Giampiero M. Gallo

Names

Contact

Affiliations

• Centro Ricerche Nord Sud (CRENoS) (weight: 95%)
  • website
  • location: Italy
• Rimini Centre for Economic Analysis (RCEA) (weight: 5%)
  • website
  • location: Rimini, Italy

Research profile

author of:

• On the Evolution of Credibility and Flexible Exchange Rate Target Zones
  by Avesani, Renzo & Gallo, Giampiero M. & Salmon, Mark
• Ex Post and Ex Ante Analysis of Provisional Data
  by Giampiero M. Gallo & Massimiliano Marcellino
• Simulation methods in econometrics: editors' introduction
  by GIAMPIERO M. GALLO & GRAYHAM E. MIZON
• How to Strip a Model to Its Essential Elements.
  by Gallo, Giampiero M. & Gilli, Manfred H.
• Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets.
  by Gallo, Giampiero M. & Pacini, Barbara
• A Multiple Indicators Model for Volatility Using Intra-Daily Data
  by Robert F. Engle & Giampiero M. Gallo
• The effects of trading activity on market volatility
  by Giampiero Gallo & Barbara Pacini
• A Multiple Indicators Model For Volatility Using Intra-Daily Data.
  by Robert F. Engle & Giampiero M. Gallo
• Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets
  by Giampiero M. Gallo & Clive W. J. Granger & Yongil Jeon
• Modelling the Impact of Overnight Surprises on Intra-daily Volatility
  by Giampiero M. Gallo
• A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).
  by Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White
• Volatility Estimation via Hidden Markov Models.
  by Alessandro Rossi & Giampiero M. Gallo
• Analytic Hessian Matrices and the Computation of FIGARCH Estimates
  by Marco J. Lombardi & Giampiero M. Gallo
• GARCH-based Volatility Forecasts for Market Volatility Indices
  by Massimiliano Cecconi & Giampiero M. Gallo & Marco J. Lombardi
• Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns
  by Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee
• A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models
  by Edoardo Otranto & Giampiero M. Gallo
• A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets.
  by Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White
• A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
  by Edoardo Otranto & Giampiero Gallo
• Early News Is Good News. The Effects of Market Opening on Market Volatility.
  by Gallo, G. M. & Pacini, B.
• A multiple indicators model for volatility using intra-daily data
  by Engle, Robert F. & Gallo, Giampiero M.
• Volatility estimation via hidden Markov models
  by Rossi, Alessandro & Gallo, Giampiero M.
• The econometrics of macroeconomics, finance, and the interface
  by Diebold, F. X. & Engle, R. F. & Favero, C. & Gallo, G. M. & Schorfheide, F.
• Vector Multiplicative Error Models: Representation and Inference
  by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
• Vector Multiplicative Error Models: Representation and Inference
  by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
• Frontiers in Time Series Analysis: Introduction
  by Anindya Banerjee & Giampiero Gallo & Edoardo Otranto
• Vector Multiplicative Error Models: Representation and Inference
  by Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo
• Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns
  by Christian T. Brownlees & Giampiero Gallo
• Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model
  by Giampiero Gallo & Edoardo Otranto
• Exchange Market Pressure: Some Caveats In Empirical Applications
  by Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti
• Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
  by Giovanni De Luca & Giampiero M. Gallo
• Volatility Transmission in Financial Markets: A New Approach
  by Giampiero M. Gallo & Edoardo Otranto
• Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
  by Giovanni De Luca & Giampiero Gallo
• Financial econometric analysis at ultra-high frequency: Data handling concerns
  by Brownlees, C. T. & Gallo, G. M.
• A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)*
  by Teodosio Perez‐Amaral & Giampiero M. Gallo & Halbert White
• Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria
  by Christian T. Brownlees & Giampiero Gallo
• On the Interaction between Ultra–high Frequency Measures of Volatility
  by Giampiero Gallo & Margherita Velucchi
• Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
  by Christian T. Brownlees & Giampiero Gallo
• Volatility transmission across markets: a Multichain Markov Switching model
  by Giampiero M. Gallo & Edoardo Otranto
• Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets
  by Giampiero M. Gallo & Clive W. J. Granger & Yongil Jeon
• Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach
  by Giampiero Gallo & Edoardo Otranto
• A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)
  by Halbert L. White & Giampiero M. Gallo & Teodosio Pérez Amaral
• Comparison of Volatility Measures: a Risk Management Perspective
  by Christian T. Brownlees & Giampiero Gallo
• A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
  by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
• Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)
  by TEODOSIO PEREZ-AMARAL & GIAMPIERO M. GALLO & HALBERT WHITE
• Volatility spillovers, interdependence and comovements: A Markov Switching approach
  by Gallo, Giampiero M. & Otranto, Edoardo
• A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets
  by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi
• A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
  by Perez-Amaral, Teodosio & Gallo, Giampiero M. & White, Halbert
• Automated Variable Selection in Vector Multiplicative Error Models
  by Fabrizio Cipollini & Giampiero M. Gallo
• Market interdependence and financial volatility transmission in East Asia
  by Giampiero M. Gallo & Margherita Velucchi
• Semiparametric vector MEM
  by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
• Early News is Good News: The Effects of Market Opening on Market Volatility
  by Gallo Giampiero M. & Pacini Barbara
• Mixture Processes for Financial Intradaily Durations
  by De Luca Giovanni & Gallo Giampiero M.
• Intra-daily Volume Modeling and Prediction for Algorithmic Trading
  by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo
• Comparison of Volatility Measures: a Risk Management Perspective
  by Christian T. Brownlees & Giampiero M. Gallo
• On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
  by Christian T. Brownlees & Giampiero M. Gallo
• A Time-varying Mixing Multiplicative Error Model for Realized Volatility
  by Giovanni De Luca & Giampiero Gallo
