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Brownlees, Christian T. - 2011

Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention has been devoted to other variables: First, and foremost, volatility measured on the basis of...

Persistent link: https://www.econbiz.de/10013124649

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

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

Testing for parameter instability across different modeling frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 223-246

Persistent link: https://www.econbiz.de/10011987424

Combining counterfactual outcomes and ARIMA models for policy evaluation

Menchetti, Fiammetta; Cipollini, Fabrizio; Mealli, Fabrizia - In: The econometrics journal 26 (2023) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10013543270

Gallo, Giampiero M.; Pacini, Barbara - In: Nonlinear econometric modeling in time series : …, (pp. 31-59). 2000

Persistent link: https://www.econbiz.de/10001532219

The impact of the use of forecasts in information sets

Gallo, Giampiero M.; Granger, C. W. J.; Jeon, Yongil - 1999

Persistent link: https://www.econbiz.de/10001429362

Ex post and ex ante analysis of provisional data

Gallo, Giampiero M.; Marcellino, Massimiliano - In: Journal of forecasting 18 (1999) 6, pp. 421-433

Persistent link: https://www.econbiz.de/10001493973

In Plato's cave : sharpening the shadows of monetary announcements

Gallo, Giampiero M.; Marcellino, Massimiliano - 1996

Persistent link: https://www.econbiz.de/10000952221

A impact of the use of forecasts in information sets

Gallo, Giampiero M.; Granger, C. W. J.; Jeon, Yongil - In: European Monetary Union, emerging markets and …, (pp. 167-183). 2000

Persistent link: https://www.econbiz.de/10001549911