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Citation Profile [Updated: 2020-06-03 07:38:54]
5 Years H
10
Impact Factor
0.8
5 Years IF
0.26
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.13 0 0 0 0 0 0 0 0 0 0 0.07
1991 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1992 0 0.1 0 0 0 0 0 0 0 0 0 0 0.07
1993 0 0.13 0 0 0 0 0 0 0 0 0 0 0.07
1994 0 0.13 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.19 0 0 0 0 0 0 0 0 0 0 0.09
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.12
1997 0 0.23 0 0 0 0 0 0 0 0 0 0 0.12
1998 0 0.24 0 0 0 0 0 0 0 0 0 0 0.15
1999 0 0.32 0 0 1 1 4 0 0 0 0 0 0.21
2000 0 0.47 0 0 0 1 0 0 1 1 0 0 0.2
2001 1 0.4 0.17 1 5 6 26 1 1 1 1 1 1 0 0 0.22
2002 0.2 0.41 0.17 0.17 6 12 6 2 3 5 1 6 1 2 100 1 0.17 0.23
2003 0.36 0.42 0.36 0.33 2 14 29 5 8 11 4 12 4 0 1 0.5 0.24
2004 0.13 0.47 0.33 0.14 4 18 10 6 14 8 1 14 2 3 50 4 1 0.27
2005 1 0.49 0.43 0.47 3 21 5 9 23 6 6 17 8 1 11.1 0 0.29
2006 0.14 0.48 0.33 0.25 6 27 90 9 32 7 1 20 5 3 33.3 3 0.5 0.27
2007 0.33 0.41 0.26 0.29 7 34 21 8 41 9 3 21 6 4 50 1 0.14 0.22
2008 0.31 0.46 0.31 0.32 2 36 17 11 52 13 4 22 7 3 27.3 0 0.23
2009 0.44 0.43 0.54 0.5 3 39 29 21 73 9 4 22 11 2 9.5 0 0.23
2010 1 0.37 0.38 0.52 3 42 7 16 89 5 5 21 11 3 18.8 0 0.2
2011 0.5 0.47 0.58 0.62 1 43 27 25 114 6 3 21 13 5 20 2 2 0.25
2012 1 0.5 0.73 1 2 45 0 33 147 4 4 16 16 2 6.1 1 0.5 0.26
2013 1 0.52 0.51 1.09 0 45 0 23 170 3 3 11 12 0 0 0.24
2014 0 0.54 0.46 0.78 11 56 23 26 196 2 9 7 8 30.8 2 0.18 0.28
2015 0.36 0.54 0.45 0.53 6 62 0 28 224 11 4 17 9 0 0 0.28
2016 0.18 0.57 0.4 0.4 8 70 0 28 252 17 3 20 8 3 10.7 0 0.29
2017 0 0.58 0.24 0.26 5 75 3 18 270 14 27 7 2 11.1 0 0.28
2018 0.15 0.6 0.24 0.2 5 80 5 19 289 13 2 30 6 0 1 0.2 0.31
2019 0.8 0.65 0.27 0.26 13 93 1 25 314 10 8 35 9 7 28 1 0.08 0.38
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12006Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns. (2006). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_03.

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50
22011Multiplicative Error Models. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2011_03.

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28
32006Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_15.

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24
42007A Model for Multivariate Non-negative Valued Processes in Financial Econometrics. (2007). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_16.

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21
52009Intra-daily Volume Modeling and Prediction for Algorithmic Trading. (2009). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_01.

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20
62014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_02.

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18
72003A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).. (2003). White, Halbert ; perez-amaral, teodosio ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_04.

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16
82001Modelling the Impact of Overnight Surprises on Intra-daily Volatility. (2001). Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_02.

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15
92003A Multiple Indicators Model For Volatility Using Intra-Daily Data.. (2003). Gallo, Giampiero ; Engle, Robert. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_07.

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14
102009Semiparametric vector MEM. (2009). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_03.

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13
112008A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets. (2008). Velucchi, Margherita ; Gallo, Giampiero ; Engle, Robert. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2008_09.

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10
122008Comparison of Volatility Measures: a Risk Management Perspective. (2008). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2008_03.

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8
132001A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models. (2001). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_04.

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8
142006Indirect estimation of alpha-stable stochastic volatility models. (2006). Lombardi, Marco ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_07.

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7
152010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_06.

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7
162001Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Hong, Yongmiao ; Gallo, Giampiero ; Lee, Tae-Why. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_03.

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7
172006Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model. (2006). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_04.

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6
182006Exchange Market Pressure: Some Caveats In Empirical Applications. (2006). Ricchiuti, Giorgio ; Gallo, Giampiero ; Bertoli, Simone. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_17.

