Giampiero M. Gallo
Names
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Giampiero |
| middle: |
M. |
| last: |
Gallo |
Identifer
Contact
Affiliations
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Rimini Centre for Economic Analysis (RCEA) (weight: 1%)
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Centro Ricerche Nord Sud (CRENoS) (weight: 99%)
Research profile
author of:
- Forecast Error Decomposition in a Nonlinear Model with Provisional Data (RePEc:adr:anecst:y:1991:i:22:p:103-128)
by Giampiero Gallo - Copula--based Specification of vector MEMs (RePEc:arx:papers:1604.01338)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - A dynamic conditional approach to portfolio weights forecasting (RePEc:arx:papers:2004.12400)
by Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri - Doubly Multiplicative Error Models with Long- and Short-run Components (RePEc:arx:papers:2006.03458)
by Alessandra Amendola & Vincenzo Candila & Fabrizio Cipollini & Giampiero M. Gallo - Unconventional Policies Effects on Stock Market Volatility: A MAP Approach (RePEc:arx:papers:2010.08259)
by Demetrio Lacava & Giampiero M. Gallo & Edoardo Otranto - Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall (RePEc:arx:papers:2011.00552)
by Vincenzo Candila & Giampiero M. Gallo & Lea Petrella - On Classifying the Effects of Policy Announcements on Volatility (RePEc:arx:papers:2011.14094)
by Giampiero M. Gallo & Demetrio Lacava & Edoardo Otranto - Multiplicative Error Models: 20 years on (RePEc:arx:papers:2107.05923)
by Fabrizio Cipollini & Giampiero M. Gallo - Volatility jumps and the classification of monetary policy announcements (RePEc:arx:papers:2305.12192)
by Giampiero M. Gallo & Demetrio Lacava & Edoardo Otranto - Modeling and evaluating conditional quantile dynamics in VaR forecasts (RePEc:arx:papers:2305.20067)
by Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri - Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito (RePEc:arx:papers:2307.11039)
by Fabio Bacchini & Lorenzo Di Biagio & Giampiero M. Gallo & Vincenzo Spinelli - Dynamic tail risk forecasting: what do realized skewness and kurtosis add? (RePEc:arx:papers:2409.13516)
by Giampiero Gallo & Ostap Okhrin & Giuseppe Storti - Modelling the Impact of Overnight Surprises on Intra‐daily Volatility (RePEc:bla:ausecp:v:40:y:2001:i:4:p:567-580)
by Giampiero M. Gallo - Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach (RePEc:bla:jorssc:v:67:y:2018:i:3:p:549-573)
by Giampiero M. Gallo & Edoardo Otranto - Unconventional policies effects on stock market volatility: The MAP approach (RePEc:bla:jorssc:v:71:y:2022:i:5:p:1245-1265)
by Demetrio Lacava & Giampiero M. Gallo & Edoardo Otranto - A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) (RePEc:bla:obuest:v:65:y:2003:i:s1:p:821-838)
by Teodosio Perez‐Amaral & Giampiero M. Gallo & Halbert White - Frontiers in Time Series Analysis: Introduction (RePEc:bla:obuest:v:68:y:2006:i:s1:p:679-682)
by Anindya Banerjee & Giampiero Gallo & Edoardo Otranto - Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS (RePEc:bla:obuest:v:86:y:2024:i:1:p:21-43)
by Luca Scaffidi Domianello & Giampiero M. Gallo & Edoardo Otranto - Early News is Good News: The Effects of Market Opening on Market Volatility (RePEc:bpj:sndecm:v:2:y:1998:i:4:n:3)
by Gallo Giampiero M. & Pacini Barbara - Mixture Processes for Financial Intradaily Durations (RePEc:bpj:sndecm:v:8:y:2004:i:2:n:8)
by De Luca Giovanni & Gallo Giampiero M. - The Impact of the Use of Forecasts in Information Sets (RePEc:cdl:ucsdec:qt1w33d4b2)
by Gallo, Giampiero M. & Granger, Clive W.J. & Jeon, Yongil - Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone (RePEc:cdl:ucsdec:qt4nb356d3)
by Gallo, Giampiero M. - Measuring the Effects of Unconventional Policies on Stock Market Volatility (RePEc:cns:cnscwp:202006)
by G.M. Gallo & D. Lacava & E. Otranto - On Classifying the Effects of Policy Announcements on Volatility (RePEc:cns:cnscwp:202008)
by G.M. Gallo & D. Lacava & E. Otranto - Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS (RePEc:cns:cnscwp:202205)
