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A nonparametric Bayesian approach to detect the number of regimes in Markov switching models

Otranto, Edoardo; Gallo, Giampiero M. - In: Econometric reviews 21 (2002) 4, pp. 477-496

Persistent link: https://www.econbiz.de/10001718228

Frontiers in time series analysis : introduction

Banerjee, Anindya; Gallo, Giampiero M.; Otranto, Edoardo - In: Oxford bulletin of economics and statistics 68 (2006), pp. 679-682

Persistent link: https://www.econbiz.de/10003393442

Forecasting realized volatility with changing average levels

Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 31 (2015) 3, pp. 620-634

Persistent link: https://www.econbiz.de/10011474431

Realized volatility forecasting : Robustness to measurement errors

Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57

Persistent link: https://www.econbiz.de/10012692572

Measuring the effects of unconventional policies on stock market volatility

Lacava, Demetrio; Gallo, Giampiero M.; Otranto, Edoardo - 2020 - Prima edizione

Persistent link: https://www.econbiz.de/10012515678

On classifying the effects of policy announcements on volatility

Gallo, Giampiero M.; Lacava, Demetrio; Otranto, Edoardo - 2020 - Prima edizione

Persistent link: https://www.econbiz.de/10012515683

Volatility jumps and the classification of monetary policy announcements

Gallo, Giampiero M.; Lacava, Demetrio; Otranto, Edoardo - 2023 - Prima edizione

Persistent link: https://www.econbiz.de/10014321842

Smooth and abrupt dynamics in financial volatility : the MS-MEM-MIDAS

Scaffidi Domianello, Luca; Gallo, Giampiero M.; … - 2022 - Prima edizione

Persistent link: https://www.econbiz.de/10014261237

Smooth and abrupt dynamics in financial volatility : the MS-MEM-MIDAS

Scaffidi Domianello, Luca; Gallo, Giampiero M.; … - In: Oxford bulletin of economics and statistics 86 (2024) 1, pp. 21-43

Persistent link: https://www.econbiz.de/10014481332

Measuring the Effects of Unconventional Policies on Stock Market Volatility

Lacava, Demetrio; Gallo, Giampiero M.; Otranto, Edoardo - 2020

As a response to the Great Recession, many central banks resorted to unconventional monetary policies, in the form of a balance sheet expansion. Our research aims at analyzing the impact of the ECB policies on stock market volatility in four Eurozone countries (France, Germany, Italy, and Spain)...

Persistent link: https://www.econbiz.de/10014352183