Giampiero M. Gallo
Giampiero M. Gallo
Consigliere Corte dei Conti, Roma, Italy
Verified email at corteconti.it
Title
Cited by
Cited by
Year
A multiple indicators model for volatility using intra-daily data
RF Engle, GM Gallo
Journal of Econometrics 131 (1-2), 3-27, 2006
5422006
Financial econometric analysis at ultra-high frequency: Data handling concerns
CT Brownlees, GM Gallo
Computational Statistics & Data Analysis 51 (4), 2232-2245, 2006
2982006
Comparison of volatility measures: a risk management perspective
CT Brownlees, GM Gallo
Journal of Financial Econometrics 8 (1), 29-56, 2010
1822010
Volatility spillovers, interdependence and comovements: A Markov Switching approach
GM Gallo, E Otranto
Computational Statistics & Data Analysis 52 (6), 3011-3026, 2008
1312008
The effects of trading activity on market volatility
GM Gallo, B Pacini
The European Journal of Finance 6 (2), 163-175, 2000
1232000
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
992012
Intra-daily volume modeling and prediction for algorithmic trading
CT Brownlees, F Cipollini, GM Gallo
Journal of Financial Econometrics 9 (3), 489-518, 2011
932011
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
922002
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
872003
Vector multiplicative error models: representation and inference
F Cipollini, RF Engle, GM Gallo
National Bureau of Economic Research Working Paper Series, 2006
672006
Multiplicative error models
CT Brownlees, F Cipollini, GM Gallo
Available at SSRN 1852285, 2011
652011
Metodi quantitativi per i mercati finanziari
M GALLO G, B Pacini
Carocci editore, 2002
612002
Volatility estimation via hidden Markov models
A Rossi, GM Gallo
Journal of Empirical Finance 13 (2), 203-230, 2006
552006
Volatility transmission across markets: a Multichain Markov Switching model
GM Gallo, E Otranto
Applied Financial Economics 17 (8), 659-670, 2007
542007
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
542002
Solving large sparse systems of equations in econometric models
FJH Don, GM Gallo
Journal of Forecasting 6 (3), 167-180, 1987
541987
Mixture processes for financial intradaily durations
G De Luca, GM Gallo
Studies in Nonlinear Dynamics & Econometrics 8 (2), 2004
502004
Semiparametric vector MEM
F Cipollini, RF Engle, GM Gallo
Journal of Applied Econometrics 28 (7), 1067-1086, 2013
482013
A model for multivariate non-negative valued processes in financial econometrics
F Cipollini, RF Engle, GM Gallo
Available at SSRN 1333869, 2009
442009
A comparison of complementary automatic modeling methods: RETINA and PcGets
T Perez-Amaral, GM Gallo, H White
Econometric Theory, 262-277, 2005
432005
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Articles 1–20