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 73 1 2 5 249
A Dynamic Conditional Approach to Portfolio Weights Forecasting 0 0 0 10 0 0 0 32
A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 0 44 0 1 2 233
A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets 0 0 0 164 0 0 3 409
A Model for Multivariate Non-negative Valued Processes in Financial Econometrics 0 0 1 198 0 0 2 375
A Multiple Indicators Model For Volatility Using Intra-Daily Data 0 0 0 319 0 0 4 833
A Multiple Indicators Model for Volatility Using Intra-Daily Data 0 0 0 520 0 0 7 1,259
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 0 277 0 0 0 910
A Time-varying Mixing Multiplicative Error Model for Realized Volatility 0 0 0 87 1 1 4 207
A dynamic conditional approach to portfolio weights forecasting 0 0 0 13 0 0 3 29
A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 0 70 0 0 0 329
Analytic Hessian Matrices and the Computation of FIGARCH Estimates 0 1 1 384 0 1 4 975
Automated Variable Selection in Vector Multiplicative Error Models 0 0 1 57 0 0 1 158
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 0 1 90 1 1 2 93
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 1 57 0 1 3 51
Comparison of Volatility Measures: a Risk Management Perspective 0 0 0 0 0 2 3 17
Comparison of Volatility Measures: a Risk Management Perspective 1 1 1 364 1 2 3 1,011
Copula--based Specification of vector MEMs 0 0 0 56 0 1 2 87
Copula--based Specification of vector MEMs 0 0 0 22 0 0 0 65
Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 0 1 71 0 1 2 106
Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets 0 0 0 108 0 0 0 464
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures 0 0 0 72 0 1 2 134
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 0 58 0 0 1 170
Doubly Multiplicative Error Models with Long- and Short-run Components 0 0 0 30 1 1 4 43
Dynamic tail risk forecasting: what do realized skewness and kurtosis add? 0 0 4 4 0 0 14 14
Dynamic tail risk forecasting: what do realized skewness and kurtosis add? 0 0 7 7 0 1 6 6
Early News Is Good News. The Effects of Market Opening on Market Volatility 0 0 0 0 1 1 1 162
Ex Post and Ex Ante Analysis of Provisional Data 0 0 0 240 0 0 0 2,045
Exchange Market Pressure: Some Caveats In Empirical Applications 0 0 1 115 0 1 5 336
Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries 0 0 0 0 0 0 1 90
Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns 0 0 1 548 0 3 9 1,163
Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment 0 0 8 8 0 1 18 18
Financial returns, sentiment and market volatility. A dynamic assessment 0 0 8 8 0 0 15 15
Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria 0 0 0 124 0 0 2 365
Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 0 48 0 3 3 271
Forecasting Realized Volatility with Changes of Regimes 0 0 0 100 0 0 1 129
GARCH-based Volatility Forecasts for Market Volatility Indices 0 0 0 762 0 0 3 1,833
Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares 0 0 0 83 1 2 2 189
Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito 0 0 0 5 0 0 0 7
Indicatori comuni del PNRR e framework SDGs:una proposta di indicatore composito 0 0 1 6 1 1 2 13
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 0 0 2 2 2 3 11 11
Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone 0 0 0 1 0 0 1 13
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 0 0 4 207 2 3 13 477
Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone 0 0 0 0 0 1 1 83
Measuring the Effects of Unconventional Policies on Stock Market Volatility 0 0 0 25 0 0 2 60
Median Response to Shocks: A Model for VaR Spillovers in East Asia 0 0 0 41 0 1 2 86
Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall 0 0 0 36 0 0 3 52
Modeling Euro STOXX 50 Volatility with Common and Market–specific Components 0 0 1 62 0 1 6 168
Modeling and evaluating conditional quantile dynamics in VaR forecasts 0 0 0 25 0 0 1 15
Modeling and evaluating conditional quantile dynamics in VaR forecasts 0 0 0 4 0 0 1 9
Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns 0 0 0 195 0 0 1 928
Modelling the Impact of Overnight Surprises on Intra-daily Volatility 0 0 0 156 1 1 2 434
Multiplicative Error Models 1 1 2 741 1 1 7 2,372
Multiplicative Error Models: 20 years on 0 0 1 22 3 4 6 41
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 7 0 0 0 11
On Classifying the Effects of Policy Announcements on Volatility 0 0 0 19 0 0 1 26
On the Evolution of Credibility and Flexible Exchange Rate Target Zones 0 0 0 74 0 0 1 472
On the Interaction between Ultra–high Frequency Measures of Volatility 0 0 0 67 0 0 0 151
Realized Volatility Forecasting: Robustness to Measurement Errors 0 0 0 59 1 1 3 81
Realized Volatility and Change of Regimes 0 0 0 81 0 0 1 178
Realized variance modeling: decoupling forecasting from estimation 0 0 2 71 0 0 5 62
Semiparametric vector MEM 0 0 0 138 1 1 3 338
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS 0 0 0 22 1 2 2 29
Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears 0 0 0 18 0 0 1 70
The Impact of the Use of Forecasts in Information Sets 0 0 0 5 0 0 0 36
The impact of the use of forecasts in information sets 0 0 0 16 0 0 1 114
Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 0 43 0 0 1 139
Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 0 63 0 1 2 184
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach 0 0 0 9 0 0 0 23
Vector Multiplicative Error Models: Representation and Inference 0 0 0 177 0 1 2 609
Vector Multiplicative Error Models: Representation and Inference 0 0 1 82 1 1 2 268
Vector Multiplicative Error Models: Representation and Inference 0 0 1 104 0 0 2 329
Volatility Estimation via Hidden Markov Models 0 0 1 1,114 0 1 5 2,402
Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria 0 0 0 201 0 0 1 391
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 0 0 235 0 0 0 517
Volatility Swings in the US Financial Markets 0 0 0 45 0 0 0 112
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 0 0 0 119 0 0 0 294
Volatility Transmission in Financial Markets: A New Approach 0 0 0 89 0 0 2 203
Volatility jumps and the classification of monetary policy announcements 0 0 0 4 0 0 1 8
Volatility jumps and the classification of monetary policy announcements 0 1 2 14 0 1 4 11
Total Working Papers 2 4 54 9,595 21 52 236 26,702


