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~subject:"Volatility"
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Volatility
Theorie
72
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71
Volatilität
46
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44
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realized volatility
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Gallo, Giampiero M.
46
Otranto, Edoardo
12
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10
Cipollini, Fabrizio
9
Brownlees, Christian
7
Pacini, Barbara
7
Brownlees, Christian T.
5
Barigozzi, Matteo
4
Lacava, Demetrio
4
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Palandri, Alessandro
3
Candila, Vincenzo
2
Kelly, Bryan T.
2
Nualart, Eulalia
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Scaffidi Domianello, Luca
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Sun, Yucheng
2
Velucchi, Margherita
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Amendola, Adalgiso
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Amendola, Alessandra
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1
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Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
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ECONIS (ZBW)
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RePEc
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On variable selection for volatility forecasting : the role of focused selection criteria
Brownlees, Christian
;
Gallo, Giampiero M.
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 513-539
Persistent link: https://www.econbiz.de/10003778985
Saved in:
2
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Barigozzi, Matteo
;
Brownlees, Christian
;
Gallo, Giampiero M.
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 364-384
Persistent link: https://www.econbiz.de/10010497747
Saved in:
3
Modelling the impact of overnight surprises on intra-daily volatility
Gallo, Giampiero M.
- In:
Australian economic papers
40
(
2001
)
4
,
pp. 567-580
Persistent link: https://www.econbiz.de/10001982984
Saved in:
4
Market interdependence and financial volatility transmission in East Asia
Gallo, Giampiero M.
;
Velucchi, Margherita
- In:
International journal of finance & economics : IJFE
14
(
2009
)
1
,
pp. 24-44
Persistent link: https://www.econbiz.de/10003807461
Saved in:
5
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
Saved in:
6
Volatility spillovers in East Asian financial markets : a MEM-based approach
Engle, Robert F.
;
Gallo, Giampiero M.
;
Velucchi, Margherita
- In:
The review of economics and statistics
94
(
2012
)
1
,
pp. 221-233
Persistent link: https://www.econbiz.de/10009565360
Saved in:
7
Forecasting realized volatility with changing average levels
Gallo, Giampiero M.
;
Otranto, Edoardo
- In:
International journal of forecasting
31
(
2015
)
3
,
pp. 620-634
Persistent link: https://www.econbiz.de/10011474431
Saved in:
8
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
Saved in:
9
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
10
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
-
2003
Persistent link: https://www.econbiz.de/10001852358
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