Giampiero M. Gallo : Citation Profile

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

19

H index

29

i10 index

1377

Citations

RESEARCH PRODUCTION:

53

Articles

83

Papers

1

Chapters

RESEARCH ACTIVITY:

   37 years (1989 - 2026). See details.
   Cites by year: 37
   Journals where Giampiero M. Gallo has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 67 (4.64 %)

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: 2026-03-28    RAS profile: 2026-03-09    
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Relations with other researchers

Works with:

Otranto, Edoardo (11)

Amendola, Alessandra (3)

Bacchini, Fabio (3)

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 (57)

Xu, Yongdeng (36)

Hautsch, Nikolaus (36)

Lucas, Andre (30)

Shephard, Neil (28)

Hansen, Peter (26)

Storti, Giuseppe (22)

Bauwens, Luc (21)

Caporin, Massimiliano (20)

Teräsvirta, Timo (19)

Andersen, Torben (18)

Cites to:

Engle, Robert (221)

Bollerslev, Tim (113)

Diebold, Francis (89)

Brownlees, Christian (70)

Andersen, Torben (62)

Shephard, Neil (61)

Cipollini, Fabrizio (53)

Hansen, Peter (48)

Otranto, Edoardo (45)

Lunde, Asger (43)

Bauwens, Luc (34)

Main data

Where Giampiero M. Gallo has published?

Journals with more than one article published# docs
Journal of Financial Econometrics5
International Journal of Forecasting5
Computational Statistics & Data Analysis3
Econometrics and Statistics3
Journal of Econometrics3
Oxford Bulletin of Economics and Statistics3
Journal of the Royal Statistical Society Series C2
Econometric Reviews2
Journal of Economics2
International Journal of Finance & Economics2
Studies in Nonlinear Dynamics & Econometrics2

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"45
Papers / arXiv.org13
Department of Economics Working Papers / Department of Economics, University of Trento, Italia2
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico2
NBER Working Papers / National Bureau of Economic Research, Inc2
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego2

Recent works citing Giampiero M. Gallo (2026 and 2025)

YearTitle of citing document
2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2026Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2025). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2025Moments by Integrating the Moment-Generating Function. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2410.23587.

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2025Forecasting Intraday Volume in Equity Markets with Machine Learning. (2025). Cucuringu, Mihai ; Zhang, Chao ; Li, Kang. In: Papers. RePEc:arx:papers:2505.08180.

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2025Kronos: A Foundation Model for the Language of Financial Markets. (2025). Li, Jian ; Zhang, Changshui ; Xu, Wei ; Zhao, Bohan ; Chen, Shuo ; Fu, Zongliang ; Shi, YU. In: Papers. RePEc:arx:papers:2508.02739.

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2026Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment. (2026). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16613.

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2025Multivariate AutoRegressive Smooth Liquidity (MARSLiQ). (2025). Wang, L ; Hafner, C M ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2569.

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2025Multivariate AutoRegressive Smooth Liquidity (MARSLiQ). (2025). Wang, L ; Hafner, C M ; Linton, O B. In: Janeway Institute Working Papers. RePEc:cam:camjip:2529.

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2025Forecasting the Impact of Extreme Weather Events on Electricity Prices in Italy: A GARCH-MIDAS Approach with Enhanced Variable Selection. (2025). Riso, Luigi ; Zoia, Maria Grazia ; Guerzoni, Marco. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0043.

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2025Judgment can spur long memory. (2025). Zanetti Chini, Emilio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001970.

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2025Modelling dynamic interdependence in nonstationary variances with an application to carbon markets. (2025). Amado, Cristina ; Campos-Martins, Susana. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:173:y:2025:i:c:s0165188925000284.

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2025A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797.

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2025Twitter-based market uncertainty and global stock volatility predictability. (2025). Zhou, Mingtao ; Ma, Yong ; Li, Shuaibing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001815.

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2025Forecasting Value-at-Risk and Expected Shortfall using penalized quantile regressions with mixed-frequency data. (2025). Li, LU ; Tang, Linjun ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001068.

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2026Extreme weather events as the main driver of electricity price volatility in Italy: A GARCH-MIDAS approach with machine learning-based variable selection. (2026). Guerzoni, Marco ; Riso, Luigi ; Zoia, Grazia M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:81:y:2026:i:c:s1062940825001524.