by L. Scaffidi Domianello & G.M. Gallo & E. Otranto - Volatility jumps and the classification of monetary policy announcements (RePEc:cns:cnscwp:202306)
by G.M. Gallo & D. Lacava & E. Otranto - Modeling and evaluating conditional quantile dynamics in VaR forecasts (RePEc:cns:cnscwp:202308)
by F. Cipollini & G.M. Gallo & A. Palandri - Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment (RePEc:cns:cnscwp:202415)
by G.M. Gallo & C.Ongari & S. Borgioli - Dynamic tail risk forecasting: what do realized skewness and kurtosis add? (RePEc:cns:cnscwp:202416)
by G.M. Gallo & O. Okhrin & G. Storti - On the Evolution of Credibility and Flexible Exchange Rate Target Zones (RePEc:cpr:ceprdp:1123)
by Avesani, Renzo & Gallo, Giampiero M & Salmon, Mark - A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets (RePEc:cup:etheor:v:21:y:2005:i:01:p:262-277_05)
by Perez-Amaral, Teodosio & Gallo, Giampiero M. & White, Halbert - Financial returns, sentiment and market volatility. A dynamic assessment (RePEc:ecb:ecbwps:20242999)
by Borgioli, Stefano & Gallo, Giampiero M. & Ongari, Chiara - Simulation methods in econometrics: editors' introduction (RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:ci-cvii)
by Giampiero M. Gallo & Grayham E. Mizon - Financial econometric analysis at ultra-high frequency: Data handling concerns (RePEc:eee:csdana:v:51:y:2006:i:4:p:2232-2245)
by Brownlees, C.T. & Gallo, G.M. - Volatility spillovers, interdependence and comovements: A Markov Switching approach (RePEc:eee:csdana:v:52:y:2008:i:6:p:3011-3026)
by Gallo, Giampiero M. & Otranto, Edoardo - Automated variable selection in vector multiplicative error models (RePEc:eee:csdana:v:54:y:2010:i:11:p:2470-2486)
by Cipollini, Fabrizio & Gallo, Giampiero M. - On the asymmetric impact of macro–variables on volatility (RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152)
by Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M. - The econometrics of macroeconomics, finance, and the interface (RePEc:eee:econom:v:131:y:2006:i:1-2:p:1-2)
by Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F. - A multiple indicators model for volatility using intra-daily data (RePEc:eee:econom:v:131:y:2006:i:1-2:p:3-27)
by Engle, Robert F. & Gallo, Giampiero M. - Disentangling systematic and idiosyncratic dynamics in panels of volatility measures (RePEc:eee:econom:v:182:y:2014:i:2:p:364-384)
by Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David - Modeling Euro STOXX 50 volatility with common and market-specific components (RePEc:eee:ecosta:v:11:y:2019:i:c:p:22-42)
by Cipollini, Fabrizio & Gallo, Giampiero M. - Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model (RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28)
by Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M. - Multiplicative Error Models: 20 years on (RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229)
by Cipollini, Fabrizio & Gallo, Giampiero M. - Volatility estimation via hidden Markov models (RePEc:eee:empfin:v:13:y:2006:i:2:p:203-230)
by Rossi, Alessandro & Gallo, Giampiero M. - Shrinkage estimation of semiparametric multiplicative error models (RePEc:eee:intfor:v:27:y::i:2:p:365-378)
by Brownlees, Christian T. & Gallo, Giampiero M. - Shrinkage estimation of semiparametric multiplicative error models (RePEc:eee:intfor:v:27:y:2011:i:2:p:365-378)
by Brownlees, Christian T. & Gallo, Giampiero M. - Forecasting realized volatility with changing average levels (RePEc:eee:intfor:v:31:y:2015:i:3:p:620-634)
by Gallo, Giampiero M. & Otranto, Edoardo - Realized volatility forecasting: Robustness to measurement errors (RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57)
by Cipollini, Fabrizio & Gallo, Giampiero M. & Otranto, Edoardo - A dynamic conditional approach to forecasting portfolio weights (RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126)
by Cipollini, Fabrizio & Gallo, Giampiero M. & Palandri, Alessandro - Doubly multiplicative error models with long- and short-run components (RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768)
