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 0 0 2 219
A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 0 42 2 3 5 208
A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets 0 0 4 157 0 3 14 378
A Model for Multivariate Non-negative Valued Processes in Financial Econometrics 0 0 3 190 0 0 6 339
A Multiple Indicators Model For Volatility Using Intra-Daily Data 0 0 1 314 0 0 4 796
A Multiple Indicators Model for Volatility Using Intra-Daily Data 0 0 0 517 3 3 8 1,218
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 2 271 0 0 5 881
A Time-varying Mixing Multiplicative Error Model for Realized Volatility 0 0 0 85 0 1 3 188
A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 0 67 0 1 3 310
Analytic Hessian Matrices and the Computation of FIGARCH Estimates 0 0 0 381 0 1 3 956
Automated Variable Selection in Vector Multiplicative Error Models 0 1 2 55 0 1 4 140
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 0 2 83 0 3 12 62
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 2 55 0 2 12 37
Comparison of Volatility Measures: a Risk Management Perspective 0 0 1 354 1 3 12 950
Copula--based Specification of vector MEMs 0 0 0 53 1 1 6 56
Copula--based Specification of vector MEMs 1 1 1 21 1 1 7 42
Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 0 4 68 0 5 20 67
Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets 0 0 0 106 0 0 1 450
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures 0 0 1 67 0 0 7 103
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 1 52 1 3 11 146
Early News Is Good News. The Effects of Market Opening on Market Volatility 0 0 0 0 0 0 2 154
Ex Post and Ex Ante Analysis of Provisional Data 0 0 0 240 1 1 1 2,027
Exchange Market Pressure: Some Caveats In Empirical Applications 0 0 0 114 0 2 4 320
Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries 0 0 0 0 0 0 0 85
Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns 1 2 12 513 2 5 25 1,059
Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria 0 0 0 123 0 2 4 348
Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 0 45 2 3 4 249
Forecasting Realized Volatility with Changes of Regimes 0 2 2 98 0 4 6 106
GARCH-based Volatility Forecasts for Market Volatility Indices 1 1 3 756 2 2 7 1,793
Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares 0 0 4 73 3 6 18 140
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 1 2 7 165 6 8 22 365
Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone 0 0 0 0 0 0 0 73
Median Response to Shocks: A Model for VaR Spillovers in East Asia 0 0 4 39 0 0 11 62
Modeling Euro STOXX 50 Volatility with Common and Market–specific Components 2 4 17 46 5 11 42 75
Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns 0 0 2 194 2 3 11 898
Modelling the Impact of Overnight Surprises on Intra-daily Volatility 1 1 2 152 1 2 4 415
Multiplicative Error Models 2 5 41 660 8 25 168 2,069
On the Evolution of Credibility and Flexible Exchange Rate Target Zones 0 0 0 11 0 0 5 53
On the Evolution of Credibility and Flexible Exchange Rate Target Zones 0 0 0 73 1 2 5 451
On the Interaction between Ultra–high Frequency Measures of Volatility 0 0 1 66 0 1 5 143
Realized Volatility and Change of Regimes 0 0 1 81 1 2 5 162
Semiparametric vector MEM 0 0 1 130 2 3 10 310
Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears 0 1 1 15 0 4 11 45
The Impact of the Use of Forecasts in Information Sets 0 0 0 2 0 1 1 25
The impact of the use of forecasts in information sets 0 0 1 14 1 1 2 103
Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 0 42 1 1 3 130
Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 0 63 0 0 1 176
Vector Multiplicative Error Models: Representation and Inference 0 0 1 77 3 5 7 243
Vector Multiplicative Error Models: Representation and Inference 1 1 1 100 2 4 16 296
Vector Multiplicative Error Models: Representation and Inference 0 0 1 173 0 3 7 575
Volatility Estimation via Hidden Markov Models 0 0 3 1,102 3 4 18 2,353
Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria 0 0 0 194 0 2 5 363
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 1 4 234 5 9 23 490
Volatility Swings in the US Financial Markets 0 0 1 43 0 1 5 99
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 0 0 0 114 0 1 3 275
Volatility Transmission in Financial Markets: A New Approach 0 0 0 86 0 2 5 190
Total Working Papers 10 22 134 8,848 60 151 611 24,277
1 registered items for which data could not be found


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 11 1 1 2 104
A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* 0 0 0 18 1 1 4 109
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS 0 0 0 59 3 3 5 216
A multiple indicators model for volatility using intra-daily data 0 2 5 286 2 9 39 762
Analytic Hessian matrices and the computation of FIGARCH estimates 0 0 0 2 0 0 1 5
Automated variable selection in vector multiplicative error models 0 0 0 34 0 0 1 102
Castle, J. L. and Shephard, N.: The methodology and practice of econometrics 0 0 0 18 1 1 2 49
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 0 0 2 3 6 7
Comparison of Volatility Measures: a Risk Management Perspective 0 3 5 90 2 6 18 301
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 1 1 3 1 3 6 15
Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets 0 0 0 74 1 1 2 422
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures 0 0 1 14 0 0 6 87
Early News is Good News: The Effects of Market Opening on Market Volatility 0 0 0 49 0 1 5 205
Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions 0 0 2 4 1 1 6 20
Exchange market pressure: some caveats in empirical applications 0 0 1 48 1 1 6 166
Financial econometric analysis at ultra-high frequency: Data handling concerns 2 6 37 241 4 14 89 554
Forecast Error Decomposition in a Nonlinear Model with Provisional Data 0 0 0 1 1 1 1 8
Forecasting realized volatility with changing average levels 0 1 2 12 1 2 7 59
Frontiers in Time Series Analysis: Introduction 0 0 0 57 1 2 3 162
Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics 0 0 0 1 1 1 25 86
How to Strip a Model to Its Essential Elements 0 0 0 0 0 2 2 479
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 1 2 12 107 4 10 31 266
Market interdependence and financial volatility transmission in East Asia 0 0 0 105 1 1 3 303
Mixture Processes for Financial Intradaily Durations 0 0 1 67 1 1 5 227
Modelling the Impact of Overnight Surprises on Intra-Daily Volatility 0 0 1 39 0 0 2 185
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria 0 0 0 33 0 2 2 84
On the asymmetric impact of macro–variables on volatility 0 0 3 3 1 4 12 12
SEMIPARAMETRIC VECTOR MEM 0 0 0 28 0 2 7 85
Shrinkage estimation of semiparametric multiplicative error models 0 0 1 23 0 0 5 107
Shrinkage estimation of semiparametric multiplicative error models 1 1 1 9 2 2 2 42
Simulation methods in econometrics: editors' introduction 0 0 0 0 0 0 1 321
The econometrics of macroeconomics, finance, and the interface 0 1 2 431 0 1 4 800
The effects of trading activity on market volatility 0 0 0 105 4 4 5 332
Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 0 56 2 3 4 171
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 6 15 237 3 12 39 578
Volatility estimation via hidden Markov models 1 1 2 129 2 4 9 331
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 2 5 78 0 3 18 225
Volatility transmission across markets: a Multichain Markov Switching model 0 0 2 89 2 2 6 274
Volatilité conditionnelle, signaux d'échange et perception du risque 0 0 0 9 0 0 5 53
Total Journal Articles 5 26 99 2,589 46 104 396 8,529


Statistics updated 2019-09-09