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2025Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x.

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2025Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations. (2025). Fan, Jianqing ; Kim, Donggyu ; Wang, Yazhen ; Shin, Minseok. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001836.

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2025Impact of policy uncertainty on stock market volatility in the China’s low-carbon economy. (2025). , Zheng ; Liu, Liping ; Yoon, Seong-Min. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007655.

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2025Detecting the macro drivers in the Australian National Electricity Market asymmetric volatility co-movement. (2025). Wojewodzki, Michal ; Lau, Chi Keung ; Dai, Xingyu ; Wang, Qunwei. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000659.

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2025Compounding geopolitical and energy risks: A clustered stochastic multi-COVOL model. (2025). Billio, Monica ; Casarin, Roberto ; Lpez, Ovielt Baltodano ; Costola, Michele. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s0140988325005274.

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2025Mixed-frequency Quantile Regression Forests for Value-at-Risk forecasting. (2025). Candila, Vincenzo ; Andreani, Mila ; Petrella, Lea. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s014098832500533x.

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2025What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673.

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2025Model specification for volatility forecasting benchmark. (2025). Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007828.

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2025Insider filings as trading signals — Does it pay to be fast?. (2025). Oenschlger, Eike ; Mllenhoff, Steffen. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015435.

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2025The value of cross market volatility in improving the forecast accuracy of risk in the gold, the dollar and the oil futures markets. (2025). Awartani, Basel ; Maghyereh, Aktham. In: Finance Research Letters. RePEc:eee:finlet:v:83:y:2025:i:c:s1544612325009274.

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2025When real estate trembles: Spillover effects on stock price volatility under China’s “Three Red Lines†policy. (2025). Gao, Jingtian ; Zheng, Dengjin ; Zhang, Wei ; Kwon, Jiwon. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pb:s154461232501685x.

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2025Forecasting realized volatility with spillover effects: Perspectives from graph neural networks. (2025). Cucuringu, Mihai ; Dong, Xiaowen ; Zhang, Chao ; Pu, Xingyue. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:377-397.

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2025A stochastic model for predicting the response time of green vs brown stocks to climate change news risk. (2025). Fahmy, Hany. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s037842662500127x.

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2025Mixed-frequency fusion grey panel model for spatiotemporal prediction of photovoltaic power generation. (2025). Rao, Congjun ; Gao, Mingyun ; Xiao, Xinping ; Zuo, Ziyue. In: Renewable Energy. RePEc:eee:renene:v:248:y:2025:i:c:s0960148125007177.

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2025Forecasting realised volatility using regime-switching models. (2025). McMillan, David G ; Kambouroudis, Dimos ; Ding, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:101:y:2025:i:c:s105905602500334x.

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2025A Hybrid GAS-ATT-LSTM Architecture for Predicting Non-Stationary Financial Time Series. (2025). Astudillo, Kevin ; Varela-Alds, Jos ; Ferreira, Guillermo ; Soliz, Mateo ; Flores, Miguel. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:14:p:2300-:d:1704423.

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2025Major Issues in High-Frequency Financial Data Analysis: A Survey of Solutions. (2025). Hua, Lei ; Zhang, LU. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:3:p:347-:d:1573432.

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2025A Study of the Colombian Stock Market with Multivariate Functional Data Analysis (FDA). (2025). Cuadro, Deivis Rodrguez ; Prez-Plaza, Sonia ; Castao-Martnez, Antonia ; Fernndez-Palacn, Fernando. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:5:p:858-:d:1605632.

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2025Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model. (2025). Tian, Boping. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10592-7.

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2025The exponential HEAVY model: an improved approach to volatility modeling and forecasting. (2025). Xu, Yongdeng. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:65:y:2025:i:2:d:10.1007_s11156-024-01358-1.

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2025A beta prime ARMA model for positive time series. (2025). Almohaimeed, Bader ; Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:123873.

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2025US-China Tensions and Stock Market Co-movement between the US and China: Insights from a DCC-DAGARCH-MIDAS Model. (2025). Xu, Jiawei ; Gupta, Rangan ; Fang, Libing ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202522.

