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Giampiero M. Gallo

Personal Details

First Name:Giampiero
Middle Name:M.
Last Name:Gallo
Suffix:
RePEc Short-ID:pga48
[This author has chosen not to make the email address public]
https://rcea.academia.edu/GiampieroMGallo
New York University in Florence, Via Bolognese 120, 50139 Firenze Italy
Twitter: @giampierogallo
Terminal Degree:1989 Department of Economics; University of Pennsylvania (from RePEc Genealogy)

Affiliation

(1%) Rimini Centre for Economic Analysis (RCEA)

Rimini, Italy
http://www.rcea.world/
RePEc:edi:rcfeait (more details at EDIRC)

(99%) Centro Ricerche Nord Sud (CRENoS)

Cagliari, Italy
http://www.crenos.unica.it/
RePEc:edi:crenoit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. G.M. Gallo & C.Ongari & S. Borgioli, 2024. "Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment," Working Paper CRENoS 202415, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  2. Giampiero Gallo & Ostap Okhrin & Giuseppe Storti, 2024. "Dynamic tail risk forecasting: what do realized skewness and kurtosis add?," Papers 2409.13516, arXiv.org.
  3. Vincenzo Candila & Oguzhan Cepni & Giampiero M. Gallo & Rangan Gupta, 2024. "Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis," Working Papers 202437, University of Pretoria, Department of Economics.
  4. Giampiero M. Gallo & Demetrio Lacava & Edoardo Otranto, 2023. "Volatility jumps and the classification of monetary policy announcements," Papers 2305.12192, arXiv.org.
  5. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2023. "Modeling and evaluating conditional quantile dynamics in VaR forecasts," Papers 2305.20067, arXiv.org.
  6. Fabio Bacchini & Lorenzo Di Biagio & Giampiero M. Gallo & Vincenzo Spinelli, 2023. "Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito," Papers 2307.11039, arXiv.org.
  7. L. Scaffidi Domianello & G.M. Gallo & E. Otranto, 2022. "Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS," Working Paper CRENoS 202205, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  8. Fabrizio Cipollini & Giampiero M. Gallo, 2021. "Multiplicative Error Models: 20 years on," Papers 2107.05923, arXiv.org.
  9. Alessandra Amendola & Vincenzo Candila & Fabrizio Cipollini & Giampiero M. Gallo, 2020. "Doubly Multiplicative Error Models with Long- and Short-run Components," Papers 2006.03458, arXiv.org.
  10. Demetrio Lacava & Giampiero M. Gallo & Edoardo Otranto, 2020. "Unconventional Policies Effects on Stock Market Volatility: A MAP Approach," Papers 2010.08259, arXiv.org, revised Mar 2021.
  11. Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020. "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers 2011.00552, arXiv.org, revised Mar 2023.
  12. G.M. Gallo & D. Lacava & E. Otranto, 2020. "Measuring the Effects of Unconventional Policies on Stock Market Volatility," Working Paper CRENoS 202006, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  13. Giampiero M. Gallo & Demetrio Lacava & Edoardo Otranto, 2020. "On Classifying the Effects of Policy Announcements on Volatility," Papers 2011.14094, arXiv.org, revised Feb 2021.
  14. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
  15. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2019. "Realized variance modeling: decoupling forecasting from estimation," Econometrics Working Papers Archive 2019_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  16. Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto, 2019. "Realized Volatility Forecasting: Robustness to Measurement Errors," Econometrics Working Papers Archive 2019_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  17. Fabrizio Cipollini & Giampiero M. Gallo, 2018. "Modeling Euro STOXX 50 Volatility with Common and Market–specific Components," Working Paper series 18-26, Rimini Centre for Economic Analysis.
  18. Giampiero M. Gallo & Edoardo Otranto, 2017. "Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach," Econometrics Working Papers Archive 2017_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  19. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive 2017_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  20. Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini, 2016. "Median Response to Shocks: A Model for VaR Spillovers in East Asia," Econometrics Working Papers Archive 2016_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  21. Francesco Calvori & Matteo Dentella & Giampiero M. Gallo, 2016. "Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears," Econometrics Working Papers Archive 2016_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  22. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Papers 1604.01338, arXiv.org.
  23. Giampiero M. Gallo & Edoardo Otranto, 2016. "Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM," Econometrics Working Papers Archive 2016_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  24. Francesco Calvori & Fabrizio Cipollini & Giampiero M. Gallo, 2014. "Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares," Econometrics Working Papers Archive 2014_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  25. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014. "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive 2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  26. Giampiero M. Gallo & Edoardo Otranto, 2014. "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive 2014_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  27. Giampiero M. Gallo & Edoardo Otranto, 2012. "Volatility Swings in the US Financial Markets," Econometrics Working Papers Archive 2012_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.
  28. Giampiero M. Gallo & Edoardo Otranto, 2012. "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive 2012_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.
  29. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Multiplicative Error Models," Econometrics Working Papers Archive 2011_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Apr 2011.
