:10.1057_s41260-022-00274-0.

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2021Autoregressive conditional proportion: A multiplicative-error model for (0,1)-valued time series. (2021). Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:110954.

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2022A multiplicative thinning-based integer-valued GARCH model. (2022). Scotto, Manuel ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:112475.

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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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2021Modelling Volatility Cycles: The (MF)2 GARCH Model. (2021). Engle, Robert F ; Conrad, Christian. In: Working Paper series. RePEc:rim:rimwps:21-05.

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2022Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies. (2022). Mishra, S K. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:14:y:2022:i:2:p:137-162.

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2021Dirichlet process mixtures under affine transformations of the data. (2021). Nipoti, Bernardo ; Corradin, Riccardo ; Arbel, Julyan. In: Computational Statistics. RePEc:spr:compst:v:36:y:2021:i:1:d:10.1007_s00180-020-01013-y.

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2022Cryptocurrencies and stablecoins: a high-frequency analysis. (2022). Marazzina, Daniele ; Moncayo, Giancarlo Giuffra ; Barucci, Emilio. In: Digital Finance. RePEc:spr:digfin:v:4:y:2022:i:2:d:10.1007_s42521-022-00055-9.

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More than 100 citations found, this list is not complete...

Works by Giampiero M. Gallo:

YearTitleTypeCited
1991Forecast Error Decomposition in a Nonlinear Model with Provisional Data In: Annals of Economics and Statistics.
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2016Copula--based Specification of vector MEMs In: Papers.
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2016Copula--based Specification of vector MEMs.(2016) In: Econometrics Working Papers Archive.
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2020A dynamic conditional approach to portfolio weights forecasting In: Papers.
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2020Doubly Multiplicative Error Models with Long- and Short-run Components In: Papers.
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2021Unconventional Policies Effects on Stock Market Volatility: A MAP Approach In: Papers.
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2021Mixed-frequency quantile regression with realized volatility to forecast Value-at-Risk In: Papers.
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2021On Classifying the Effects of Policy Announcements on Volatility In: Papers.
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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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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.
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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.
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1998Early News is Good News: The Effects of Market Opening on Market Volatility In: Studies in Nonlinear Dynamics & Econometrics.
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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]		article20
1999The Impact of the Use of Forecasts in Information Sets In: University of California at San Diego, Economics Working Paper Series.
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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.
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2020Measuring the Effects of Unconventional Policies on Stock Market Volatility In: Working Paper CRENoS.
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2022Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS In: Working Paper CRENoS.
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1995On the Evolution of Credibility and Flexible Exchange Rate Target Zones In: CEPR Discussion Papers.
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2005A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets In: Econometric Theory.
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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.
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2006Financial econometric analysis at ultra-high frequency: Data handling concerns In: Computational Statistics & Data Analysis.
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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.
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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.
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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.
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2001Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper40
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.
[Full Text][Citation analysis]		paper10
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.
[Full Text][Citation analysis]		paper13
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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2007Volatility transmission across markets: a Multichain Markov Switching model.(2007) In: Applied Financial Economics.
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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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2010Exchange market pressure: some caveats in empirical applications.(2010) In: Applied Economics.
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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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2007Comparison of Volatility Measures: a Risk Management Perspective 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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2011Intra-daily Volume Modeling and Prediction for Algorithmic Trading.(2011) In: The Journal of Financial Econometrics.
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2009Semiparametric vector MEM In: Econometrics Working Papers Archive.
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2013SEMIPARAMETRIC VECTOR MEM.(2013) In: Journal of Applied Econometrics.
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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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2011Multiplicative Error Models In: Econometrics Working Papers Archive.
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2012Realized Volatility and Change of Regimes In: Econometrics Working Papers Archive.
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2012Volatility Swings in the US Financial Markets 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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2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity.(2017) In: Econometrics.
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2019Realized variance modeling: decoupling forecasting from estimation In: Econometrics Working Papers Archive.
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2020Realized Variance Modeling: Decoupling Forecasting from Estimation*.(2020) In: The Journal of Financial Econometrics.
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2009Market interdependence and financial volatility transmission in East Asia In: International Journal of Finance & Economics.
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1998Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets. In: International Journal of Finance & Economics.
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1990How to Strip a Model to Its Essential Elements. In: Computer Science in Economics & Management.
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2010Castle, J. L. and Shephard, N.: The methodology and practice of econometrics In: Journal of Economics.
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2017Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics In: Journal of Economics.
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2008On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria In: The Journal of Financial Econometrics.
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1996Volatilité conditionnelle, signaux déchange et perception du risque In: Économie et Prévision.
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2017Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions In: Econometric Research in Finance.
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2021On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS In: Springer Books.
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2020Energy and non–energy Commodities: Spillover Effects on African Stock Markets In: Journal of Statistical and Econometric Methods.
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2000The effects of trading activity on market volatility In: The European Journal of Finance.
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2020Adaptive Lasso for vector Multiplicative Error Models In: Quantitative Finance.
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2012Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach In: The Review of Economics and Statistics.
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1989Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries In: Department of Economics Working Papers.
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1991Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone In: Department of Economics Working Papers.
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