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2025On using fuzzy clustering for detecting the number of states in Markov switching models. (2025). Domianello, Luca Scaffidi ; Otranto, Edoardo. In: Annals of Operations Research. RePEc:spr:annopr:v:349:y:2025:i:3:d:10.1007_s10479-025-06585-w.

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2025Integrating sentiment information for risk prediction: the case of crude oil futures market in China. (2025). Zhang, Lin ; Lu, Yunguo ; Jiang, Zhe. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:4:d:10.1007_s00181-024-02678-w.

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2025An automated adaptive trading system for enhanced performance of emerging market portfolios. (2025). Tudor, Cristiana ; Sova, Robert. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00754-3.

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2025Omnibus diagnostic procedures for vector multiplicative errors models. (2025). Hudecov, Rka ; Ngatchou-Wandji, Joseph ; Meintanis, Simos G. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01653-y.

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2025Copula hurdle GARCH models for multivariate non-negative time series. (2025). Hudecov, Rka ; Peta, Michal. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:4:d:10.1007_s00362-025-01713-x.

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2025Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes. (2025). Opschoor, Anne ; Lucas, Andrae ; Schoemaker, Daan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250039.

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2025Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment. (2025). Romero, Laura Capera ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250041.

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2025Eco-RETINA: a green flexible algorithm for model building. (2025). Valarezo Unda, Angel ; Pérez-Amaral, Teodosio ; Alcaraz, Alba ; Capilla, Javier ; Garcaia-Hiernaux, Alfredo. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:2501.

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2025The term structure of interest rates as predictor of stock market volatility. (2025). Megaritis, Anastasios ; Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Kontonikas, Alexandros. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3212-3229.

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2025Analysis of Upstream, Downstream, and Common Firm Shocks Using a Large Factorâ€Augmented Vector Autoregressive Approach. (2025). Grant, Everett ; Yung, Julieta. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:40:y:2025:i:2:p:111-130.

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2025Extended Multivariate EGARCH Model: A Model for Zeroâ€Return and Negative Spillovers. (2025). Xu, Yongdeng. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1266-1279.

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2025Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor Versus National Factor in a GARCHâ€MIDAS Model. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Liao, Wenting. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1441-1466.

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2025Eco-RETINA: a green flexible algorithm for model building. (2025). Alcarz, Alba ; Capilla, Javier ; Valarezo, Angel ; Prez-Amaral, Teodosio ; Garcia-Hiernaux, Alfredo. In: 33rd European Regional ITS Conference, Edinburgh, 2025: Digital innovation and transformation in uncertain times. RePEc:zbw:itse25:331255.

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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.
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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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This paper has nother version. Agregated cites: 1		paper
2020A dynamic conditional approach to portfolio weights forecasting In: Papers.
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2020A Dynamic Conditional Approach to Portfolio Weights Forecasting.(2020) In: Econometrics Working Papers Archive.
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2020Doubly Multiplicative Error Models with Long- and Short-run Components In: Papers.
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2024Doubly multiplicative error models with long- and short-run components.(2024) In: Socio-Economic Planning Sciences.
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2021Unconventional Policies Effects on Stock Market Volatility: A MAP Approach In: Papers.
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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.
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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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2025Multiplicative Error Models: 20 years on.(2025) In: Econometrics and Statistics.
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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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2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add? In: Papers.
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2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?.(2024) In: Working Paper CRENoS.
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2026Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections In: Papers.
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2026VOLatility Archive for Realized Estimates (VOLARE) In: Papers.
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2001Modelling the Impact of Overnight Surprises on Intraâ€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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2002A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).(2002) In: Documentos de Trabajo del ICAE.
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2003Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).(2003) In: Documentos de Trabajo del ICAE.
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2006Frontiers in Time Series Analysis: Introduction In: Oxford Bulletin of Economics and Statistics.
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2024Smooth and Abrupt Dynamics in Financial Volatility: The MSâ€MEMâ€MIDAS In: Oxford Bulletin of Economics and Statistics.
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2022Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS.(2022) In: Working Paper CRENoS.
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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]		article23
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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2024Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment In: Working Paper CRENoS.
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2024Financial returns, sentiment and market volatility. A dynamic assessment..(2024) In: Working Paper Series.
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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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