  30. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  31. Giovanni De Luca & Giampiero Gallo, 2010. "A Time-varying Mixing Multiplicative Error Model for Realized Volatility," Econometrics Working Papers Archive wp2010_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  32. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009. "Semiparametric vector MEM," Econometrics Working Papers Archive wp2009_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  33. Fabrizio Cipollini & Giampiero M. Gallo, 2009. "Automated Variable Selection in Vector Multiplicative Error Models," Econometrics Working Papers Archive wp2009_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  34. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2009. "Intra-daily Volume Modeling and Prediction for Algorithmic Trading," Econometrics Working Papers Archive wp2009_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  35. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008. "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive wp2008_09, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  36. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2007. "A Model for Multivariate Non-negative Valued Processes in Financial Econometrics," Econometrics Working Papers Archive wp2007_16, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  37. Giampiero Gallo & Margherita Velucchi, 2007. "On the Interaction between Ultra–high Frequency Measures of Volatility," Econometrics Working Papers Archive wp2007_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  38. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  39. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  40. Christian T. Brownlees & Giampiero Gallo, 2007. "Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  41. Christian T. Brownlees & Giampiero M. Gallo, 2007. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2007_15, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  42. Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," Econometrics Working Papers Archive wp2006_15, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  43. Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  44. Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  45. Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti, 2006. "Exchange Market Pressure: Some Caveats In Empirical Applications," Econometrics Working Papers Archive wp2006_17, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  46. Giovanni De Luca & Giampiero M. Gallo, 2005. "Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometrics Working Papers Archive wp2005_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  47. Giampiero M. Gallo & Edoardo Otranto, 2005. "Volatility Transmission in Financial Markets: A New Approach," Econometrics Working Papers Archive wp2005_10, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  48. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2004. "A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets," Econometrics Working Papers Archive wp2004_12, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  49. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  50. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Econometrics Working Papers Archive wp2003_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  51. Massimiliano Cecconi & Giampiero M. Gallo & Marco J. Lombardi, 2002. "GARCH-based Volatility Forecasts for Market Volatility Indices," Econometrics Working Papers Archive wp2002_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  52. Alessandro Rossi & Giampiero M. Gallo, 2002. "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive wp2002_14, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  53. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive wp2002_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  54. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  55. Edoardo Otranto & Giampiero M. Gallo, 2001. "A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models," Econometrics Working Papers Archive wp2001_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  56. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2001. "Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets," Econometrics Working Papers Archive wp2001_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  57. Giampiero M. Gallo, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Volatility," Econometrics Working Papers Archive wp2001_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  58. Gallo, Giampiero M., 1999. "Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone," University of California at San Diego, Economics Working Paper Series qt4nb356d3, Department of Economics, UC San Diego.
  59. Gallo, Giampiero M. & Granger, Clive William John & Jeon, Yongil, 1999. "The impact of the use of forecasts in information sets," Research Notes 99-7, Deutsche Bank Research.
  60. Gallo, Giampiero M. & Granger, Clive W.J. & Jeon, Yongil, 1999. "The Impact of the Use of Forecasts in Information Sets," University of California at San Diego, Economics Working Paper Series qt1w33d4b2, Department of Economics, UC San Diego.
  61. Gallo, G.M. & Pacini, B., 1998. "Early News Is Good News. The Effects of Market Opening on Market Volatility," Economics Working Papers eco98/3, European University Institute.
  62. Avesani, Renzo & Gallo, Giampiero M & Salmon, Mark, 1995. "On the Evolution of Credibility and Flexible Exchange Rate Target Zones," CEPR Discussion Papers 1123, C.E.P.R. Discussion Papers.
  63. Renzo G. Avesani & Giampiero M. Gallo, 1991. "Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone," Department of Economics Working Papers 9104, Department of Economics, University of Trento, Italia.
  64. Renzo G.Avesani & Giampiero M. Gallo & Peter Pauly, 1989. "Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries," Department of Economics Working Papers 8902, Department of Economics, University of Trento, Italia.
  65. Giampiero M. Gallo & Massimiliano Marcellino, "undated". "Ex Post and Ex Ante Analysis of Provisional Data," Working Papers 141, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

