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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

Indicatori comuni del PNRR e framework SDGs : una proposta di indicatore composito

Bacchini, Fabio; Di Biagio, Lorenzo; Gallo, Giampiero M.; … - 2023

Persistent link: https://www.econbiz.de/10014394214

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

A dynamic conditional approach to portfolio weights forecasting

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020

Persistent link: https://www.econbiz.de/10012418423

Measuring the effects of unconventional policies on stock market volatility

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

Persistent link: https://www.econbiz.de/10012515678

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

Adaptive Lasso for vector Multiplicative Error Models

Cattivelli, Luca; Gallo, Giampiero M. - In: Quantitative finance 20 (2020) 2, pp. 255-274

Persistent link: https://www.econbiz.de/10012194865

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