19
H index
28
i10 index
1319
Citations
Rimini Centre for Economic Analysis (RCEA) (1% share) | 19 H index 28 i10 index 1319 Citations RESEARCH PRODUCTION: 53 Articles 80 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Giampiero M. Gallo. | Is cited by: | Cites to: |
Year | Title of citing document |
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2024 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2024). Blasques, Francisco ; Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper |
2025 | A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708. Full description at Econpapers || Download paper |
2025 | Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2025). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610. Full description at Econpapers || Download paper |
2024 | HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041. Full description at Econpapers || Download paper |
2024 | Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players. (2024). Chen, Yufan ; Zhang, Ruixun ; Xu, Renyuan ; Wu, Lan. In: Papers. RePEc:arx:papers:2408.09505. Full description at Econpapers || Download paper |
2024 | Model-based and empirical analyses of stochastic fluctuations in economy and finance. (2024). Zadourian, Rubina. In: Papers. RePEc:arx:papers:2408.16010. Full description at Econpapers || Download paper |
2024 | A new GARCH model with a deterministic time-varying intercept. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Back, Alexander ; Ahlgren, Niklas. In: Papers. RePEc:arx:papers:2410.03239. Full description at Econpapers || Download paper |
2025 | Moments by Integrating the Moment-Generating Function. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2410.23587. Full description at Econpapers || Download paper |
2024 | Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791. Full description at Econpapers || Download paper |
2024 | Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhuang, Zixi ; Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199. Full description at Econpapers || Download paper |
2024 | Highâ€Frequencyâ€Based Volatility Model with Network Structure. (2024). Yuan, Huiling ; Wang, Junhui ; Li, Guodong ; Lu, Kexin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:533-557. Full description at Econpapers || Download paper |
2024 | A Brief History of Generalâ€toâ€specific Modelling. (2024). Hendry, David. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:1:p:1-20. Full description at Econpapers || Download paper |
2024 | Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24. Full description at Econpapers || Download paper |
2024 | A Vector Multiplicative Error Model with Spillover Effects and Co-movements. (2024). Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202404. Full description at Econpapers || Download paper |
2025 | Forecasting 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. Full description at Econpapers || Download paper |
2024 | Nonnegative 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. Full description at Econpapers || Download paper |
2024 | Detecting 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. Full description at Econpapers || Download paper |
2025 | A 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. Full description at Econpapers || Download paper |
2024 | Dynamic volatility spillover and market emergency: Matching and forecasting. (2024). Chen, Yan ; Zhou, Wei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000354. Full description at Econpapers || Download paper |
2024 | Green bonds and traditional and emerging investments: Understanding connectedness during crises. (2024). HU, YANG ; Corbet, Shaen ; Hou, Yang ; Oxley, Les ; Xu, Danyang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000676. Full description at Econpapers || Download paper |
2024 | Time-varying multivariate causal processes. (2024). GAO, Jiti ; Yan, Yayi ; Wu, Wei Biao ; Peng, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174. Full description at Econpapers || Download paper |
2024 | Measuring tail risk. (2024). Prokopczuk, Marcel ; Dierkes, Maik ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001155. Full description at Econpapers || Download paper |
2024 | Empirical 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. Full description at Econpapers || Download paper |
2024 | A 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. Full description at Econpapers || Download paper |
2024 | Consistency 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. Full description at Econpapers || Download paper |
2024 | A novel interval-based hybrid framework for crude oil price forecasting and trading. (2024). Sun, Yuying ; Wang, Shouyang ; Zheng, LI. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323007648. Full description at Econpapers || Download paper |
2024 | Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Guan, Bo ; Mazouz, Khelifa. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136. Full description at Econpapers || Download paper |
2024 | Macroeconomic 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. Full description at Econpapers || Download paper |
2024 | Testing out-of-sample portfolio performance using second-order stochastic dominance constrained optimization approach. (2024). Xu, Peng. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924003004. Full description at Econpapers || Download paper |
2024 | Stock market volatility and economic policy uncertainty: New insight into a dynamic threshold mixed-frequency model. (2024). Tang, Yusui ; Zhang, XI ; Zeng, Qing ; Yang, Hua. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010863. Full description at Econpapers || Download paper |
2024 | Is the prediction of precious metal market volatility influenced by internet searches regarding uncertainty?. (2024). Cao, Xiangye ; Li, Wei ; Han, Wei ; Zhang, Junchao. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s154461232400299x. Full description at Econpapers || Download paper |
2024 | Deep 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. Full description at Econpapers || Download paper |
2024 | Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Li, Dan ; Drovandi, Christopher. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408. Full description at Econpapers || Download paper |