Articles

  1. Amendola, A. & Candila, V. & Cipollini, F. & Gallo, G.M., 2024. "Doubly multiplicative error models with long- and short-run components," Socio-Economic Planning Sciences, Elsevier, vol. 91(C).
  2. Luca Scaffidi Domianello & Giampiero M. Gallo & Edoardo Otranto, 2024. "Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 21-43, February.
  3. Fabio Bacchini & Lorenzo Di Biagio & Giampiero M. Gallo & Vincenzo Spinelli, 2023. "Common rrf Indicators and sdgs Framework: A Proposal for a Composite Index," L'industria, Società editrice il Mulino, issue 3, pages 441-470.
  4. Demetrio Lacava & Giampiero M. Gallo & Edoardo Otranto, 2022. "Unconventional policies effects on stock market volatility: The MAP approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(5), pages 1245-1265, November.
  5. Cipollini, Fabrizio & Gallo, Giampiero M. & Palandri, Alessandro, 2021. "A dynamic conditional approach to forecasting portfolio weights," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1111-1126.
  6. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2021. "Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model," Econometrics and Statistics, Elsevier, vol. 20(C), pages 12-28.
  7. Cipollini, Fabrizio & Gallo, Giampiero M. & Otranto, Edoardo, 2021. "Realized volatility forecasting: Robustness to measurement errors," International Journal of Forecasting, Elsevier, vol. 37(1), pages 44-57.
  8. Alessandra Amendola & Marinella Boccia & Vincenzo Candila & Giampiero M. Gallo, 2020. "Energy and non–energy Commodities: Spillover Effects on African Stock Markets," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(4), pages 1-7.
  9. Luca Cattivelli & Giampiero M. Gallo, 2020. "Adaptive Lasso for vector Multiplicative Error Models," Quantitative Finance, Taylor & Francis Journals, vol. 20(2), pages 255-274, February.
  10. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2019. "On the asymmetric impact of macro–variables on volatility," Economic Modelling, Elsevier, vol. 76(C), pages 135-152.
  11. Cipollini, Fabrizio & Gallo, Giampiero M., 2019. "Modeling Euro STOXX 50 volatility with common and market-specific components," Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
  12. Giampiero M. Gallo & Edoardo Otranto, 2018. "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 549-573, April.
  13. Giovanni De Luca & Giampiero M. Gallo & Danilo Carità, 2017. "Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 2(2), pages 99-111, December.
  14. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, vol. 5(2), pages 1-24, April.
  15. Giampiero M. Gallo, 2017. "Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics," Journal of Economics, Springer, vol. 120(3), pages 279-281, April.
  16. Gallo, Giampiero M. & Otranto, Edoardo, 2015. "Forecasting realized volatility with changing average levels," International Journal of Forecasting, Elsevier, vol. 31(3), pages 620-634.
  17. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
  18. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2013. "Semiparametric Vector Mem," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1067-1086, November.
  19. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2012. "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 222-223, February.
  20. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Intra-daily Volume Modeling and Prediction for Algorithmic Trading," Journal of Financial Econometrics, Oxford University Press, vol. 9(3), pages 489-518, Summer.
  21. Brownlees, Christian T. & Gallo, Giampiero M., 2011. "Shrinkage estimation of semiparametric multiplicative error models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 365-378, April.
  22. Cipollini, Fabrizio & Gallo, Giampiero M., 2010. "Automated variable selection in vector multiplicative error models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2470-2486, November.
  23. Giampiero Gallo, 2010. "Castle, J. L. and Shephard, N.: The methodology and practice of econometrics," Journal of Economics, Springer, vol. 101(1), pages 99-101, September.