by Amendola, A. & Candila, V. & Cipollini, F. & Gallo, G.M. - Early News Is Good News. The Effects of Market Opening on Market Volatility (RePEc:eui:euiwps:eco98/3)
by Gallo, G.M. & Pacini, B. - Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets (RePEc:fir:econom:wp2001_01)
by Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon - Modelling the Impact of Overnight Surprises on Intra-daily Volatility (RePEc:fir:econom:wp2001_02)
by Giampiero M. Gallo - Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns (RePEc:fir:econom:wp2001_03)
by Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee - A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models (RePEc:fir:econom:wp2001_04)
by Edoardo Otranto & Giampiero M. Gallo - Analytic Hessian Matrices and the Computation of FIGARCH Estimates (RePEc:fir:econom:wp2002_03)
by Marco J. Lombardi & Giampiero M. Gallo - GARCH-based Volatility Forecasts for Market Volatility Indices (RePEc:fir:econom:wp2002_06)
by Massimiliano Cecconi & Giampiero M. Gallo & Marco J. Lombardi - Volatility Estimation via Hidden Markov Models (RePEc:fir:econom:wp2002_14)
by Alessandro Rossi & Giampiero M. Gallo - A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) (RePEc:fir:econom:wp2003_04)
by Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White - A Multiple Indicators Model For Volatility Using Intra-Daily Data (RePEc:fir:econom:wp2003_07)
by Robert F. Engle & Giampiero M. Gallo - A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets (RePEc:fir:econom:wp2004_12)
by Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White - Volatility Transmission in Financial Markets: A New Approach (RePEc:fir:econom:wp2005_10)
by Giampiero M. Gallo & Edoardo Otranto - Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models (RePEc:fir:econom:wp2005_11)
by Giovanni De Luca & Giampiero M. Gallo - Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns (RePEc:fir:econom:wp2006_03)
by Christian T. Brownlees & Giampiero Gallo - Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model (RePEc:fir:econom:wp2006_04)
by Giampiero Gallo & Edoardo Otranto - Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models (RePEc:fir:econom:wp2006_12)
by Giovanni De Luca & Giampiero Gallo - Vector Multiplicative Error Models: Representation and Inference (RePEc:fir:econom:wp2006_15)
by Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo - Exchange Market Pressure: Some Caveats In Empirical Applications (RePEc:fir:econom:wp2006_17)
by Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti - On the Interaction between Ultra–high Frequency Measures of Volatility (RePEc:fir:econom:wp2007_01)
by Giampiero Gallo & Margherita Velucchi - Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria (RePEc:fir:econom:wp2007_02)
by Christian T. Brownlees & Giampiero Gallo - Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria (RePEc:fir:econom:wp2007_04)
by Christian T. Brownlees & Giampiero Gallo - Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach (RePEc:fir:econom:wp2007_11)
by Giampiero Gallo & Edoardo Otranto - Comparison of Volatility Measures: a Risk Management Perspective (RePEc:fir:econom:wp2007_15)
by Christian T. Brownlees & Giampiero M. Gallo - A Model for Multivariate Non-negative Valued Processes in Financial Econometrics (RePEc:fir:econom:wp2007_16)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Comparison of Volatility Measures: a Risk Management Perspective (RePEc:fir:econom:wp2008_03)
by Christian T. Brownlees & Giampiero Gallo - A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets (RePEc:fir:econom:wp2008_09)
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi - Intra-daily Volume Modeling and Prediction for Algorithmic Trading (RePEc:fir:econom:wp2009_01)
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo - Automated Variable Selection in Vector Multiplicative Error Models (RePEc:fir:econom:wp2009_02)
by Fabrizio Cipollini & Giampiero M. Gallo - Semiparametric vector MEM (RePEc:fir:econom:wp2009_03)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - A Time-varying Mixing Multiplicative Error Model for Realized Volatility (RePEc:fir:econom:wp2010_03)
