[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]
IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1990 | 0 | 0.14 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.07 | |||||
1991 | 0 | 0.11 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.06 | |||||
1992 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.07 | |||||
1993 | 0 | 0.13 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.07 | |||||
1994 | 0 | 0.13 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.06 | |||||
1995 | 0 | 0.18 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.09 | |||||
1996 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.11 | |||||
1997 | 0 | 0.23 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.12 | |||||
1998 | 0 | 0.24 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.15 | |||||
1999 | 0 | 0.32 | 0 | 0 | 1 | 1 | 4 | 0 | 0 | 0 | 0 | 0 | 0.21 | |||||
2000 | 0 | 0.46 | 0 | 0 | 0 | 1 | 0 | 0 | 1 | 1 | 0 | 0 | 0.2 | |||||
2001 | 1 | 0.39 | 0.17 | 1 | 5 | 6 | 25 | 1 | 1 | 1 | 1 | 1 | 1 | 0 | 0 | 0.22 | ||
2002 | 0.2 | 0.42 | 0.17 | 0.17 | 6 | 12 | 6 | 2 | 3 | 5 | 1 | 6 | 1 | 2 | 100 | 1 | 0.17 | 0.24 |
2003 | 0.36 | 0.41 | 0.36 | 0.33 | 2 | 14 | 27 | 5 | 8 | 11 | 4 | 12 | 4 | 0 | 1 | 0.5 | 0.24 | |
2004 | 0.13 | 0.47 | 0.33 | 0.14 | 4 | 18 | 10 | 6 | 14 | 8 | 1 | 14 | 2 | 3 | 50 | 4 | 1 | 0.27 |
2005 | 0.83 | 0.49 | 0.38 | 0.41 | 3 | 21 | 5 | 8 | 22 | 6 | 5 | 17 | 7 | 1 | 12.5 | 0 | 0.29 | |
2006 | 0.14 | 0.48 | 0.33 | 0.25 | 6 | 27 | 83 | 9 | 31 | 7 | 1 | 20 | 5 | 3 | 33.3 | 3 | 0.5 | 0.26 |
2007 | 0.33 | 0.4 | 0.27 | 0.29 | 6 | 33 | 21 | 8 | 40 | 9 | 3 | 21 | 6 | 4 | 50 | 1 | 0.17 | 0.22 |
2008 | 0.33 | 0.45 | 0.31 | 0.33 | 2 | 35 | 17 | 11 | 51 | 12 | 4 | 21 | 7 | 3 | 27.3 | 0 | 0.23 | |
2009 | 0.5 | 0.43 | 0.55 | 0.52 | 3 | 38 | 29 | 21 | 72 | 8 | 4 | 21 | 11 | 2 | 9.5 | 0 | 0.23 | |
2010 | 1 | 0.37 | 0.39 | 0.55 | 3 | 41 | 7 | 16 | 88 | 5 | 5 | 20 | 11 | 3 | 18.8 | 0 | 0.19 | |
2011 | 0.5 | 0.47 | 0.6 | 0.65 | 1 | 42 | 27 | 25 | 113 | 6 | 3 | 20 | 13 | 5 | 20 | 2 | 2 | 0.25 |
2012 | 1 | 0.5 | 0.75 | 1.07 | 2 | 44 | 0 | 33 | 146 | 4 | 4 | 15 | 16 | 2 | 6.1 | 1 | 0.5 | 0.26 |
2013 | 1 | 0.52 | 0.52 | 1.09 | 0 | 44 | 0 | 23 | 169 | 3 | 3 | 11 | 12 | 0 | 0 | 0.24 | ||
2014 | 0 | 0.55 | 0.47 | 0.78 | 11 | 55 | 22 | 26 | 195 | 2 | 9 | 7 | 8 | 30.8 | 2 | 0.18 | 0.28 | |
2015 | 0.36 | 0.54 | 0.46 | 0.53 | 6 | 61 | 0 | 28 | 223 | 11 | 4 | 17 | 9 | 0 | 0 | 0.28 | ||
2016 | 0.18 | 0.58 | 0.41 | 0.4 | 8 | 69 | 0 | 28 | 251 | 17 | 3 | 20 | 8 | 3 | 10.7 | 0 | 0.29 | |
2017 | 0 | 0.6 | 0.23 | 0.26 | 5 | 74 | 2 | 17 | 268 | 14 | 27 | 7 | 2 | 11.8 | 0 | 0.3 | ||
2018 | 0.15 | 0.62 | 0.2 | 0.17 | 5 | 79 | 4 | 16 | 284 | 13 | 2 | 30 | 5 | 0 | 1 | 0.2 | 0.33 |
IF: | Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Impact Factor: C5Y / D5Y |
DOC: | Number of documents published in year y |
CDO: | Cumulative number of documents published until year y |
CIT: | Number of citations to papers published in year y |
NCI: | Number of citations in year y |
CCU: | Cumulative number of citations to papers published until year y |
D2Y: | Number of articles published in y-1 plus y-2 |
C2Y: | Cites in y to articles published in y-1 plus y-2 |
D5Y: | Number of articles published in y-1 until y-5 |
C5Y: | Cites in y to articles published in y-1 until y-5 |
SC: | selft citations in y to articles published in y-1 plus y-2 |
%SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
CiY: | Cites in year y to documents published in year y |
II: | Immediacy Index: CiY / Documents. |
AII: | Average Immediacy Index for series in RePEc in year y |
# | Year | Title | Cited |
---|---|---|---|
1 | 2006 | Financial Econometric Analysis at UltraâHigh Frequency: Data Handling Concerns. (2006). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_03. Full description at Econpapers || Download paper | 47 |
2 | 2011 | Multiplicative Error Models. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2011_03. Full description at Econpapers || Download paper | 28 |
3 | 2006 | Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_15. Full description at Econpapers || Download paper | 23 |
4 | 2007 | A Model for Multivariate Non-negative Valued Processes in Financial Econometrics. (2007). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_16. Full description at Econpapers || Download paper | 21 |
5 | 2009 | Intra-daily Volume Modeling and Prediction for Algorithmic Trading. (2009). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_01. Full description at Econpapers || Download paper | 20 |
6 | 2014 | Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_02. Full description at Econpapers || Download paper | 17 |
7 | 2003 | A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).. (2003). White, Halbert ; perez-amaral, teodosio ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_04. Full description at Econpapers || Download paper | 15 |
8 | 2001 | Modelling the Impact of Overnight Surprises on Intra-daily Volatility. (2001). Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_02. Full description at Econpapers || Download paper | 14 |
