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A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2007
gains over the equation by equation approach using a four variable fully interdependent model with different volatility …
Persistent link: https://www.econbiz.de/10005731544
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Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns
Gallo, Giampiero M.; Hong, Yongmiao; Lee, Tae-Why - Dipartimento di Statistica, Informatica, Applicazioni … - 2001
of stock return volatility. Out-of-sample forecast performances of the FC models and linear models where the coefficients …
Persistent link: https://www.econbiz.de/10005687788
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On the Interaction between Ultra–high Frequency Measures of Volatility
Gallo, Giampiero; Velucchi, Margherita - Dipartimento di Statistica, Informatica, Applicazioni … - 2007
We analyze several measures of volatility (realized variance, bipower variation and squared daily returns) as …
Persistent link: https://www.econbiz.de/10005812866
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Volatilità come asset class : i prodotti Vix-related
Morandini, Alessandro; Polato, Maurizio - 2020
Persistent link: https://www.econbiz.de/10012389028
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Corsi e rendimenti dei titoli a medio e lungo termine
Galli, Giampaolo - 1984
Persistent link: https://www.econbiz.de/10002182404