  24. Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti, 2010. "Exchange market pressure: some caveats in empirical applications," Applied Economics, Taylor & Francis Journals, vol. 42(19), pages 2435-2448.
  25. Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 29-56, Winter.
  26. Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 102-120.
  27. Giampiero M. Gallo & Margherita Velucchi, 2009. "Market interdependence and financial volatility transmission in East Asia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 24-44.
  28. Gallo, Giampiero M. & Otranto, Edoardo, 2008. "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3011-3026, February.
  29. Christian T. Brownlees & Giampiero M. Gallo, 2008. "On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 513-539, Fall.
  30. Giampiero M. Gallo & Edoardo Otranto, 2007. "Volatility transmission across markets: a Multichain Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 17(8), pages 659-670.
  31. Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F., 2006. "The econometrics of macroeconomics, finance, and the interface," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 1-2.
  32. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
  33. Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27.
  34. Anindya Banerjee & Giampiero Gallo & Edoardo Otranto, 2006. "Frontiers in Time Series Analysis: Introduction," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 679-682, December.
  35. Brownlees, C.T. & Gallo, G.M., 2006. "Financial econometric analysis at ultra-high frequency: Data handling concerns," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2232-2245, December.
  36. Perez-Amaral, Teodosio & Gallo, Giampiero M. & White, Halbert, 2005. "A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets," Econometric Theory, Cambridge University Press, vol. 21(1), pages 262-277, February.
  37. De Luca Giovanni & Gallo Giampiero M., 2004. "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-20, May.
  38. Teodosio Perez‐Amaral & Giampiero M. Gallo & Halbert White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December.
  39. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2002. "Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-2.
  40. Edoardo Otranto & Giampiero Gallo, 2002. "A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 477-496.
  41. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian matrices and the computation of FIGARCH estimates," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(2), pages 247-264, June.
  42. Giampiero M. Gallo, 2001. "Modelling the Impact of Overnight Surprises on Intra‐daily Volatility," Australian Economic Papers, Wiley Blackwell, vol. 40(4), pages 567-580, December.
  43. Giampiero Gallo & Barbara Pacini, 2000. "The effects of trading activity on market volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 163-175.
  44. Gallo Giampiero M. & Pacini Barbara, 1998. "Early News is Good News: The Effects of Market Opening on Market Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(4), pages 1-19, January.
  45. Giampiero M. Gallo & Grayham E. Mizon, 1998. "Simulation methods in econometrics: editors' introduction," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 1-1.
  46. Gallo, Giampiero M & Pacini, Barbara, 1998. "Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 241-259, July.
  47. Giampiero M. Gallo & Barbara Pacini & E. Benayoun, 1996. "Volatilité conditionnelle, signaux d'échange et perception du risque," Économie et Prévision, Programme National Persée, vol. 123(2), pages 207-220.
  48. Giampiero Gallo, 1991. "Forecast Error Decomposition in a Nonlinear Model with Provisional Data," Annals of Economics and Statistics, GENES, issue 22, pages 103-128.
  49. Gallo, Giampiero M & Gilli, Manfred H, 1990. "How to Strip a Model to Its Essential Elements," Computer Science in Economics & Management, Kluwer;Society for Computational Economics, vol. 3(2), pages 199-214.
  50. Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri, 0. "Realized Variance Modeling: Decoupling Forecasting from Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 532-555.

Chapters

  1. Alessandra Amendola & Vincenzo Candila & Fabrizio Cipollini & Giampiero M. Gallo, 2021. "On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 7-13, Springer.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Works
  2. Number of Distinct Works
  3. h-index
  4. Closeness measure in co-authorship network
  5. Betweenness measure in co-authorship network
  6. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 57 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (36) 1998-11-23 2002-06-13 2002-07-10 2003-10-12 2003-11-30 2005-05-23 2006-11-25 2007-01-28 2007-01-28 2007-01-28 2007-01-28 2007-01-28 2007-06-11 2007-06-11 2008-05-17 2008-05-17 2008-05-17 2009-03-07 2009-03-07 2010-05-08 2010-08-14 2011-04-23 2012-07-23 2014-03-08 2014-03-08 2016-04-09 2016-04-23 2017-04-16 2017-09-03 2019-07-15 2019-07-15 2020-06-22 2020-11-23 2020-12-14 2021-07-19 2023-07-10. Author is listed
  2. NEP-ETS: Econometric Time Series (31) 2002-06-13 2002-07-04 2003-11-30 2005-05-23 2006-11-25 2007-01-28 2007-01-28 2007-01-28 2007-01-28 2007-01-28 2007-06-11 2007-06-11 2008-05-17 2008-05-17 2010-05-08 2011-04-23 2012-07-23 2014-03-08 2014-03-08 2016-04-09 2016-04-16 2016-04-23 2017-04-16 2017-09-03 2018-06-25 2019-07-15 2019-07-15 2020-06-22 2020-11-23 2021-07-19 2023-01-09. Author is listed
  3. NEP-RMG: Risk Management (16) 2003-11-30 2008-05-17 2008-05-17 2010-08-14 2014-03-08 2014-03-08 2016-04-30 2017-09-03 2019-07-15 2020-05-18 2020-11-23 2023-01-09 2023-07-10 2023-07-17 2024-10-28 2024-11-04. Author is listed
  4. NEP-FOR: Forecasting (12) 2007-06-11 2008-05-17 2008-05-17 2008-05-17 2010-05-08 2014-03-08 2014-03-08 2014-03-08 2019-07-15 2020-05-18 2020-06-08 2020-11-02. Author is listed
  5. NEP-ORE: Operations Research (11) 2008-05-17 2008-05-17 2010-05-08 2011-04-23 2014-03-08 2016-04-23 2017-09-03 2019-07-15 2019-07-15 2020-06-08 2020-06-22. Author is listed
  6. NEP-FMK: Financial Markets (6) 2002-07-04 2008-05-17 2008-05-17 2012-07-23 2018-06-25 2020-11-02. Author is listed
  7. NEP-MST: Market Microstructure (6) 2007-01-28 2007-01-28 2007-06-11 2008-05-17 2009-03-07 2014-03-08. Author is listed
  8. NEP-BAN: Banking (4) 2014-03-08 2016-04-30 2023-06-19 2023-07-10
  9. NEP-EEC: European Economics (4) 2020-11-02 2020-12-14 2021-01-11 2023-08-28
  10. NEP-MON: Monetary Economics (4) 2007-01-28 2020-11-02 2023-06-19 2023-07-10
  11. NEP-CBA: Central Banking (3) 2007-01-28 2020-11-02 2023-06-19
  12. NEP-SEA: South East Asia (3) 2007-01-28 2008-05-17 2016-04-30
  13. NEP-FIN: Finance (2) 2002-07-04 2005-05-23
  14. NEP-IFN: International Finance (2) 2002-06-13 2007-01-28
  15. NEP-MFD: Microfinance (2) 2023-07-10 2023-07-10
  16. NEP-UPT: Utility Models and Prospect Theory (2) 2020-05-18 2020-06-08
  17. NEP-ENV: Environmental Economics (1) 2023-08-28
  18. NEP-MIC: Microeconomics (1) 2006-11-25
  19. NEP-PKE: Post Keynesian Economics (1) 2024-11-04

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