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 0 12 0 0 2 118
A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* 0 0 0 22 0 0 2 128
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS 0 0 1 61 0 0 3 229
A dynamic conditional approach to forecasting portfolio weights 0 0 0 2 0 0 1 18
A multiple indicators model for volatility using intra-daily data 1 3 7 322 7 11 31 967
Adaptive Lasso for vector Multiplicative Error Models 0 0 0 1 0 0 0 13
Analytic Hessian matrices and the computation of FIGARCH estimates 0 0 0 3 0 0 1 22
Automated variable selection in vector multiplicative error models 0 0 0 35 0 0 1 115
Castle, J. L. and Shephard, N.: The methodology and practice of econometrics 0 0 0 19 0 1 2 60
Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model 0 0 3 25 0 1 8 60
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 0 3 0 0 1 29
Common rrf Indicators and sdgs Framework: A Proposal for a Composite Index 1 1 6 6 1 1 8 11
Comparison of Volatility Measures: a Risk Management Perspective 0 0 4 122 0 1 10 392
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 0 0 9 1 1 2 65
Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets 0 0 0 80 0 0 0 453
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures 0 0 0 18 0 1 3 124
Doubly multiplicative error models with long- and short-run components 0 1 2 3 0 3 6 13
Early News is Good News: The Effects of Market Opening on Market Volatility 0 0 0 50 0 0 1 209
Energy and non–energy Commodities: Spillover Effects on African Stock Markets 0 0 2 16 0 2 10 43
Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions 0 0 0 6 0 0 0 33
Exchange market pressure: some caveats in empirical applications 0 1 2 51 0 3 6 181
Financial econometric analysis at ultra-high frequency: Data handling concerns 2 2 4 341 4 7 16 804
Forecast Error Decomposition in a Nonlinear Model with Provisional Data 0 0 0 3 0 0 1 15
Forecasting realized volatility with changing average levels 0 0 0 15 0 0 0 80
Frontiers in Time Series Analysis: Introduction 0 0 0 57 0 0 0 163
Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics 0 0 1 8 0 1 4 104
How to Strip a Model to Its Essential Elements 0 0 0 0 0 0 1 489
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 1 1 8 159 3 6 18 411
Market interdependence and financial volatility transmission in East Asia 0 0 0 106 0 0 0 315
Mixture Processes for Financial Intradaily Durations 0 0 0 69 0 0 0 248
Modeling Euro STOXX 50 volatility with common and market-specific components 0 0 0 1 1 1 3 17
Modelling the Impact of Overnight Surprises on Intra‐daily Volatility 0 0 0 0 0 1 1 9
Multiplicative Error Models: 20 years on 0 0 0 0 0 1 2 2
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria 0 0 1 38 0 0 1 96
On the asymmetric impact of macro–variables on volatility 0 0 3 58 1 1 10 165
Realized Variance Modeling: Decoupling Forecasting from Estimation* 0 0 0 1 0 0 0 4
Realized Variance Modeling: Decoupling Forecasting from Estimation* 0 0 0 1 0 0 1 12
Realized volatility forecasting: Robustness to measurement errors 0 0 0 14 2 4 7 48
SEMIPARAMETRIC VECTOR MEM 0 0 0 31 1 1 3 104
Shrinkage estimation of semiparametric multiplicative error models 0 0 0 24 0 0 2 131
Shrinkage estimation of semiparametric multiplicative error models 0 0 0 9 1 3 3 52
Simulation methods in econometrics: editors' introduction 0 0 0 0 0 0 0 326
Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS 0 0 1 2 0 2 3 7
The econometrics of macroeconomics, finance, and the interface 0 0 1 437 0 0 4 826
The effects of trading activity on market volatility 0 0 0 108 0 0 1 359
Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 0 58 0 2 3 184
Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets 0 0 0 19 0 0 1 220
Unconventional policies effects on stock market volatility: The MAP approach 0 0 2 2 0 0 3 3
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach 0 1 7 275 2 4 16 687
Volatility estimation via hidden Markov models 0 2 4 152 0 3 7 385
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 0 0 87 0 0 0 262
Volatility transmission across markets: a Multichain Markov Switching model 0 0 0 89 0 0 0 280
Volatilité conditionnelle, signaux d'échange et perception du risque 0 0 0 15 0 0 2 105
Total Journal Articles 5 12 59 3,045 24 62 211 10,196


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS 0 0 1 1 0 1 4 22
Total Chapters 0 0 1 1 0 1 4 22


Statistics updated 2025-09-05