Giampiero M. Gallo
Names
first: |
Giampiero |
middle: |
M. |
last: |
Gallo |
Contact
Affiliations
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Centro Ricerche Nord Sud (CRENoS) (weight: 95%)
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Rimini Centre for Economic Analysis (RCEA) (weight: 5%)
Research profile
author of:
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On the Evolution of Credibility and Flexible Exchange Rate Target Zones
by Avesani, Renzo & Gallo, Giampiero M. & Salmon, Mark
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Ex Post and Ex Ante Analysis of Provisional Data
by Giampiero M. Gallo & Massimiliano Marcellino
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Simulation methods in econometrics: editors' introduction
by GIAMPIERO M. GALLO & GRAYHAM E. MIZON
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How to Strip a Model to Its Essential Elements.
by Gallo, Giampiero M. & Gilli, Manfred H.
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Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets.
by Gallo, Giampiero M. & Pacini, Barbara
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A Multiple Indicators Model for Volatility Using Intra-Daily Data
by Robert F. Engle & Giampiero M. Gallo
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The effects of trading activity on market volatility
by Giampiero Gallo & Barbara Pacini
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A Multiple Indicators Model For Volatility Using Intra-Daily Data.
by Robert F. Engle & Giampiero M. Gallo
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Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets
by Giampiero M. Gallo & Clive W. J. Granger & Yongil Jeon
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Modelling the Impact of Overnight Surprises on Intra-daily Volatility
by Giampiero M. Gallo
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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
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Volatility Estimation via Hidden Markov Models.
by Alessandro Rossi & Giampiero M. Gallo
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Analytic Hessian Matrices and the Computation of FIGARCH Estimates
by Marco J. Lombardi & Giampiero M. Gallo
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GARCH-based Volatility Forecasts for Market Volatility Indices
by Massimiliano Cecconi & Giampiero M. Gallo & Marco J. Lombardi
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Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns
by Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee
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A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models
by Edoardo Otranto & Giampiero M. Gallo
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A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets.
by Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White
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A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
by Edoardo Otranto & Giampiero Gallo
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Early News Is Good News. The Effects of Market Opening on Market Volatility.
by Gallo, G. M. & Pacini, B.
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A multiple indicators model for volatility using intra-daily data
by Engle, Robert F. & Gallo, Giampiero M.
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Volatility estimation via hidden Markov models
by Rossi, Alessandro & Gallo, Giampiero M.
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The econometrics of macroeconomics, finance, and the interface
by Diebold, F. X. & Engle, R. F. & Favero, C. & Gallo, G. M. & Schorfheide, F.
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Vector Multiplicative Error Models: Representation and Inference
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
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Vector Multiplicative Error Models: Representation and Inference
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
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Frontiers in Time Series Analysis: Introduction
by Anindya Banerjee & Giampiero Gallo & Edoardo Otranto
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Vector Multiplicative Error Models: Representation and Inference
by Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo
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Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns
by Christian T. Brownlees & Giampiero Gallo
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Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model
by Giampiero Gallo & Edoardo Otranto
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Exchange Market Pressure: Some Caveats In Empirical Applications
by Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti
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Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
by Giovanni De Luca & Giampiero M. Gallo
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Volatility Transmission in Financial Markets: A New Approach
by Giampiero M. Gallo & Edoardo Otranto
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Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
by Giovanni De Luca & Giampiero Gallo
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Financial econometric analysis at ultra-high frequency: Data handling concerns
by Brownlees, C. T. & Gallo, G. M.
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A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)*
by Teodosio Perez‐Amaral & Giampiero M. Gallo & Halbert White
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Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria
by Christian T. Brownlees & Giampiero Gallo
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On the Interaction between Ultra–high Frequency Measures of Volatility
by Giampiero Gallo & Margherita Velucchi
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Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
by Christian T. Brownlees & Giampiero Gallo
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Volatility transmission across markets: a Multichain Markov Switching model
by Giampiero M. Gallo & Edoardo Otranto
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Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets
by Giampiero M. Gallo & Clive W. J. Granger & Yongil Jeon
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Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach
by Giampiero Gallo & Edoardo Otranto
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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
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Comparison of Volatility Measures: a Risk Management Perspective
by Christian T. Brownlees & Giampiero Gallo
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A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
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Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)
by TEODOSIO PEREZ-AMARAL & GIAMPIERO M. GALLO & HALBERT WHITE
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Volatility spillovers, interdependence and comovements: A Markov Switching approach
by Gallo, Giampiero M. & Otranto, Edoardo
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A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi
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A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
by Perez-Amaral, Teodosio & Gallo, Giampiero M. & White, Halbert
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Automated Variable Selection in Vector Multiplicative Error Models
by Fabrizio Cipollini & Giampiero M. Gallo
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Market interdependence and financial volatility transmission in East Asia
by Giampiero M. Gallo & Margherita Velucchi
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Semiparametric vector MEM
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
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Early News is Good News: The Effects of Market Opening on Market Volatility
by Gallo Giampiero M. & Pacini Barbara
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Mixture Processes for Financial Intradaily Durations
by De Luca Giovanni & Gallo Giampiero M.
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Intra-daily Volume Modeling and Prediction for Algorithmic Trading
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo
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Comparison of Volatility Measures: a Risk Management Perspective
by Christian T. Brownlees & Giampiero M. Gallo
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On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
by Christian T. Brownlees & Giampiero M. Gallo
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A Time-varying Mixing Multiplicative Error Model for Realized Volatility
by Giovanni De Luca & Giampiero Gallo
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Automated variable selection in vector multiplicative error models
by Cipollini, Fabrizio & Gallo, Giampiero M.
