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1

Volatility estimation via hidden Markov models

Alessandro Rossi, Giampiero M. Gallo

Journal:

Journal of Empirical Finance

Year:

2006

Language:

english

File:

PDF, 326 KB

english, 2006

2

On the asymmetric impact of macro–variables on volatility

Amendola, Alessandra, Candila, Vincenzo, Gallo, Giampiero M.

Journal:

Economic Modelling

Year:

2018

Language:

english

File:

PDF, 1.29 MB

english, 2018

3

Automated variable selection in vector multiplicative error models

Fabrizio Cipollini, Giampiero M. Gallo

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 537 KB

english, 2010

4

A multiple indicators model for volatility using intra-daily data

Robert F. Engle, Giampiero M. Gallo

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 905 KB

english, 2006

5

SEMIPARAMETRIC VECTOR MEM

Fabrizio Cipollini, Robert F. Engle, Giampiero M. Gallo

Journal:

Journal of Applied Econometrics

Year:

2012

Language:

english

File:

PDF, 403 KB

english, 2012

6

Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach

Engle, Robert F., Gallo, Giampiero M., Velucchi, Margherita

Journal:

Review of Economics and Statistics

Year:

2012

Language:

english

File:

PDF, 1000 KB

english, 2012

7

Exchange market pressure: some caveats in empirical applications

Bertoli, Simone, Gallo, Giampiero M., Ricchiuti, Giorgio

Journal:

Applied Economics

Year:

2010

Language:

english

File:

PDF, 198 KB

english, 2010

8

Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets

Giampiero M. Gallo, Clive W. J. Granger and Yongil Jeon

Journal:

IMF Economic Review

Year:

2002

Language:

english

File:

PDF, 2.73 MB

english, 2002

9

A MEM-Based Analysis of Volatility Spillovers in East Asian Financial Markets

Engle, Robert F., Gallo, Giampiero M., Velucchi, Margherita

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 630 KB

english, 2008

10

Hendry, David F. and Doornik, Jurgen A.:Empirical model discovery and theory evaluation: automatic selection methods in econometrics

Giampiero M. Gallo

Journal:

Journal of Economics

Year:

2017

Language:

english

File:

PDF, 319 KB

english, 2017

11

Multiplicative Error Models

Brownlees, Christian T., Cipollini, Fabrizio, Gallo, Giampiero M.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 755 KB

english, 2011

12

Comparison of Volatility Measures: A Risk Management Perspective

Brownlees, Christian T., Gallo, Giampiero M.

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 803 KB

english, 2009

13

A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics

Cipollini, Fabrizio, Engle, Robert F., Gallo, Giampiero M.

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 346 KB

english, 2009

14

Realized volatility forecasting: Robustness to measurement errors

Cipollini, Fabrizio, Gallo, Giampiero M., Otranto, Edoardo

Journal:

International Journal of Forecasting

Year:

2020

File:

PDF, 2.56 MB

2020

15

CopulaâBased vMEM Specifications versus Alternatives: The Case of Trading Activity

Cipollini, Fabrizio, Engle, Robert, Gallo, Giampiero

Journal:

Year:

2017

File:

PDF, 930 KB

2017

16

Time-varying/sign-switching risk perception on foreign exchange markets

Giampiero M. Gallo, Barbara Pacini

Journal:

International Journal of Finance & Economics

Year:

1998

Language:

english

File:

PDF, 267 KB

english, 1998

17

Ex post and ex ante analysis of provisional data

Giampiero M. Gallo, Massimiliano Marcellino

Journal:

Journal of Forecasting

Year:

1999

Language:

english

File:

PDF, 161 KB

english, 1999

18

Solving large sparse systems of equations in econometric models

F. J. Henk Don, Giampiero M. Gallo

Journal:

Journal of Forecasting

Year:

1987

Language:

english

File:

PDF, 978 KB

english, 1987

19

Market interdependence and financial volatility transmission in East Asia

Giampiero M. Gallo, Margherita Velucchi

Journal:

