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 1 4 15 235
A Dynamic Conditional Approach to Portfolio Weights Forecasting 0 1 7 7 2 5 11 11
A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 1 43 1 2 11 222
A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets 0 0 2 159 1 4 9 391
A Model for Multivariate Non-negative Valued Processes in Financial Econometrics 1 1 2 192 2 3 9 353
A Multiple Indicators Model For Volatility Using Intra-Daily Data 0 0 2 316 1 1 12 810
A Multiple Indicators Model for Volatility Using Intra-Daily Data 0 0 0 517 1 2 9 1,230
A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models 0 0 0 271 1 4 10 895
A Time-varying Mixing Multiplicative Error Model for Realized Volatility 0 0 0 85 1 1 6 195
A dynamic conditional approach to portfolio weights forecasting 1 1 10 10 1 4 11 11
A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 1 68 0 0 5 315
Analytic Hessian Matrices and the Computation of FIGARCH Estimates 0 0 0 381 1 1 5 961
Automated Variable Selection in Vector Multiplicative Error Models 0 1 1 56 2 5 8 149
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM 0 1 1 84 1 3 8 73
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach 0 0 0 56 0 0 3 42
Comparison of Volatility Measures: a Risk Management Perspective 0 0 0 0 1 3 6 6
Comparison of Volatility Measures: a Risk Management Perspective 1 2 3 357 3 6 22 980
Copula--based Specification of vector MEMs 0 0 0 21 1 3 6 54
Copula--based Specification of vector MEMs 0 0 2 55 0 3 15 79
Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity 1 1 2 70 3 5 19 94
Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets 0 0 1 107 1 1 6 457
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures 0 0 4 71 1 1 13 119
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 1 1 54 1 2 6 154
Doubly Multiplicative Error Models with Long- and Short-run Components 0 1 21 21 0 5 16 16
Early News Is Good News. The Effects of Market Opening on Market Volatility 0 0 0 0 1 1 1 157
Ex Post and Ex Ante Analysis of Provisional Data 0 0 0 240 0 2 7 2,038
Exchange Market Pressure: Some Caveats In Empirical Applications 0 0 0 114 0 0 2 323
Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries 0 0 0 0 0 1 3 88
Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns 1 1 13 526 4 7 32 1,095
Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria 0 0 0 124 0 1 7 358
Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) 0 0 1 47 0 0 9 260
Forecasting Realized Volatility with Changes of Regimes 0 0 0 98 1 4 8 117
GARCH-based Volatility Forecasts for Market Volatility Indices 0 0 2 758 1 1 10 1,809
Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares 0 1 2 75 1 4 13 160
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 0 6 171 3 5 16 383
Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone 0 0 0 0 0 2 5 78
Measuring the Effect of Unconventional Policies on Stock Market Volatility 0 0 0 0 1 1 1 1
Measuring the Effects of Unconventional Policies on Stock Market Volatility 2 2 2 2 6 6 6 6
Median Response to Shocks: A Model for VaR Spillovers in East Asia 0 0 0 39 1 1 8 71
Modeling Euro STOXX 50 Volatility with Common and Market–specific Components 1 1 6 54 1 5 34 115
Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns 0 0 1 195 3 3 9 908
Modelling the Impact of Overnight Surprises on Intra-daily Volatility 0 0 1 153 2 2 7 424
Multiplicative Error Models 2 7 30 690 14 30 121 2,203
On the Evolution of Credibility and Flexible Exchange Rate Target Zones 0 0 0 73 3 3 10 463
On the Interaction between Ultra–high Frequency Measures of Volatility 0 0 1 67 0 0 3 147
Realized Volatility Forecasting: Robustness to Measurement Errors 0 1 9 53 2 4 30 61
Realized Volatility and Change of Regimes 0 0 0 81 1 2 5 168
Realized variance modeling: decoupling forecasting from estimation 1 3 10 60 2 5 23 37
Semiparametric vector MEM 0 0 5 136 2 3 16 329
Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears 0 0 2 17 1 3 12 57
The Impact of the Use of Forecasts in Information Sets 0 0 1 3 0 1 3 28
The impact of the use of forecasts in information sets 0 0 1 15 1 2 5 109
Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 0 42 1 1 3 133
Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 0 63 1 1 2 180
