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On the asymmetric impact of macro-variables on volatility

Amendola, Alessandra; Candila, Vincenzo; Gallo, Giampiero M. - In: Economic modelling 76 (2019), pp. 135-152

Persistent link: https://www.econbiz.de/10012198276

Modelling the impact of overnight surprises on intra-daily volatility

Gallo, Giampiero M. - In: Australian economic papers 40 (2001) 4, pp. 567-580

Persistent link: https://www.econbiz.de/10001982984

The effects of trading activity on market volatility

Gallo, Giampiero M.; Pacini, Barbara - In: The European journal of finance 6 (2000) 2, pp. 163-175

Persistent link: https://www.econbiz.de/10001519368

Interest rate volatility regimes and exchange rate behavior in a target zone

Avesani, Renzo G.; Gallo, Giampiero M. - 1999

Persistent link: https://www.econbiz.de/10001441355

Volatility estimation via hidden Markov models

Rossi, Alessandro; Gallo, Giampiero M. - In: Journal of empirical finance 13 (2006) 2, pp. 203-230

Persistent link: https://www.econbiz.de/10003296949

Copula-based vMEM specifications versus alternatives : the case of trading activity

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24

We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past...

Persistent link: https://www.econbiz.de/10011654447

A dynamic conditional approach to portfolio weights forecasting

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020

Persistent link: https://www.econbiz.de/10012418423

Adaptive Lasso for vector Multiplicative Error Models

Cattivelli, Luca; Gallo, Giampiero M. - In: Quantitative finance 20 (2020) 2, pp. 255-274

Persistent link: https://www.econbiz.de/10012194865

Realized variance modeling : decoupling forecasting from estimation

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: Journal of financial econometrics 18 (2020) 3, pp. 532-555

Persistent link: https://www.econbiz.de/10012316698

A dynamic conditional approach to forecasting portfolio weights

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: International journal of forecasting 37 (2021) 3, pp. 1111-1126

Persistent link: https://www.econbiz.de/10012794818