Giampiero M. Gallo

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Sur la base des exigences liées au financement

Coauteurs

Edoardo OtrantoProfessore di Statistica, Università di MessinaAdresse e-mail validée de unime.it
Christian BrownleesAssociate Professor, Universitat Pompeu FabraAdresse e-mail validée de upf.edu
Robert EngleNew York UniversityAdresse e-mail validée de stern.nyu.edu
Barbara PaciniFull Professor of Statistics, Department of Political Science, University of PisaAdresse e-mail validée de unipi.it
Vincenzo CandilaDepartment of Economics and Statistics, University of Salerno, ItalyAdresse e-mail validée de unisa.it
Giovanni De LucaUniversità di Napoli ParthenopeAdresse e-mail validée de uniparthenope.it
Teodosio Pérez AmaralProfesor de economiaAdresse e-mail validée de ccee.ucm.es
Alessandra AMENDOLAUniversità di SalernoAdresse e-mail validée de unisa.it
Massimiliano MarcellinoUniversità BocconiAdresse e-mail validée de unibocconi.it
David VeredasVlerick Business SchoolAdresse e-mail validée de vlerick.com
Matteo BarigozziFull Professor - Alma Mater Studiorum Università di BolognaAdresse e-mail validée de unibo.it
Mark SalmonCambridgeAdresse e-mail validée de cam.ac.uk
Simone BertoliUniversité Clermont Auvergne, CNRS, IRD, CERDIAdresse e-mail validée de uca.fr
Giorgio RicchiutiUniversità degli Studi di Firenze and Complexity Lab in Economics, Università Cattolica di MilanoAdresse e-mail validée de unifi.it
Domenico SalvatoreUniversità degli Studi Suor Orsola BenincasaAdresse e-mail validée de unisob.na.it
Frank SchorfheideProfessor of Economics, University of PennsylvaniaAdresse e-mail validée de ssc.upenn.edu
Francis DieboldProfessor of Economics, University of PennsylvaniaAdresse e-mail validée de sas.upenn.edu
carlo faveroBocconi University and CEPRAdresse e-mail validée de unibocconi.it
Andrea BonaccorsiUniversity of PisaAdresse e-mail validée de unipi.it
Grayham E. MizonEmeritus Professor of Econometrics, Southampton UniversityAdresse e-mail validée de soton.ac.uk

Suivre

Giampiero M. Gallo

Consigliere Corte dei Conti, Roma, Italy

Adresse e-mail validée de corteconti.it

Financial Econometrics Nonlinear Modeling Forecast Solution Methods


Titre Trier par citations Trier par année Trier par titre	Citée par Citée par	Année
A multiple indicators model for volatility using intra-daily data RF Engle, GM Gallo Journal of econometrics 131 (1-2), 3-27, 2006	653	2006
Financial econometric analysis at ultra-high frequency: Data handling concerns CT Brownlees, GM Gallo Computational statistics & data analysis 51 (4), 2232-2245, 2006	373	2006
Comparison of volatility measures: a risk management perspective CT Brownlees, GM Gallo Journal of Financial Econometrics 8 (1), 29-56, 2010	231	2010
Volatility spillovers, interdependence and comovements: A Markov Switching approach GM Gallo, E Otranto Computational Statistics & Data Analysis 52 (6), 3011-3026, 2008	160	2008
The effects of trading activity on market volatility GM Gallo, B Pacini The European Journal of Finance 6 (2), 163-175, 2000	135	2000
Volatility spillovers in East Asian financial markets: a MEM-based approach RF Engle, GM Gallo, M Velucchi Review of Economics and Statistics 94 (1), 222-223, 2012	134	2012
Intra-daily volume modeling and prediction for algorithmic trading CT Brownlees, F Cipollini, GM Gallo Journal of Financial Econometrics 9 (3), 489-518, 2011	115	2011
Copycats and common swings: the impact of the use of forecasts in information sets GM Gallo, CWJ Granger, Y Jeon IMF staff Papers 49 (1), 4-21, 2002	98	2002
A flexible tool for model building: the relevant transformation of the inputs network approach (RETINA) T Perez‐Amaral, GM Gallo, H White Oxford Bulletin of Economics and Statistics 65, 821-838, 2003	91	2003
Multiplicative error models CT Brownlees, F Cipollini, GM Gallo Available at SSRN 1852285, 2011	85	2011
Vector multiplicative error models: representation and inference F Cipollini, RF Engle III, GM Gallo National Bureau of Economic Research, 2006	72	2006
Volatility estimation via hidden Markov models A Rossi, GM Gallo Journal of Empirical Finance 13 (2), 203-230, 2006	67	2006
Volatility transmission across markets: a Multichain Markov Switching model GM Gallo, E Otranto Applied Financial Economics 17 (8), 659-670, 2007	64	2007
Semiparametric vector MEM F Cipollini, RF Engle, GM Gallo Journal of Applied Econometrics 28 (7), 1067-1086, 2013	63	2013
Forecasting realized volatility with changing average levels GM Gallo, E Otranto International Journal of Forecasting 31 (3), 620-634, 2015	62	2015
A nonparametric Bayesian approach to detect the number of regimes in Markov switching models E Otranto, GM Gallo Econometric Reviews 21 (4), 477-496, 2002	61	2002
Mixture processes for financial intradaily durations G De Luca, GM Gallo Studies in Nonlinear Dynamics & Econometrics 8 (2), 2004	60	2004
Metodi quantitativi per i mercati finanziari GM Gallo, B Pacini Carocci, 2002	52	2002
Solving large sparse systems of equations in econometric models FJH Don, GM Gallo Journal of Forecasting 6 (3), 167-180, 1987	52	1987
Do public and private investment stand in each other’s way R Coutinho, G Gallo WDR Background Paper, World Bank, 1991	50	1991

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