9 | 2003 | A Multiple Indicators Model For Volatility Using Intra-Daily Data.. (2003). Gallo, Giampiero ; Engle, Robert. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_07. Full description at Econpapers || Download paper | 13 |
10 | 2009 | Semiparametric vector MEM. (2009). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_03. Full description at Econpapers || Download paper | 13 |
11 | 2008 | A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets. (2008). Velucchi, Margherita ; Gallo, Giampiero ; Engle, Robert. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2008_09. Full description at Econpapers || Download paper | 10 |
12 | 2001 | A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models. (2001). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_04. Full description at Econpapers || Download paper | 8 |
13 | 2008 | Comparison of Volatility Measures: a Risk Management Perspective. (2008). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2008_03. Full description at Econpapers || Download paper | 8 |
14 | 2010 | Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_06. Full description at Econpapers || Download paper | 7 |
15 | 2006 | Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model. (2006). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_04. Full description at Econpapers || Download paper | 6 |
16 | 2006 | Exchange Market Pressure: Some Caveats In Empirical Applications. (2006). Ricchiuti, Giorgio ; Gallo, Giampiero ; Bertoli, Simone. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_17. Full description at Econpapers || Download paper | 6 |
17 | 2001 | Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Hong, Yongmiao ; Gallo, Giampiero ; Lee, Tae-Why. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_03. Full description at Econpapers || Download paper | 6 |
18 | On-line Bayesian estimation of AR signals in symmetric alpha-stable noise.. (2004). Lombardi, Marco ; Godsill, Simon J.. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_05. Full description at Econpapers || Download paper | 5 | |
19 | Indirect Estimation of Just-Identified Models with Control Variates. (1999). Fiorentini, Gabriele ; Di Iorio, Francesca ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:quaderno46. Full description at Econpapers || Download paper | 5 | |
20 | 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01. Full description at Econpapers || Download paper | 4 |
21 | 2006 | Indirect estimation of alpha-stable stochastic volatility models. (2006). Lombardi, Marco ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_07. Full description at Econpapers || Download paper | 4 |
22 | 2005 | Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2005). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_11. Full description at Econpapers || Download paper | 4 |
23 | 2002 | Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). Lombardi, Marco ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_03. Full description at Econpapers || Download paper | 3 |
24 | 2004 | Indirect estimation of alpha-stable distributions and processes.. (2004). Lombardi, Marco ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_07. Full description at Econpapers || Download paper | 3 |
25 | 2002 | GARCH-based Volatility Forecasts for Market Volatility Indices. (2002). Lombardi, Marco ; Gallo, Giampiero ; Cecconi, Massimiliano. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_06. Full description at Econpapers || Download paper | 3 |
26 | 2014 | Are spouses more satisfied than cohabitors? A survey over the last twenty years in Italy. (2014). Vignoli, Daniele ; Pirani, Elena . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_09. Full description at Econpapers || Download paper | 2 |
27 | 2001 | Alternative Simulation-Based Estimators of Logit Models with Random Effects. (2001). Rampichini, Carla ; Mealli, Fabrizia ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:quaderno48. Full description at Econpapers || Download paper | 2 |
28 | 2014 | Forecasting Realized Volatility with Changes of Regimes. (2014). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_03. Full description at Econpapers || Download paper | 2 |
29 | 2017 | Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02. Full description at Econpapers || Download paper | 2 |
30 | 2004 | Bayesian inference for alpha-stable distributions: a random walk MCMC approach.. (2004). Lombardi, Marco. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_11. Full description at Econpapers || Download paper | 2 |
31 | 2006 | Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2006). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_12. Full description at Econpapers || Download paper | 2 |
32 | 2009 | Automated Variable Selection in Vector Multiplicative Error Models. (2009). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_02. Full description at Econpapers || Download paper | 1 |
33 | Volatility Transmission in Financial Markets: A New Approach. (2005). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_10. Full description at Econpapers || Download paper | 1 | |