• Automated variable selection in vector multiplicative error models
  by Cipollini, Fabrizio & Gallo, Giampiero M.
• Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
  by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas
• Exchange market pressure: some caveats in empirical applications
  by Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti
• Castle, J. L. and Shephard, N.: The methodology and practice of econometrics
  by Giampiero Gallo
• The impact of the use of forecasts in information sets
  by Gallo, Giampiero M. & Granger, Clive William John & Jeon, Yongil
• Shrinkage estimation of semiparametric multiplicative error models
  by Brownlees, Christian T. & Gallo, Giampiero M.
• Multiplicative Error Models
  by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo
• Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
  by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi
• Intra-daily Volume Modeling and Prediction for Algorithmic Trading
  by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo
• The Impact of the Use of Forecasts in Information Sets
  by Gallo, Giampiero M. & Granger, Clive W. J. & Jeon, Yongil
• Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone
  by Gallo, Giampiero M.
• Volatilité conditionnelle, signaux d'échange et perception du risque
  by Giampiero M. Gallo & Barbara Pacini & E. Benayoun
• Volatility Swings in the US Financial Markets
  by Giampiero M. Gallo & Edoardo Otranto
• Realized Volatility and Change of Regimes
  by Giampiero M. Gallo & Edoardo Otranto
• Shrinkage estimation of semiparametric multiplicative error models
  by Brownlees, Christian T. & Gallo, Giampiero M.
• Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares
  by Francesco Calvori & Fabrizio Cipollini & Giampiero M. Gallo
• Forecasting Realized Volatility with Changes of Regimes
  by Giampiero M. Gallo & Edoardo Otranto
• SEMIPARAMETRIC VECTOR MEM
  by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
• Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures
  by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas
• Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
  by Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David
• Forecast Error Decomposition in a Nonlinear Model with Provisional Data
  by Giampiero Gallo
• Forecasting realized volatility with changing average levels
  by Gallo, Giampiero M. & Otranto, Edoardo
• Copula--based Specification of vector MEMs
  by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
• Median Response to Shocks: A Model for VaR Spillovers in East Asia
  by Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini
• Copula--based Specification of vector MEMs
  by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
• Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM
  by Giampiero M. Gallo & Edoardo Otranto
• Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears
  by Francesco Calvori & Matteo Dentella & Giampiero M. Gallo
• Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity
  by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
• Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach
  by Giampiero M. Gallo & Edoardo Otranto
• Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries
  by Renzo G. Avesani & Giampiero M. Gallo & Peter Pauly
• Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
  by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
• Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone
  by Renzo G. Avesani & Giampiero M. Gallo
• Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
  by Giovanni De Luca & Giampiero M. Gallo & Danilo Carità
• Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics
  by Giampiero M. Gallo
• Analytic Hessian matrices and the computation of FIGARCH estimates
  by Marco J. Lombardi & Giampiero M. Gallo
• Modeling Euro STOXX 50 Volatility with Common and Market–specific Components
  by Fabrizio Cipollini & Giampiero M. Gallo
• Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach
  by Giampiero M. Gallo & Edoardo Otranto
• Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
  by Giovanni Luca & Giampiero Gallo
• On the asymmetric impact of macro–variables on volatility
  by Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M.
• Realized Volatility Forecasting: Robustness to Measurement Errors
  by Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto
• Realized variance modeling: decoupling forecasting from estimation
  by Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri
• Comparison of Volatility Measures: a Risk Management Perspective
  by Christian T. Brownlees & Giampiero M. Gallo
• Modeling Euro STOXX 50 volatility with common and market-specific components
  by Cipollini, Fabrizio & Gallo, Giampiero M.
• Adaptive Lasso for vector Multiplicative Error Models
  by Luca Cattivelli & Giampiero M. Gallo
• Modelling the Impact of Overnight Surprises on Intra‐daily Volatility
  by Giampiero M. Gallo
• A dynamic conditional approach to portfolio weights forecasting
  by Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri
• A Dynamic Conditional Approach to Portfolio Weights Forecasting
  by Fabrizio Cipollini & Giampiero Gallo & Alessandro Palandri
• Doubly Multiplicative Error Models with Long- and Short-run Components
  by Alessandra Amendola & Vincenzo Candila & Fabrizio Cipollini & Giampiero M. Gallo
• Measuring the Effects of Unconventional Policies on Stock Market Volatility
  by G. M. Gallo & D. Lacava & E. Otranto
• Measuring the Effect of Unconventional Policies on Stock Market Volatility
  by Demetrio Lacava & Giampiero M. Gallo & Edoardo Otranto
• Energy and non–energy Commodities: Spillover Effects on African Stock Markets
  by Alessandra Amendola & Marinella Boccia & Vincenzo Candila & Giampiero M. Gallo
• Using mixed-frequency and realized measures in quantile regression
  by Vincenzo Candila & Giampiero M. Gallo & Lea Petrella
• Realized volatility forecasting: Robustness to measurement errors
  by Cipollini, Fabrizio & Gallo, Giampiero M. & Otranto, Edoardo
• Realized Variance Modeling: Decoupling Forecasting from Estimation*
  by Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri
• On Classifying the Effects of Policy Announcements on Volatility
  by G. M. Gallo & D. Lacava & E. Otranto
• On Classifying the Effects of Policy Announcements on Volatility
  by Giampiero M. Gallo & Demetrio Lacava & Edoardo Otranto
• Realized Variance Modeling: Decoupling Forecasting from Estimation*
  by Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri