Giampiero M. Gallo : Citation Profile

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

19

H index

28

i10 index

1319

Citations

RESEARCH PRODUCTION:

53

Articles

80

Papers

1

Chapters

RESEARCH ACTIVITY:

   36 years (1989 - 2025). See details.
   Cites by year: 36
   Journals where Giampiero M. Gallo has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 66 (4.77 %)

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: 2025-04-26    RAS profile: 2025-03-14    
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Relations with other researchers

Works with:

Otranto, Edoardo (9)

Amendola, Alessandra (4)

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 (46)

Hautsch, Nikolaus (34)

Xu, Yongdeng (34)

Lucas, Andre (29)

Shephard, Neil (28)

Hansen, Peter (26)

Storti, Giuseppe (22)

Bauwens, Luc (20)

Caporin, Massimiliano (20)

Teräsvirta, Timo (19)

Andersen, Torben (18)

Cites to:

Engle, Robert (220)

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
Studies in Nonlinear Dynamics & Econometrics2
Journal of Economics2
Econometric Reviews2
International Journal of Finance & Economics2

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.org11
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico2
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 (2025 and 2024)

YearTitle of citing document
2024Zero-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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2025A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2025Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2024Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan ; Zhuang, Zixi. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199.

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2024.

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2024.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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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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2024Nonnegative GARCH-type models with conditional Gamma distributions and their applications. (2024). Hwang, Eunju ; Jeon, Chanhyeok. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:198:y:2024:i:c:s0167947324000902.

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2024Detecting statistically significant changes in connectedness: A bootstrap-based technique. (2024). Nguyen, Viet Hoang ; KoÄenda, Evžen ; Greenwood-Nimmo, Matthew ; Koenda, Even. In: Economic Modelling. RePEc:eee:ecmode:v:140:y:2024:i:c:s0264999324002001.

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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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2024Dynamic volatility spillover and market emergency: Matching and forecasting. (2024). Chen, Jin ; Zhou, Wei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000354.

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2024Green bonds and traditional and emerging investments: Understanding connectedness during crises. (2024). Corbet, Shaen ; Hu, Yang ; Xu, Danyang ; Oxley, Les ; Hou, Yang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000676.

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2024Time-varying multivariate causal processes. (2024). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2024A new macro-financial condition index for the euro area. (2024). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:64-87.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2024A novel interval-based hybrid framework for crude oil price forecasting and trading. (2024). Wang, Shouyang ; Sun, Yuying ; Zheng, LI. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323007648.

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2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Mazouz, Khelifa ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

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2024Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584.

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2024Stock market volatility and economic policy uncertainty: New insight into a dynamic threshold mixed-frequency model. (2024). Yang, Hua ; Tang, Yusui ; Zeng, Qing ; Zhang, XI. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010863.

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2024Is the prediction of precious metal market volatility influenced by internet searches regarding uncertainty?. (2024). Cao, Xiangye ; Zhang, Junchao ; Li, Wei. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s154461232400299x.

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2024Deep learning enhanced volatility modeling with covariates. (2024). Nguyen, Hoang ; Tran, Minh-Ngoc. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011747.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2024Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants. (2024). Vo, Xuan Vinh ; al Rababa, Abdel Razzaq ; Ziadat, Salem Adel ; Mensi, Walid ; Kang, Sang Hoon. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:1-17.

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2024The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume. (2024). Ku, Yu-Cheng ; Chuang, Hwei-Lin ; Zhao, Kai ; Kao, Yu-Sheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:524-542.

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2025.

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2025.

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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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2024Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Sangrey, Paul ; Renault, Eric ; Cheng, XU. In: PIER Working Paper Archive. RePEc:pen:papers:24-013.

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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). Ngatchou-Wandji, Joseph ; Meintanis, Simos G ; Hudecov, Rka. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01653-y.

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2024Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting. (2024). Opschoor, Anne ; Romero, Laura Capera. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240059.

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2025.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2024Robust High-Dimensional Time-Varying Coefficient Estimation. (2024). Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202417.

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2024Forecasting the Asian stock market volatility: Evidence from WTI and INE oil futures. (2024). Huang, Dengshi ; Ma, Feng ; Ghani, Maria. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1496-1512.

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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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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.
[Full Text][Citation analysis]		paper1
2020On Classifying the Effects of Policy Announcements on Volatility.(2020) In: Working Paper CRENoS.
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2021Multiplicative Error Models: 20 years on In: Papers.
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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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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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.() In: .
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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]		article21
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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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.
[Full Text][Citation analysis]		paper1
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.
[Full Text][Citation analysis]		article145
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.
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2002Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets.(2002) In: IMF Staff Papers.
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2001Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns In: Econometrics Working Papers Archive.
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2001A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models In: Econometrics Working Papers Archive.
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2002A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS.(2002) In: Econometric Reviews.
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2002Analytic Hessian Matrices and the Computation of FIGARCH Estimates In: Econometrics Working Papers Archive.
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2002Analytic Hessian matrices and the computation of FIGARCH estimates.(2002) In: Statistical Methods & Applications.
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2002GARCH-based Volatility Forecasts for Market Volatility Indices In: Econometrics Working Papers Archive.
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2005Volatility Transmission in Financial Markets: A New Approach In: Econometrics Working Papers Archive.
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2005Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models In: Econometrics Working Papers Archive.
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2006Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models.(2006) In: Econometrics Working Papers Archive.
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2009Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models.(2009) In: Econometric Reviews.
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2006Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model In: Econometrics Working Papers Archive.
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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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2010Comparison of Volatility Measures: a Risk Management Perspective.(2010) In: Journal of Financial Econometrics.
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2007A Model for Multivariate Non-negative Valued Processes in Financial Econometrics In: Econometrics Working Papers Archive.
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2008A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets In: Econometrics Working Papers Archive.
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2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive.
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2010A Time-varying Mixing Multiplicative Error Model for Realized Volatility In: Econometrics Working Papers Archive.
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2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
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2014Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares In: Econometrics Working Papers Archive.
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2014Forecasting Realized Volatility with Changes of Regimes In: Econometrics Working Papers Archive.
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2016Median Response to Shocks: A Model for VaR Spillovers in East Asia In: Econometrics Working Papers Archive.
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2016Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM In: Econometrics Working Papers Archive.
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2016Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears In: Econometrics Working Papers Archive.
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