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6
19On-line Bayesian estimation of AR signals in symmetric alpha-stable noise.. (2004). Lombardi, Marco ; Godsill, Simon J.. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_05.

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5
20Indirect Estimation of Just-Identified Models with Control Variates. (1999). Fiorentini, Gabriele ; Di Iorio, Francesca ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:quaderno46.

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5
212018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01.

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4
222005Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2005). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_11.

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4
232004Indirect estimation of alpha-stable distributions and processes.. (2004). Lombardi, Marco ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_07.

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3
242002GARCH-based Volatility Forecasts for Market Volatility Indices. (2002). Lombardi, Marco ; Gallo, Giampiero ; Cecconi, Massimiliano. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_06.

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3
252002Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). Lombardi, Marco ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_03.

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3
262017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

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3
272006Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2006). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_12.

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2
282014Are spouses more satisfied than cohabitors? A survey over the last twenty years in Italy. (2014). Vignoli, Daniele ; Pirani, Elena . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_09.

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2
292001Alternative Simulation-Based Estimators of Logit Models with Random Effects. (2001). Rampichini, Carla ; Mealli, Fabrizia ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:quaderno48.

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2
302014Forecasting Realized Volatility with Changes of Regimes. (2014). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_03.

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2
312004Bayesian inference for alpha-stable distributions: a random walk MCMC approach.. (2004). Lombardi, Marco. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_11.

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2
322005The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes. (2005). Osborn, Denise ; Matas Mir, Antonio ; Lombardi, Marco ; Matas-Mir, Antonio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_15.

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1
332014Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares. (2014). Gallo, Giampiero ; Cipollini, Fabrizio ; Calvori, Francesco . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_01.

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1
342014Similar incidence, different nature? Characteristics of Living Apart Together relationships in France and Italy. (2014). Vignoli, Daniele ; Regnier-Loilier, Arnaud . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_11.

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1
352019Employment Uncertainty and Fertility Intentions: Stability or Resilience?. (2019). Vignoli, Daniele ; Mencarini, Letizia ; Mattioli, Francesco ; Gatta, Arianna. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_12.

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1
362001Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets. (2001). Granger, Clive ; Gallo, Giampiero ; Jeon, Yongil . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_01.

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1
372012Volatility Swings in the US Financial Markets. (2012). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2012_03.

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1
382017Combining 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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1
392009Automated Variable Selection in Vector Multiplicative Error Models. (2009). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_02.

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1
40Volatility Transmission in Financial Markets: A New Approach. (2005). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_10.

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1
412019Employment Uncertainty and Fertility: A Network Meta-Analysis of European Research Findings. (2019). Matysiak, Anna ; Baccini, Michela ; Vignoli, Daniele ; Alderotti, Giammarco. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_06.

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1
422007Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_02.

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1
432004A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets.. (2004). White, Halbert ; perez-amaral, teodosio ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_12.

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1
442018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05.

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1
452016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_04.

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1
462018Is the Impact of Employment Uncertainty on Fertility Intentions Channeled by Subjective Well-Being?. (2018). Mencarini, Letizia ; Alderotti, Giammarco ; Vignoli, Daniele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_04.

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1
472010A Time-varying Mixing Multiplicative Error Model for Realized Volatility. (2010). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_03.

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1
482002Inflation Differentials before and after the EMU. (2002). Arese-Visconti, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_19.

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1
492015Uncertain Lives. Insights into the Role of Job Precariousness in Union Formation. (2015). Vignoli, Daniele ; Tocchioni, Valentina ; Salvini, Silvana . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2015_02.

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1
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12006Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns. (2006). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_03.

Full description at Econpapers || Download paper

9
22014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_02.

Full description at Econpapers || Download paper

6
32018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01.

Full description at Econpapers || Download paper

4
42011Multiplicative Error Models. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2011_03.

Full description at Econpapers || Download paper

4
52006Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_15.

Full description at Econpapers || Download paper

4
62017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

Full description at Econpapers || Download paper

3
72006Indirect estimation of alpha-stable stochastic volatility models. (2006). Lombardi, Marco ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_07.

Full description at Econpapers || Download paper

3
82001Modelling the Impact of Overnight Surprises on Intra-daily Volatility. (2001). Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_02.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor: 8
YearTitle
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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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_01.

Full description at Econpapers || Download paper

2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:19-01.

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2019
2019Spread-ing uncertainty, shrinking birth rates. (2019). Vignoli, Daniele ; Comolli, Chiara L. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_08.

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2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

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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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Recent citations
Recent citations received in 2019

YearCiting document
2019Spread-ing uncertainty, shrinking birth rates. (2019). Vignoli, Daniele ; Comolli, Chiara L. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_08.

Full description at Econpapers || Download paper

Recent citations received in 2018

YearCiting document
2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

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Recent citations received in 2017

YearCiting document