Access Statistics for Giampiero M. Gallo

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets 0 0 0 72 4 8 10 228
A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 0 42 1 4 10 215
A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets 0 0 2 157 1 1 14 383
A Model for Multivariate Non-negative Valued Processes in Financial Econometrics 0 0 1 190 1 3 11 347
A Multiple Indicators Model For Volatility Using Intra-Daily Data 1 1 1 315 3 6 10 804
A Multiple Indicators Model for Volatility Using Intra-Daily Data 0 0 0 517 1 4 12 1,225
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 2 271 1 5 14 890
A Time-varying Mixing Multiplicative Error Model for Realized Volatility 0 0 0 85 1 4 8 193
A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 0 67 1 3 5 313
Analytic Hessian Matrices and the Computation of FIGARCH Estimates 0 0 0 381 1 2 4 958
Automated Variable Selection in Vector Multiplicative Error Models 0 0 1 55 0 1 5 142
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 0 2 83 0 1 11 66
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 1 56 0 0 9 39
Comparison of Volatility Measures: a Risk Management Perspective 0 0 0 354 2 5 21 963
Copula--based Specification of vector MEMs 0 0 1 21 1 2 14 50
Copula--based Specification of vector MEMs 0 1 1 54 5 7 18 71
Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 0 2 68 2 6 25 81
Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets 0 0 0 106 1 1 3 452
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures 0 0 0 67 0 3 8 109
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 2 53 0 1 10 149
Early News Is Good News. The Effects of Market Opening on Market Volatility 0 0 0 0 0 0 4 156
Ex Post and Ex Ante Analysis of Provisional Data 0 0 0 240 2 3 8 2,034
Exchange Market Pressure: Some Caveats In Empirical Applications 0 0 0 114 0 0 5 321
Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries 0 0 0 0 0 2 2 87
Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns 0 5 11 518 0 7 25 1,070
Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria 0 0 1 124 1 2 9 353
Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 1 46 1 5 10 256
Forecasting Realized Volatility with Changes of Regimes 0 0 2 98 1 4 12 113
GARCH-based Volatility Forecasts for Market Volatility Indices 0 2 4 758 0 6 16 1,805
Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares 0 0 3 73 4 6 30 153
Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone 0 0 0 0 0 0 0 11
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 0 2 8 167 1 4 23 371
Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone 0 0 0 0 0 2 2 75
Median Response to Shocks: A Model for VaR Spillovers in East Asia 0 0 1 39 0 3 8 66
Modeling Euro STOXX 50 Volatility with Common and Market–specific Components 0 1 12 49 1 10 38 91
Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns 0 1 2 195 1 3 10 902
Modelling the Impact of Overnight Surprises on Intra-daily Volatility 0 0 1 152 0 4 9 421
Multiplicative Error Models 3 7 23 667 19 40 122 2,122
On the Evolution of Credibility and Flexible Exchange Rate Target Zones 0 0 0 73 5 5 10 458
On the Evolution of Credibility and Flexible Exchange Rate Target Zones 0 0 0 11 2 2 6 57
On the Interaction between Ultra–high Frequency Measures of Volatility 0 0 0 66 0 1 5 145
Realized Volatility and Change of Regimes 0 0 0 81 0 1 5 164
Semiparametric vector MEM 1 2 4 133 2 6 17 319
Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears 1 1 2 16 5 7 15 52
The Impact of the Use of Forecasts in Information Sets 0 0 0 2 1 1 2 26
The impact of the use of forecasts in information sets 0 0 0 14 0 2 4 106
Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 0 42 0 2 5 132
Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 0 63 0 1 4 179
Vector Multiplicative Error Models: Representation and Inference 0 0 1 100 2 3 16 304
Vector Multiplicative Error Models: Representation and Inference 1 1 1 78 2 3 15 252
Vector Multiplicative Error Models: Representation and Inference 0 0 0 173 5 6 14 585
Volatility Estimation via Hidden Markov Models 2 2 3 1,104 3 5 18 2,364
Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria 0 0 0 194 1 2 10 369
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 0 3 234 1 5 26 499
Volatility Swings in the US Financial Markets 0 1 2 44 6 8 10 107
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 0 2 2 116 1 3 8 281
Volatility Transmission in Financial Markets: A New Approach 0 0 0 86 1 1 6 192
Total Working Papers 9 29 103 8,884 94 232 751 24,676


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets 0 0 1 12 1 2 5 108
A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* 0 0 2 20 1 2 8 115
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS 0 1 1 60 0 1 7 219
A multiple indicators model for volatility using intra-daily data 1 1 4 288 8 13 46 785
Analytic Hessian matrices and the computation of FIGARCH estimates 0 0 0 2 0 2 4 8
Automated variable selection in vector multiplicative error models 0 0 0 34 0 0 2 103
Castle, J. L. and Shephard, N.: The methodology and practice of econometrics 0 0 0 18 1 1 5 52
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 1 1 1 1 1 4 12 15
Comparison of Volatility Measures: a Risk Management Perspective 0 1 7 92 0 3 24 311
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 0 1 3 3 4 14 25
Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets 0 1 1 75 3 8 16 436
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures 0 1 2 15 1 6 13 98
Early News is Good News: The Effects of Market Opening on Market Volatility 0 0 0 49 0 0 4 205
Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions 0 0 0 4 2 3 6 24
Exchange market pressure: some caveats in empirical applications 0 1 2 49 1 2 8 170
Financial econometric analysis at ultra-high frequency: Data handling concerns 0 2 18 247 3 13 67 576
Forecast Error Decomposition in a Nonlinear Model with Provisional Data 0 0 0 1 0 0 1 8
Forecasting realized volatility with changing average levels 0 0 3 13 1 1 8 63
Frontiers in Time Series Analysis: Introduction 0 0 0 57 0 0 2 162
Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics 1 2 2 3 2 3 10 90
How to Strip a Model to Its Essential Elements 0 0 0 0 3 3 5 482
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 3 3 15 114 3 8 46 290
Market interdependence and financial volatility transmission in East Asia 0 0 0 105 1 1 5 306
Mixture Processes for Financial Intradaily Durations 0 0 0 67 4 6 11 236
Modelling the Impact of Overnight Surprises on Intra-Daily Volatility 0 0 1 39 1 2 3 187
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria 0 0 0 33 0 0 3 85
On the asymmetric impact of macro–variables on volatility 2 3 5 6 2 10 24 25
SEMIPARAMETRIC VECTOR MEM 0 0 0 28 3 4 12 92
Shrinkage estimation of semiparametric multiplicative error models 0 0 1 9 1 1 3 43
Shrinkage estimation of semiparametric multiplicative error models 0 0 0 23 0 0 4 110
Simulation methods in econometrics: editors' introduction 0 0 0 0 0 0 1 322
The econometrics of macroeconomics, finance, and the interface 0 0 2 431 0 2 10 807
The effects of trading activity on market volatility 0 0 1 106 1 1 7 334
Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 1 57 0 1 5 173
Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets 0 0 0 19 0 0 0 215
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach 0 0 11 238 2 6 40 596
Volatility estimation via hidden Markov models 0 0 1 129 0 2 10 334
Volatility spillovers, interdependence and comovements: A Markov Switching approach 1 1 5 79 2 2 16 229
Volatility transmission across markets: a Multichain Markov Switching model 0 0 2 89 0 0 5 274
Volatilité conditionnelle, signaux d'échange et perception du risque 0 0 0 9 2 3 6 56
Total Journal Articles 9 18 90 2,624 53 120 478 8,769


Statistics updated 2020-02-04