34 | 2007 | Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_02. Full description at Econpapers || Download paper | 1 |
35 | 2017 | Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05. Full description at Econpapers || Download paper | 1 |
36 | 2004 | A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets.. (2004). White, Halbert ; perez-amaral, teodosio ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_12. Full description at Econpapers || Download paper | 1 |
37 | 2019 | Employment Uncertainty and Fertility: A Network Meta-Analysis of European Research Findings. (2019). Matysiak, Anna ; Baccini, Michela ; Vignoli, Daniele ; Alderotti, Giammarco. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_06. Full description at Econpapers || Download paper | 1 |
38 | 2010 | A Time-varying Mixing Multiplicative Error Model for Realized Volatility. (2010). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_03. Full description at Econpapers || Download paper | 1 |
39 | 2002 | Inflation Differentials before and after the EMU. (2002). Arese-Visconti, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_19. Full description at Econpapers || Download paper | 1 |
40 | 2016 | Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_04. Full description at Econpapers || Download paper | 1 |
41 | 2005 | The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes. (2005). Osborn, Denise ; Matas Mir, Antonio ; Lombardi, Marco ; Matas-Mir, Antonio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_15. Full description at Econpapers || Download paper | 1 |
42 | 2014 | Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares. (2014). Gallo, Giampiero ; Cipollini, Fabrizio ; Calvori, Francesco . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_01. Full description at Econpapers || Download paper | 1 |
43 | 2018 | Is the Impact of Employment Uncertainty on Fertility Intentions Channeled by Subjective Well-Being?. (2018). Mencarini, Letizia ; Alderotti, Giammarco ; Vignoli, Daniele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_04. Full description at Econpapers || Download paper | 1 |
44 | 2014 | Similar incidence, different nature? Characteristics of Living Apart Together relationships in France and Italy. (2014). Vignoli, Daniele ; Regnier-Loilier, Arnaud . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_11. Full description at Econpapers || Download paper | 1 |
45 | 2001 | Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets. (2001). Granger, Clive ; Gallo, Giampiero ; Jeon, Yongil . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_01. Full description at Econpapers || Download paper | 1 |
46 | 2012 | Volatility Swings in the US Financial Markets. (2012). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2012_03. Full description at Econpapers || Download paper | 1 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2014 | Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_02. Full description at Econpapers || Download paper | 11 |
2 | 2006 | Financial Econometric Analysis at UltraâHigh Frequency: Data Handling Concerns. (2006). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_03. Full description at Econpapers || Download paper | 10 |
3 | 2011 | Multiplicative Error Models. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2011_03. Full description at Econpapers || Download paper | 5 |
4 | 2006 | Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_15. Full description at Econpapers || Download paper | 4 |
5 | 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01. Full description at Econpapers || Download paper | 4 |
6 | 2007 | A Model for Multivariate Non-negative Valued Processes in Financial Econometrics. (2007). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_16. Full description at Econpapers || Download paper | 3 |
7 | 2017 | Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02. Full description at Econpapers || Download paper | 2 |
8 | 2014 | Forecasting Realized Volatility with Changes of Regimes. (2014). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_03. Full description at Econpapers || Download paper | 2 |
9 | 2003 | A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).. (2003). White, Halbert ; perez-amaral, teodosio ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_04. Full description at Econpapers || Download paper | 2 |
Year | Title | |
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2018 | Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201. Full description at Econpapers || Download paper | |
2018 | Modeling Euro STOXX 50 Volatility with Common and Marketâspecific Components. (2018). Gallo, Giampiero ; Cipollini, Fabrizio. In: Working Paper series. RePEc:rim:rimwps:18-26. Full description at Econpapers || Download paper |
Year | Citing document | |
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2018 | Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934. Full description at Econpapers || Download paper |
Year | Citing document |
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