by Giovanni De Luca & Giampiero Gallo - Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets (RePEc:fir:econom:wp2010_06)
by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas - Multiplicative Error Models (RePEc:fir:econom:wp2011_03)
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo - Realized Volatility and Change of Regimes (RePEc:fir:econom:wp2012_02)
by Giampiero M. Gallo & Edoardo Otranto - Volatility Swings in the US Financial Markets (RePEc:fir:econom:wp2012_03)
by Giampiero M. Gallo & Edoardo Otranto - Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares (RePEc:fir:econom:wp2014_01)
by Francesco Calvori & Fabrizio Cipollini & Giampiero M. Gallo - Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures (RePEc:fir:econom:wp2014_02)
by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas - Forecasting Realized Volatility with Changes of Regimes (RePEc:fir:econom:wp2014_03)
by Giampiero M. Gallo & Edoardo Otranto - Median Response to Shocks: A Model for VaR Spillovers in East Asia (RePEc:fir:econom:wp2016_01)
by Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini - Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM (RePEc:fir:econom:wp2016_02)
by Giampiero M. Gallo & Edoardo Otranto - Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears (RePEc:fir:econom:wp2016_03)
by Francesco Calvori & Matteo Dentella & Giampiero M. Gallo - Copula--based Specification of vector MEMs (RePEc:fir:econom:wp2016_04)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity (RePEc:fir:econom:wp2017_02)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach (RePEc:fir:econom:wp2017_05)
by Giampiero M. Gallo & Edoardo Otranto - Realized Volatility Forecasting: Robustness to Measurement Errors (RePEc:fir:econom:wp2019_04)
by Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto - Realized variance modeling: decoupling forecasting from estimation (RePEc:fir:econom:wp2019_05)
by Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri - A Dynamic Conditional Approach to Portfolio Weights Forecasting (RePEc:fir:econom:wp2020_06)
by Fabrizio Cipollini & Giampiero Gallo & Alessandro Palandri - Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity (RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Ex Post and Ex Ante Analysis of Provisional Data (RePEc:igi:igierp:141)
by Giampiero M. Gallo & Massimiliano Marcellino - Market interdependence and financial volatility transmission in East Asia (RePEc:ijf:ijfiec:v:14:y:2009:i:1:p:24-44)
by Giampiero M. Gallo & Margherita Velucchi - Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets (RePEc:ijf:ijfiec:v:3:y:1998:i:3:p:241-59)
by Gallo, Giampiero M & Pacini, Barbara - How to Strip a Model to Its Essential Elements (RePEc:kap:csecmg:v:3:y:1990:i:2:p:199-214)
by Gallo, Giampiero M & Gilli, Manfred H - Castle, J. L. and Shephard, N.: The methodology and practice of econometrics (RePEc:kap:jeczfn:v:101:y:2010:i:1:p:99-101)
by Giampiero Gallo - Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics (RePEc:kap:jeczfn:v:120:y:2017:i:3:d:10.1007_s00712-016-0514-4)
by Giampiero M. Gallo - Indicatori comuni del PNRR e framework SDGs:una proposta di indicatore composito (RePEc:lui:lleewp:23158)
by Fabio Bacchini & Lorenzo Di Biagio & Giampiero M. Gallo & Vincenzo Spinelli - Common rrf Indicators and sdgs Framework: A Proposal for a Composite Index (RePEc:mul:j0hje1:doi:10.1430/112686:y:2023:i:3:p:441-470)
by Fabio Bacchini & Lorenzo Di Biagio & Giampiero M. Gallo & Vincenzo Spinelli - Vector Multiplicative Error Models: Representation and Inference (RePEc:nbr:nberte:0331)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - A Multiple Indicators Model for Volatility Using Intra-Daily Data (RePEc:nbr:nberwo:10117)
by Robert F. Engle & Giampiero M. Gallo - Vector Multiplicative Error Models: Representation and Inference (RePEc:nbr:nberwo:12690)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Realized Variance Modeling: Decoupling Forecasting from Estimation (RePEc:oup:jfinec:v:18:y::i:3:p:532-555.)
by Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri - Realized Variance Modeling: Decoupling Forecasting from Estimation (RePEc:oup:jfinec:v:18:y:2020:i:3:p:532-555.)
by Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri - On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria (RePEc:oup:jfinec:v:6:y:2008:i:4:p:513-539)
by Christian T. Brownlees & Giampiero M. Gallo - Comparison of Volatility Measures: a Risk Management Perspective (RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56)
by Christian T. Brownlees & Giampiero M. Gallo - Intra-daily Volume Modeling and Prediction for Algorithmic Trading (RePEc:oup:jfinec:v:9:y:2011:i:3:p:489-518)
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo - Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets (RePEc:pal:imfstp:v:49:y:2002:i:1:p:2)
by Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon - 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 (RePEc:pre:wpaper:202437)
by Vincenzo Candila & Oguzhan Cepni & Giampiero M. Gallo & Rangan Gupta - Volatilité conditionnelle, signaux d'échange et perception du risque (RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5799)
by Giampiero M. Gallo & Barbara Pacini & E. Benayoun - Modeling Euro STOXX 50 Volatility with Common and Market–specific Components (RePEc:rim:rimwps:18-26)
by Fabrizio Cipollini & Giampiero M. Gallo - Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions (RePEc:sgh:erfinj:v:2:y:2017:i:2:p:99-111)
by Giovanni De Luca & Giampiero M. Gallo & Danilo Carità - On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS (RePEc:spr:sprchp:978-3-030-78965-7_2)
by Alessandra Amendola & Vincenzo Candila & Fabrizio Cipollini & Giampiero M. Gallo - Analytic Hessian matrices and the computation of FIGARCH estimates (RePEc:spr:stmapp:v:11:y:2002:i:2:d:10.1007_bf02511490)
by Marco J. Lombardi & Giampiero M. Gallo - Energy and non–energy Commodities: Spillover Effects on African Stock Markets (RePEc:spt:stecon:v:9:y:2020:i:4:f:9_4_7)
by Alessandra Amendola & Marinella Boccia & Vincenzo Candila & Giampiero M. Gallo - Volatility transmission across markets: a Multichain Markov Switching model (RePEc:taf:apfiec:v:17:y:2007:i:8:p:659-670)
by Giampiero M. Gallo & Edoardo Otranto - Exchange market pressure: some caveats in empirical applications (RePEc:taf:applec:v:42:y:2010:i:19:p:2435-2448)
by Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti - A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models (RePEc:taf:emetrv:v:21:y:2002:i:4:p:477-496)
by Edoardo Otranto & Giampiero Gallo - Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models (RePEc:taf:emetrv:v:28:y:2009:i:1-3:p:102-120)
by Giovanni Luca & Giampiero Gallo - The effects of trading activity on market volatility (RePEc:taf:eurjfi:v:6:y:2000:i:2:p:163-175)
by Giampiero Gallo & Barbara Pacini - Adaptive Lasso for vector Multiplicative Error Models (RePEc:taf:quantf:v:20:y:2020:i:2:p:255-274)
by Luca Cattivelli & Giampiero M. Gallo - Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach (RePEc:tpr:restat:v:94:y:2012:i:1:p:222-223)
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi - Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries (RePEc:trn:utwpde:8902)
by Renzo G.Avesani & Giampiero M. Gallo & Peter Pauly - Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone (RePEc:trn:utwpde:9104)
by Renzo G. Avesani & Giampiero M. Gallo - A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) (RePEc:ucm:doicae:0201)
by Halbert L. White & Giampiero M. Gallo & Teodosio Pérez Amaral - Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) (RePEc:ucm:doicae:0309)
by Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White - Semiparametric Vector Mem (RePEc:wly:japmet:v:28:y:2013:i:7:p:1067-1086)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - The impact of the use of forecasts in information sets (RePEc:zbw:dbrrns:997)
by Gallo, Giampiero M. & Granger, Clive William John & Jeon, Yongil