Giampiero M. Gallo : Citation Profile


Are you Giampiero M. Gallo?

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

18

H index

28

i10 index

1267

Citations

RESEARCH PRODUCTION:

51

Articles

75

Papers

1

Chapters

RESEARCH ACTIVITY:

   35 years (1989 - 2024). See details.
   Cites by year: 36
   Journals where Giampiero M. Gallo has often published
   Relations with other researchers
   Recent citing documents: 71.    Total self citations: 63 (4.74 %)

EXPERT IN:

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

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pga48
   Updated: 2024-07-05    RAS profile: 2024-04-05    
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Relations with other researchers


Works with:

Otranto, Edoardo (10)

Amendola, Alessandra (5)

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 (30)

Lucas, Andre (29)

Shephard, Neil (28)

Hansen, Peter (25)

Xu, Yongdeng (24)

Storti, Giuseppe (22)

Bauwens, Luc (20)

Caporin, Massimiliano (20)

Andersen, Torben (18)

Khalifa, Ahmed (17)

Cites to:

Engle, Robert (216)

Bollerslev, Tim (108)

Diebold, Francis (87)

Brownlees, Christian (70)

Shephard, Neil (58)

Andersen, Torben (58)

Cipollini, Fabrizio (53)

Hansen, Peter (48)

Lunde, Asger (43)

Otranto, Edoardo (42)

Bauwens, Luc (34)

Main data


Where Giampiero M. Gallo has published?


Journals with more than one article published# docs
International Journal of Forecasting5
Journal of Financial Econometrics5
Computational Statistics & Data Analysis3
Journal of Econometrics3
Econometrics and Statistics2
Journal of the Royal Statistical Society Series C2
Econometric Reviews2
International Journal of Finance & Economics2
Oxford Bulletin of Economics and Statistics2
Journal of 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.org10
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego2
Department of Economics Working Papers / Department of Economics, University of Trento, Italia2
NBER Working Papers / National Bureau of Economic Research, Inc2
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico2

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


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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2024A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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

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

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

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

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

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

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2023.

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

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

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

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

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

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

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

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

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

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

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2023Time series cross validation: A theoretical result and finite sample performance. (2023). Deng, AI. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523003944.

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

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

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2023Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

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

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

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2023Political preferences and stock markets. (2023). Mantovan, Noemi ; Alsakka, Rasha ; Thy, Phuc Lam. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300426x.

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2023Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures. (2023). Haugom, Erik ; Hadina, Jelena ; Ewald, Christian ; Yahya, Muhammad ; Stordal, Stle ; Lien, Gudbrand. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300288x.

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

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

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

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

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

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

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2023Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712.

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

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

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

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2023Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Sanhaji, Bilel ; Chevallier, Julien. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066.

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

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

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

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

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

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

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

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

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

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

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

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

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

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Works by Giampiero M. Gallo:


YearTitleTypeCited
1991Forecast Error Decomposition in a Nonlinear Model with Provisional Data In: Annals of Economics and Statistics.
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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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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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2023Volatility jumps and the classification of monetary policy announcements In: Papers.
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2023Volatility jumps and the classification of monetary policy announcements.(2023) In: Working Paper CRENoS.
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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts In: Papers.
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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts.(2023) In: Working Paper CRENoS.
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2023Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito In: Papers.
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2023Indicatori comuni del PNRR e framework SDGs:una proposta di indicatore composito.(2023) In: Working Papers LuissLab.
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2001Modelling the Impact of Overnight Surprises on Intra?daily Volatility In: Australian Economic Papers.
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2001Modelling the Impact of Overnight Surprises on Intra-daily Volatility.(2001) In: Econometrics Working Papers Archive.
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2018Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach In: Journal of the Royal Statistical Society Series C.
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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach.(2017) In: Econometrics Working Papers Archive.
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2003A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* In: Oxford Bulletin of Economics and Statistics.
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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.
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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.
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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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