2024 | Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants. (2024). Vo, Xuan Vinh ; Mensi, Walid ; Kang, Sang Hoon ; Ziadat, Salem Adel ; al Rababa, Abdel Razzaq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:1-17. Full description at Econpapers || Download paper |
2024 | The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume. (2024). Kao, Yu-Sheng ; Ku, Yu-Cheng ; Zhao, Kai ; Chuang, Hwei-Lin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:524-542. Full description at Econpapers || Download paper |
2024 | Are simple technical trading rules profitable in bitcoin markets?. (2024). Frömmel, Michael ; Deprez, Niek ; Frommel, Michael. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:858-874. Full description at Econpapers || Download paper |
2024 | Payout Restrictions and Bank Risk-Shifting. (2024). Fringuellotti, Fulvia ; Kroen, Thomas. In: Staff Reports. RePEc:fip:fednsr:98924. Full description at Econpapers || Download paper |
2024 | Is Monetary Policy a Driver of Cryptocurrencies? Evidence from a Structural Break GARCH-MIDAS Approach. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Jabarabadi, Shahram Dehghan ; Alam, Md Samsul. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:1:p:2-:d:1314080. Full description at Econpapers || Download paper |
2025 | Major 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. Full description at Econpapers || Download paper |
2025 | A 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. Full description at Econpapers || Download paper |
2024 | A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive Model and Support Vector Regression. (2024). Zhuo, Yue ; Morimoto, Takayuki. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:1:p:12-:d:1320131. Full description at Econpapers || Download paper |
2024 | Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach. (2024). Chang, Yu-Ching ; Lai, Yi-Hao ; Wang, Yi-Chiuan. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:2:d:10.1007_s10690-023-09415-w. Full description at Econpapers || Download paper |
2025 | Unleashing 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. Full description at Econpapers || Download paper |
2024 | Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Cheng, XU ; Sangrey, Paul ; Renault, Eric. In: PIER Working Paper Archive. RePEc:pen:papers:24-013. Full description at Econpapers || Download paper |
2024 | Predicting the volatility of Chinese stock indices based on realized recurrent conditional heteroskedasticity. (2024). Fan, Rujie ; Zhao, Huanyu ; Zhang, Gongtao. In: PLOS ONE. RePEc:plo:pone00:0308967. Full description at Econpapers || Download paper |
2025 | A beta prime ARMA model for positive time series. (2025). Aknouche, Abdelhakim ; Almohaimeed, Bader ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:123873. Full description at Econpapers || Download paper |
2025 | Integrating 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. Full description at Econpapers || Download paper |
2025 | An 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. Full description at Econpapers || Download paper |
2025 | Omnibus 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. Full description at Econpapers || Download paper |
2024 | Realized 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. Full description at Econpapers || Download paper |
2025 | Eco-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. Full description at Econpapers || Download paper |
2024 | Factor 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. Full description at Econpapers || Download paper |
2024 | Robust High-Dimensional Time-Varying Coefficient Estimation. (2024). Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202417. Full description at Econpapers || Download paper |
2024 | Forecasting the Asian stock market volatility: Evidence from WTI and INE oil futures. (2024). Ghani, Maria ; Ma, Feng ; Huang, Dengshi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1496-1512. Full description at Econpapers || Download paper |
2025 | Analysis 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. Full description at Econpapers || Download paper |
2024 | Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures. (2024). Zhang, Qun ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:151-217. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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1991 | Forecast Error Decomposition in a Nonlinear Model with Provisional Data In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2016 | Copula--based Specification of vector MEMs In: Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Copula--based Specification of vector MEMs.(2016) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2020 | A dynamic conditional approach to portfolio weights forecasting In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | A Dynamic Conditional Approach to Portfolio Weights Forecasting.(2020) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2020 | Doubly Multiplicative Error Models with Long- and Short-run Components In: Papers. [Full Text][Citation analysis] | paper | 1 |
2024 | Doubly multiplicative error models with long- and short-run components.(2024) In: Socio-Economic Planning Sciences. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2021 | Unconventional Policies Effects on Stock Market Volatility: A MAP Approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Unconventional policies effects on stock market volatility: The MAP approach.(2022) In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2023 | Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall In: Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | On Classifying the Effects of Policy Announcements on Volatility In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | On Classifying the Effects of Policy Announcements on Volatility.(2020) In: Working Paper CRENoS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2021 | Multiplicative Error Models: 20 years on In: Papers. [Full Text][Citation analysis] | paper | 2 |
