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Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Journal of applied econometrics 28 (2013) 7, pp. 1067-1086

Persistent link: https://www.econbiz.de/10010351085

Intra-daily volume modeling and prediction for algoritmic trading

Brownlees, Christian; Cipollini, Fabrizio; Gallo, … - In: Journal of financial econometrics : official journal of … 9 (2011) 3, pp. 489-518

Persistent link: https://www.econbiz.de/10010218256

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 dynamic conditional approach to forecasting portfolio weights

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: International journal of forecasting 37 (2021) 3, pp. 1111-1126

Persistent link: https://www.econbiz.de/10012794818

Realized variance modeling : decoupling forecasting from estimation

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: Journal of financial econometrics 18 (2020) 3, pp. 532-555

Persistent link: https://www.econbiz.de/10012316698

Copula-based vMEM specifications versus alternatives : the case of trading activity

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24

We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past...

Persistent link: https://www.econbiz.de/10011654447

Testing for parameter instability across different modeling frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 223-246

Persistent link: https://www.econbiz.de/10011987424

Financial companies' failures : early warning information from systematic and systemic risk measures

Cipollini, Fabrizio; Giannozzi, Alessandro; Menchetti, … - In: The quarterly journal of finance 8 (2018) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10011922064

Asset encumbrance in banks : is systemic risk affected?

Cipollini, Fabrizio; Ielasi, Federica; Querci, Francesca - In: Research in international business and finance 67 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10014451510

The beauty contest between systemic and systematic risk measures : assessing the empirical performance

Cipollini, Fabrizio; Giannozzi, Alessandro; Menchetti, … - In: Journal of empirical finance 58 (2020), pp. 316-332

Persistent link: https://www.econbiz.de/10012430703