Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni G. Parenti
Citation Profile [Updated: 2020-06-03 07:38:54]
5 Years H
10
Impact Factor
0.8
5 Years IF
0.26
Data available in this
report
[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]
Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 1990 | 0 | 0.13 | 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 | 0.19 | 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 | 0.12 | |||||
| 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 | 0.47 | 0 | 0 | 0 | 1 | 0 | 0 | 1 | 1 | 0 | 0 | 0.2 | |||||
| 2001 |  1 |
0.4 | 0.17 | 1 | 5 | 6 | 26 | 1 | 1 | 1 | 1 | 1 | 1 | 0 | 0 | 0.22 | ||
| 2002 |  0.2 |
0.41 | 0.17 | 0.17 | 6 | 12 | 6 | 2 | 3 | 5 | 1 | 6 | 1 | 2 | 100 | 1 | 0.17 | 0.23 |
| 2003 | 0.36 |
0.42 | 0.36 | 0.33 | 2 | 14 | 29 | 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 | 1 |
0.49 | 0.43 | 0.47 | 3 | 21 | 5 | 9 | 23 | 6 | 6 | 17 | 8 | 1 | 11.1 | 0 | 0.29 | |
| 2006 | 0.14 |
0.48 | 0.33 | 0.25 | 6 | 27 | 90 | 9 | 32 | 7 | 1 | 20 | 5 | 3 | 33.3 | 3 | 0.5 | 0.27 |
| 2007 | 0.33 |
0.41 | 0.26 | 0.29 | 7 | 34 | 21 | 8 | 41 | 9 | 3 | 21 | 6 | 4 | 50 | 1 | 0.14 | 0.22 |
| 2008 | 0.31 |
0.46 | 0.31 | 0.32 | 2 | 36 | 17 | 11 | 52 | 13 | 4 | 22 | 7 | 3 | 27.3 | 0 | 0.23 | |
| 2009 | 0.44 |
0.43 | 0.54 | 0.5 | 3 | 39 | 29 | 21 | 73 | 9 | 4 | 22 | 11 | 2 | 9.5 | 0 | 0.23 | |
| 2010 | 1 |
0.37 | 0.38 | 0.52 | 3 | 42 | 7 | 16 | 89 | 5 | 5 | 21 | 11 | 3 | 18.8 | 0 | 0.2 | |
| 2011 | 0.5 |
0.47 | 0.58 | 0.62 | 1 | 43 | 27 | 25 | 114 | 6 | 3 | 21 | 13 | 5 | 20 | 2 | 2 | 0.25 |
| 2012 | 1 |
0.5 | 0.73 | 1 | 2 | 45 | 0 | 33 | 147 | 4 | 4 | 16 | 16 | 2 | 6.1 | 1 | 0.5 | 0.26 |
| 2013 | 1 |
0.52 | 0.51 | 1.09 | 0 | 45 | 0 | 23 | 170 | 3 | 3 | 11 | 12 | 0 | 0 | 0.24 | ||
| 2014 | 0 | 0.54 | 0.46 | 0.78 | 11 | 56 | 23 | 26 | 196 | 2 | 9 | 7 | 8 | 30.8 | 2 | 0.18 | 0.28 | |
| 2015 | 0.36 |
0.54 | 0.45 | 0.53 | 6 | 62 | 0 | 28 | 224 | 11 | 4 | 17 | 9 | 0 | 0 | 0.28 | ||
| 2016 | 0.18 |
0.57 | 0.4 | 0.4 | 8 | 70 | 0 | 28 | 252 | 17 | 3 | 20 | 8 | 3 | 10.7 | 0 | 0.29 | |
| 2017 | 0 | 0.58 | 0.24 | 0.26 | 5 | 75 | 3 | 18 | 270 | 14 | 27 | 7 | 2 | 11.1 | 0 | 0.28 | ||
| 2018 | 0.15 |
0.6 | 0.24 | 0.2 | 5 | 80 | 5 | 19 | 289 | 13 | 2 | 30 | 6 | 0 | 1 | 0.2 | 0.31 | |
| 2019 | 0.8 |
0.65 | 0.27 | 0.26 | 13 | 93 | 1 | 25 | 314 | 10 | 8 | 35 | 9 | 7 | 28 | 1 | 0.08 | 0.38 |
| 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 |
50 most cited documents in this series
| # | 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 | 50 |
| 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 | 24 |
| 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 | 18 |
| 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 | 16 |
| 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 | 15 |
| 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 | 14 |
| 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 | 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 |
| 13 | 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 |
| 14 | 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 | 7 |
| 15 | 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 |
| 16 | 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 | 7 |
| 17 | 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 |
| 18 | 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 |
| 19 | 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 | |
| 20 | 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 | |
| 21 | 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 |
| 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 | 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 |
| 24 | 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 |
| 25 | 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 |
| 26 | 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 | 3 |
| 27 | 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 |
| 28 | 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 |
| 29 | 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 |
| 30 | 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 |
| 31 | 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 |
| 32 | 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 |
| 33 | 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 |
| 34 | 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 |
| 35 | 2019 | Employment Uncertainty and Fertility Intentions: Stability or Resilience?. (2019). Vignoli, Daniele ; Mencarini, Letizia ; Mattioli, Francesco ; Gatta, Arianna. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_12. Full description at Econpapers || Download paper | 1 |
| 36 | 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 |
| 37 | 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 |
| 38 | 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 |
| 39 | 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 |
| 40 | 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 | |
| 41 | 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 |
| 42 | 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 |
| 43 | 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 |
| 44 | 2018 | Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05. Full description at Econpapers || Download paper | 1 |
| 45 | 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 |
| 46 | 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 |
| 47 | 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 |
| 48 | 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 |
| 49 | 2015 | Uncertain Lives. Insights into the Role of Job Precariousness in Union Formation. (2015). Vignoli, Daniele ; Tocchioni, Valentina ; Salvini, Silvana . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2015_02. Full description at Econpapers || Download paper | 1 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | 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 | 9 |
| 2 | 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 | 6 |
| 3 | 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 |
| 4 | 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 | 4 |
| 5 | 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 |
| 6 | 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 | 3 |
| 7 | 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 | 3 |
| 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 | 2 |
Citing documents used to
compute impact factor: 8
| Year | Title | |
|---|---|---|
| 2019 | Realized Volatility Forecasting: Robustness to Measurement Errors. (2019). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_04. Full description at Econpapers || Download paper | |
| 2019 | New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_01. Full description at Econpapers || Download paper | |
| 2019 | New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:19-01. Full description at Econpapers || Download paper | |
| 2019 | ||
| 2019 | Spread-ing uncertainty, shrinking birth rates. (2019). Vignoli, Daniele ; Comolli, Chiara L. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_08. Full description at Econpapers || Download paper | |
| 2019 | Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358. Full description at Econpapers || Download paper | |
| 2019 | Modeling Euro STOXX 50 volatility with common and market-specific components. (2019). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:22-42. Full description at Econpapers || Download paper | |
| 2019 | A SHARP model of bidâask spread forecasts. (2019). Pirino, Davide ; Cattivelli, Luca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1211-1225. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2019
| Year | Citing document | |
|---|---|---|
| 2019 | Spread-ing uncertainty, shrinking birth rates. (2019). Vignoli, Daniele ; Comolli, Chiara L. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_08. Full description at Econpapers || Download paper |
Recent citations received in 2018
| Year | Citing document | |
|---|---|---|
| 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 |
Recent citations received in 2017
| Year | Citing document |
|---|
10 most frequent citing series