Vector Multiplicative Error Models: Representation and Inference 0 0 1 101 0 1 9 310
Vector Multiplicative Error Models: Representation and Inference 0 0 0 173 1 2 9 588
Vector Multiplicative Error Models: Representation and Inference 0 0 1 78 0 0 6 255
Volatility Estimation via Hidden Markov Models 1 1 3 1,105 2 3 11 2,370
Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria 1 1 2 196 4 4 9 376
Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach 0 1 1 235 1 2 13 507
Volatility Swings in the US Financial Markets 0 0 2 45 1 1 10 109
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model 0 1 3 117 1 4 9 287
Volatility Transmission in Financial Markets: A New Approach 0 0 0 86 1 1 4 195
Total Working Papers 13 30 167 9,105 91 187 732 25,166


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 6 112
A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* 0 0 1 21 0 0 4 117
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS 0 0 1 60 0 0 2 220
A multiple indicators model for volatility using intra-daily data 0 0 3 290 3 4 37 809
Adaptive Lasso for vector Multiplicative Error Models 0 0 0 0 0 0 4 4
Analytic Hessian matrices and the computation of FIGARCH estimates 0 0 0 2 0 1 7 13
Automated variable selection in vector multiplicative error models 1 1 1 35 1 3 4 107
Castle, J. L. and Shephard, N.: The methodology and practice of econometrics 0 0 0 18 0 0 2 53
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach 0 0 2 2 0 1 7 18
Comparison of Volatility Measures: a Risk Management Perspective 1 1 5 96 1 5 18 326
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity 1 1 1 4 2 3 15 36
Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets 0 0 3 77 1 2 15 443
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures 0 0 2 16 0 0 10 102
Early News is Good News: The Effects of Market Opening on Market Volatility 0 0 0 49 0 0 0 205
Energy and non–energy Commodities: Spillover Effects on African Stock Markets 1 1 1 1 1 2 2 2
Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions 0 0 0 4 0 0 4 25
Exchange market pressure: some caveats in empirical applications 0 0 1 49 0 0 4 172
Financial econometric analysis at ultra-high frequency: Data handling concerns 6 11 27 272 11 19 64 627
Forecast Error Decomposition in a Nonlinear Model with Provisional Data 0 0 2 3 1 1 3 11
Forecasting realized volatility with changing average levels 0 0 2 15 0 0 4 66
Frontiers in Time Series Analysis: Introduction 0 0 0 57 0 0 0 162
Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics 0 0 4 5 1 3 9 96
How to Strip a Model to Its Essential Elements 0 0 0 0 1 1 8 487
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 0 2 8 119 0 5 26 308
Market interdependence and financial volatility transmission in East Asia 0 0 0 105 0 0 1 306
Mixture Processes for Financial Intradaily Durations 0 0 0 67 0 2 10 240
Modeling Euro STOXX 50 volatility with common and market-specific components 0 0 0 1 0 0 5 9
Modelling the Impact of Overnight Surprises on Intra‐daily Volatility 0 0 0 0 0 0 0 0
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria 0 0 2 35 0 0 5 90
On the asymmetric impact of macro–variables on volatility 1 3 18 21 2 10 45 60
SEMIPARAMETRIC VECTOR MEM 0 0 0 28 1 1 7 95
Shrinkage estimation of semiparametric multiplicative error models 0 0 0 23 0 2 11 121
Shrinkage estimation of semiparametric multiplicative error models 0 0 0 9 0 0 3 45
Simulation methods in econometrics: editors' introduction 0 0 0 0 1 1 2 324
The econometrics of macroeconomics, finance, and the interface 1 1 1 432 1 1 6 811
The effects of trading activity on market volatility 0 0 0 106 1 4 8 341
Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models 0 0 0 57 0 0 2 174
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 1 4 9 247 1 6 27 617
Volatility estimation via hidden Markov models 0 1 2 131 0 2 5 337
Volatility spillovers, interdependence and comovements: A Markov Switching approach 0 1 2 80 0 2 8 235
Volatility transmission across markets: a Multichain Markov Switching model 0 0 0 89 0 0 1 275
Volatilité conditionnelle, signaux d'échange et perception du risque 0 0 1 10 3 4 15 68
Total Journal Articles 13 27 99 2,667 33 85 416 8,884


Statistics updated 2020-11-03