2025 | Multiplicative Error Models: 20 years on.(2025) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2023 | Volatility jumps and the classification of monetary policy announcements In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Volatility jumps and the classification of monetary policy announcements.(2023) In: Working Paper CRENoS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts.(2023) In: Working Paper CRENoS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2023 | Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Indicatori comuni del PNRR e framework SDGs:una proposta di indicatore composito.(2023) In: Working Papers LuissLab. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2024 | Dynamic tail risk forecasting: what do realized skewness and kurtosis add? In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Dynamic tail risk forecasting: what do realized skewness and kurtosis add?.(2024) In: Working Paper CRENoS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2001 | Modelling the Impact of Overnight Surprises on Intraâ€daily Volatility In: Australian Economic Papers. [Full Text][Citation analysis] | article | 17 |
2001 | Modelling the Impact of Overnight Surprises on Intra-daily Volatility.(2001) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2018 | Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 7 |
2017 | Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach.(2017) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2003 | A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 35 |
2003 | A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)..(2003) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
2002 | A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).(2002) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
2003 | Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).(2003) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
2006 | Frontiers in Time Series Analysis: Introduction In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2024 | Smooth and Abrupt Dynamics in Financial Volatility: The MSâ€MEMâ€MIDAS In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2022 | Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS.(2022) In: Working Paper CRENoS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1998 | Early News is Good News: The Effects of Market Opening on Market Volatility In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 8 |
1998 | Early News Is Good News. The Effects of Market Opening on Market Volatility..(1998) In: Economics Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2004 | Mixture Processes for Financial Intradaily Durations In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 21 |
1999 | The Impact of the Use of Forecasts in Information Sets In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 9 |
1999 | The impact of the use of forecasts in information sets.(1999) In: Research Notes. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
1999 | Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Measuring the Effects of Unconventional Policies on Stock Market Volatility In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 1 |
2024 | Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
2024 | Financial returns, sentiment and market volatility. A dynamic assessment..(2024) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1995 | On the Evolution of Credibility and Flexible Exchange Rate Target Zones In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets In: Econometric Theory. [Full Text][Citation analysis] | article | 13 |
2004 | A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets..(2004) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
1998 | Simulation methods in econometrics: editors introduction In: Econometrics Journal. [Citation analysis] | article | 0 |
2006 | Financial econometric analysis at ultra-high frequency: Data handling concerns In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 145 |
2006 | Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns.(2006) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 145 | paper | |
2008 | Volatility spillovers, interdependence and comovements: A Markov Switching approach In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 86 |
2007 | Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach.(2007) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
2010 | Automated variable selection in vector multiplicative error models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 4 |
2009 | Automated Variable Selection in Vector Multiplicative Error Models.(2009) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2019 | On the asymmetric impact of macro–variables on volatility In: Economic Modelling. [Full Text][Citation analysis] | article | 13 |
2006 | The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2006 | A multiple indicators model for volatility using intra-daily data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 325 |
2003 | A Multiple Indicators Model For Volatility Using Intra-Daily Data..(2003) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 325 | paper | |
2003 | A Multiple Indicators Model for Volatility Using Intra-Daily Data.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 325 | paper | |
2014 | Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics. [Full Text][Citation analysis] | article | 24 |
2014 | Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2019 | Modeling Euro STOXX 50 volatility with common and market-specific components In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 2 |
2018 | Modeling Euro STOXX 50 Volatility with Common and Market–specific Components.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 6 |
2006 | Volatility estimation via hidden Markov models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 21 |
2002 | Volatility Estimation via Hidden Markov Models..(2002) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2011 | Shrinkage estimation of semiparametric multiplicative error models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
2011 | Shrinkage estimation of semiparametric multiplicative error models.(2011) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2015 | Forecasting realized volatility with changing average levels In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 24 |
2021 | Realized volatility forecasting: Robustness to measurement errors In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 12 |
2019 | Realized Volatility Forecasting: Robustness to Measurement Errors.(2019) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2021 | A dynamic conditional approach to forecasting portfolio weights In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
2001 | Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 43 |