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Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas
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Exchange market pressure: some caveats in empirical applications
by Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti
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Castle, J. L. and Shephard, N.: The methodology and practice of econometrics
by Giampiero Gallo
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The impact of the use of forecasts in information sets
by Gallo, Giampiero M. & Granger, Clive William John & Jeon, Yongil
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Shrinkage estimation of semiparametric multiplicative error models
by Brownlees, Christian T. & Gallo, Giampiero M.
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Multiplicative Error Models
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo
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Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi
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Intra-daily Volume Modeling and Prediction for Algorithmic Trading
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo
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The Impact of the Use of Forecasts in Information Sets
by Gallo, Giampiero M. & Granger, Clive W. J. & Jeon, Yongil
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Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone
by Gallo, Giampiero M.
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Volatilité conditionnelle, signaux d'échange et perception du risque
by Giampiero M. Gallo & Barbara Pacini & E. Benayoun
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Volatility Swings in the US Financial Markets
by Giampiero M. Gallo & Edoardo Otranto
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Realized Volatility and Change of Regimes
by Giampiero M. Gallo & Edoardo Otranto
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Shrinkage estimation of semiparametric multiplicative error models
by Brownlees, Christian T. & Gallo, Giampiero M.
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Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares
by Francesco Calvori & Fabrizio Cipollini & Giampiero M. Gallo
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Forecasting Realized Volatility with Changes of Regimes
by Giampiero M. Gallo & Edoardo Otranto
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SEMIPARAMETRIC VECTOR MEM
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
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Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures
by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas
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Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
by Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David
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Forecast Error Decomposition in a Nonlinear Model with Provisional Data
by Giampiero Gallo
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Forecasting realized volatility with changing average levels
by Gallo, Giampiero M. & Otranto, Edoardo
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Copula--based Specification of vector MEMs
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
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Median Response to Shocks: A Model for VaR Spillovers in East Asia
by Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini
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Copula--based Specification of vector MEMs
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
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Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM
by Giampiero M. Gallo & Edoardo Otranto
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Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears
by Francesco Calvori & Matteo Dentella & Giampiero M. Gallo
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Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
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Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach
by Giampiero M. Gallo & Edoardo Otranto
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Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries
by Renzo G. Avesani & Giampiero M. Gallo & Peter Pauly
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Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
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Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone
by Renzo G. Avesani & Giampiero M. Gallo
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Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
by Giovanni De Luca & Giampiero M. Gallo & Danilo Carità
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Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics
by Giampiero M. Gallo
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Analytic Hessian matrices and the computation of FIGARCH estimates
by Marco J. Lombardi & Giampiero M. Gallo
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Modeling Euro STOXX 50 Volatility with Common and Market–specific Components
by Fabrizio Cipollini & Giampiero M. Gallo
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Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach
by Giampiero M. Gallo & Edoardo Otranto
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Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
by Giovanni Luca & Giampiero Gallo
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On the asymmetric impact of macro–variables on volatility
by Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M.
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Realized Volatility Forecasting: Robustness to Measurement Errors
by Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto
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Realized variance modeling: decoupling forecasting from estimation
by Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri
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Comparison of Volatility Measures: a Risk Management Perspective
by Christian T. Brownlees & Giampiero M. Gallo
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Modeling Euro STOXX 50 volatility with common and market-specific components
by Cipollini, Fabrizio & Gallo, Giampiero M.
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Adaptive Lasso for vector Multiplicative Error Models
by Luca Cattivelli & Giampiero M. Gallo
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Modelling the Impact of Overnight Surprises on Intra‐daily Volatility
by Giampiero M. Gallo
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A dynamic conditional approach to portfolio weights forecasting
by Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri
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A Dynamic Conditional Approach to Portfolio Weights Forecasting
by Fabrizio Cipollini & Giampiero Gallo & Alessandro Palandri
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Doubly Multiplicative Error Models with Long- and Short-run Components
by Alessandra Amendola & Vincenzo Candila & Fabrizio Cipollini & Giampiero M. Gallo
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Measuring the Effects of Unconventional Policies on Stock Market Volatility
by G. M. Gallo & D. Lacava & E. Otranto
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Measuring the Effect of Unconventional Policies on Stock Market Volatility
by Demetrio Lacava & Giampiero M. Gallo & Edoardo Otranto
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Energy and non–energy Commodities: Spillover Effects on African Stock Markets
by Alessandra Amendola & Marinella Boccia & Vincenzo Candila & Giampiero M. Gallo
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Using mixed-frequency and realized measures in quantile regression
by Vincenzo Candila & Giampiero M. Gallo & Lea Petrella
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Realized volatility forecasting: Robustness to measurement errors
by Cipollini, Fabrizio & Gallo, Giampiero M. & Otranto, Edoardo
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Realized Variance Modeling: Decoupling Forecasting from Estimation*
by Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri
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On Classifying the Effects of Policy Announcements on Volatility
by G. M. Gallo & D. Lacava & E. Otranto
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On Classifying the Effects of Policy Announcements on Volatility
by Giampiero M. Gallo & Demetrio Lacava & Edoardo Otranto
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Realized Variance Modeling: Decoupling Forecasting from Estimation*
by Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri