Similar Search Results

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

A nonparametric Bayesian approach to detect the number of regimes in Markov switching models

Otranto, Edoardo; Gallo, Giampiero M. - In: Econometric reviews 21 (2002) 4, pp. 477-496

Persistent link: https://www.econbiz.de/10001718228

Volatility estimation via hidden Markov models

Rossi, Alessandro; Gallo, Giampiero M. - In: Journal of empirical finance 13 (2006) 2, pp. 203-230

Persistent link: https://www.econbiz.de/10003296949

Volatility transmission across markets : a multichain Markov switching model

Gallo, Giampiero M.; Otranto, Edoardo - In: Applied financial economics 17 (2007) 7/9, pp. 659-670

Persistent link: https://www.econbiz.de/10003491212

On classifying the effects of policy announcements on volatility

Gallo, Giampiero M.; Lacava, Demetrio; Otranto, Edoardo - 2020 - Prima edizione

Persistent link: https://www.econbiz.de/10012515683

Volatility Spillovers, Interdependence and Comovements : A Markov Switching Approach

Gallo, Giampiero M. - 2009

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. A number of model restrictions and hypotheses can be tested to stress the...

Persistent link: https://www.econbiz.de/10013160209

Smooth and abrupt dynamics in financial volatility : the MS-MEM-MIDAS

Scaffidi Domianello, Luca; Gallo, Giampiero M.; … - 2022 - Prima edizione

Persistent link: https://www.econbiz.de/10014261237