2002 | Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets.(2002) In: IMF Staff Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | article | |
2001 | Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 10 |
2001 | A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 23 |
2002 | A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS.(2002) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
2002 | Analytic Hessian Matrices and the Computation of FIGARCH Estimates In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 6 |
2002 | Analytic Hessian matrices and the computation of FIGARCH estimates.(2002) In: Statistical Methods & Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2002 | GARCH-based Volatility Forecasts for Market Volatility Indices In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 3 |
2005 | Volatility Transmission in Financial Markets: A New Approach In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 1 |
2005 | Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 13 |
2006 | Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models.(2006) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2009 | Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models.(2009) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2006 | Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 30 |
2007 | Volatility transmission across markets: a Multichain Markov Switching model.(2007) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
2006 | Vector Multiplicative Error Models: Representation and Inference In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 25 |
2006 | Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2006 | Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2006 | Exchange Market Pressure: Some Caveats In Empirical Applications In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 15 |
2010 | Exchange market pressure: some caveats in empirical applications.(2010) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2007 | On the Interaction between Ultra–high Frequency Measures of Volatility In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 0 |
2007 | Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 0 |
2007 | Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 0 |
2007 | Comparison of Volatility Measures: a Risk Management Perspective In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 87 |
2008 | Comparison of Volatility Measures: a Risk Management Perspective.(2008) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | paper | |
2010 | Comparison of Volatility Measures: a Risk Management Perspective.(2010) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | article | |
2007 | A Model for Multivariate Non-negative Valued Processes in Financial Econometrics In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 19 |
2008 | A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 10 |
2009 | Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 38 |
2011 | Intra-daily Volume Modeling and Prediction for Algorithmic Trading.(2011) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | article | |
2009 | Semiparametric vector MEM In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 19 |
2013 | SEMIPARAMETRIC VECTOR MEM.(2013) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2010 | A Time-varying Mixing Multiplicative Error Model for Realized Volatility In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 0 |
2010 | Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 7 |
2011 | Multiplicative Error Models In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 25 |
2012 | Realized Volatility and Change of Regimes In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 3 |
2012 | Volatility Swings in the US Financial Markets In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 0 |
2014 | Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 1 |
2014 | Forecasting Realized Volatility with Changes of Regimes In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 4 |
2016 | Median Response to Shocks: A Model for VaR Spillovers in East Asia In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 0 |
2016 | Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 0 |
2016 | Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 1 |
2017 | Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 4 |
2017 | Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity.(2017) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2019 | Realized variance modeling: decoupling forecasting from estimation In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 2 |
2020 | Realized Variance Modeling: Decoupling Forecasting from Estimation*.(2020) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
Realized Variance Modeling: Decoupling Forecasting from Estimation*.() In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | ||
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2010 | Castle, J. L. and Shephard, N.: The methodology and practice of econometrics In: Journal of Economics. [Full Text][Citation analysis] | article | 0 |
2017 | Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics In: Journal of Economics. [Full Text][Citation analysis] | article | 0 |
2023 | Common rrf Indicators and sdgs Framework: A Proposal for a Composite Index In: L'industria. [Full Text][Citation analysis] | article | 0 |
2008 | On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 8 |
2024 | Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
1996 | Volatilité conditionnelle, signaux déchange et perception du risque In: Économie et Prévision. [Full Text][Citation analysis] | article | 0 |
2017 | Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions In: Econometric Research in Finance. [Full Text][Citation analysis] | article | 1 |
2021 | On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS In: Springer Books. [Citation analysis] | chapter | 0 |
2020 | Energy and non€“energy Commodities: Spillover Effects on African Stock Markets In: Journal of Statistical and Econometric Methods. [Full Text][Citation analysis] | article | 1 |
2000 | The effects of trading activity on market volatility In: The European Journal of Finance. [Full Text][Citation analysis] | article | 45 |
2020 | Adaptive Lasso for vector Multiplicative Error Models In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2012 | Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 73 |
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