International Journal of Finance & Economics

Year:

2009

Language:

english

File:

PDF, 233 KB

english, 2009

20

Volatility spillovers, interdependence and comovements: A Markov Switching approach

Giampiero M. Gallo, Edoardo Otranto

Journal:

Computational Statistics & Data Analysis

Year:

2008

Language:

english

File:

PDF, 231 KB

english, 2008

21

A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)

Teodosio Perez-Amaral, Giampiero M. Gallo, Halbert White

Journal:

Oxford Bulletin of Economics and Statistics

Year:

2003

Language:

english

File:

PDF, 143 KB

english, 2003

22

How to Strip a Model to Its Essential Elements

Giampiero M. Gallo, Manfred H. Gilli

Journal:

Computational Economics

Year:

1990

Language:

english

File:

PDF, 853 KB

english, 1990

23

Analytic Hessian matrices and the computation of FIGARCH estimates

Marco J. Lombardi, Giampiero M. Gallo

Journal:

Statistical Methods & Applications

Year:

2002

Language:

english

File:

PDF, 936 KB

english, 2002

24

Castle, J. L. and Shephard, N.: The methodology and practice of econometrics

Giampiero M. Gallo

Journal:

Journal of Economics

Year:

2010

Language:

english

File:

PDF, 79 KB

english, 2010

25

Simulation Methods in Econometrics: Editors’ Introduction

Giampiero M. Gallo, Grayham E. Mizon

Journal:

The Econometrics Journal

Year:

1998

Language:

english

File:

PDF, 83 KB

english, 1998

26

Modelling the Impact of Overnight Surprises on Intra-daily Volatility

Giampiero M. Gallo

Journal:

Australian Economic Papers

Year:

2001

Language:

english

File:

PDF, 308 KB

english, 2001

27

Interleukin-10 Downregulates Anti-Microbial Peptide Expression in Atopic Dermatitis

Howell, Michael D, Novak, Natalija, Bieber, Thomas, Pastore, Saveria, Girolomoni, Giampiero, Boguniewicz, Mark, Streib, Joanne, Wong, Cathy, Gallo, Richard L, Leung, Donald Y M

Journal:

The Journal of Investigative Dermatology

Year:

2005

Language:

english

File:

PDF, 466 KB

english, 2005

28

Frontiers in Time Series Analysis: Introduction

Anindya Banerjee, Giampiero Gallo, Edoardo Otranto

Journal:

Oxford Bulletin of Economics and Statistics

Year:

2006

Language:

english

File:

PDF, 435 KB

english, 2006

29

Allergic contact dermatitis from myrrh

Rosella Gallo, Giampiero Rivara, Giulia Cattarini, Emanuele Cozzani, Marcella Guarrera

Journal:

Contact Dermatitis

Year:

1999

Language:

english

File:

PDF, 72 KB

english, 1999

30

Infrahyoid flap reconstruction of oral cavity and oropharyngeal defects in elderly patients with severe general comorbidities

Alberto Deganello, Gianni Gitti, Giampiero Parrinello, Guglielmo Larotonda, Giuseppe Meccariello, C. René Leemans, Oreste Gallo

Journal:

Year:

2012

Language:

english

File:

PDF, 362 KB

english, 2012

31

Forecast uncertainty reduction in nonlinear models

Giampiero M. Gallo

Journal:

Statistical Methods & Applications

Year:

1996

Language:

english

File:

PDF, 1.04 MB

english, 1996

32

Risks and usefulness of sonohysterography in patients with endometrial carcinoma

Salvatore Dessole, Giovanni Rubattu, Mario Farina, Giampiero Capobianco, Pier Luigi Cherchi, Francesco Tanda, Omar Gallo, Guido Ambrosini

Journal:

American Journal of Obstetrics and Gynecology

Year:

2006

Language:

english

File:

PDF, 332 KB

english, 2006

33

The sixth special issue on computational econometrics

David A. Belsley, Cathy W.S. Chen, Christian Francq, Giampiero Gallo, Lynda Khalaf, Erricos John Kontoghiorghes, Herman K. van Dijk

Journal:

Computational Statistics & Data Analysis

Year:

2012

Language:

english

File:

PDF, 154 KB

english, 2012

34

Shrinkage estimation of semiparametric multiplicative error models

Christian T. Brownlees, Giampiero M. Gallo

Journal:

International Journal of Forecasting

Year:

2011

Language:

english

File:

PDF, 652 KB

english, 2011

35

Modeling of DR CALUX® bioassay response to screen PCDDs, PCDFs, and dioxin-like PCBs in farm milk from dairy herds

Igor Fochi, Gianfranco Brambilla, Stefania P. De Filippis, Silvia De Luca, Gianfranco Diletti, Annarita Fulgenzi, Pasquale Gallo, Nicola Iacovella, Giampiero Scortichini, Luigi Serpe, Floriana Vinci,

Journal:

Regulatory Toxicology and Pharmacology

Year:

2008

Language:

english

File:

PDF, 197 KB

english, 2008

36

Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

Luca, Giovanni De, Gallo, Giampiero M.

Journal:

Econometric Reviews

Year:

2008

Language:

english

File:

PDF, 691 KB

english, 2008

37

The External-Injection experiment at the SPARC_LAB facility

Rossi, Andrea R., Bacci, Alberto, Belleveglia, Marco, Chiadroni, Enrica, Cianchi, Alessandro, Di Pirro, Giampiero, Ferrario, Massimo, Gallo, Alessandro, Gatti, Giancarlo, Maroli, Cesare, Mostacci, And

Journal:

Nuclear Instruments and Methods in Physics Research Section A: Accelerators, Spectrometers, Detectors and Associated Equipment

Year:

2014

Language:

english

File:

PDF, 2.41 MB

english, 2014

38

The effects of trading activity on market volatility

Gallo, Giampiero M., Pacini, Barbara

Journal:

European Journal of Finance

Year:

2000

Language:

english

File:

PDF, 228 KB

english, 2000

39

Hypopharyngeal mucosal flap reconstruction in endoscopic supraglottic laryngectomy

Mannelli, Giuditta, Parrinello, Giampiero, Gallo, Oreste

Journal:

American Journal of Otolaryngology

Year:

2013

Language:

english

File:

PDF, 966 KB

english, 2013

40

Volatility transmission across markets: a Multichain Markov Switching model

Gallo, Giampiero M., Otranto, Edoardo

Journal:

Applied Financial Economics

Year:

2007

Language:

english

File:

PDF, 307 KB

english, 2007

41

[IEEE 2013 IEEE 14th International Symposium on "A World of Wireless, Mobile and Multimedia Networks" (WoWMoM) - Madrid (2013.06.4-2013.06.7)] 2013 IEEE 14th International Symposium on "A World of Wireless, Mobile and Multimedia Networks" (WoWMoM) - WIDAR: Bistatic WI-fi Detection And Ranging for off-the-shelf devices

Gallo, Pierluigi, Mangione, Stefano, Tarantino, Giampiero

Year:

2013

Language:

english

File:

PDF, 454 KB

english, 2013

42

A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS

Otranto, Edoardo, Gallo, Giampiero M.

Journal:

Econometric Reviews

Year:

2002

Language:

english

File:

PDF, 224 KB

english, 2002

43

Oxidative Stress and ‘Monocyte Reprogramming’ in Septic Patients with Acute Kidney Injury Requiring CRRT

Silva, Sandra, de Cal, Massimo, Cruz, Dinna, Lentini, Paolo, Corradi, Valentina, Gallo, Giampiero, Salvatori, Gabriella, Verbine, Anton, Pogoshyan, Lusine, Nalesso, Federico, Brendolan, Alessandra, Pi

Journal:

Blood Purification

Year:

2008

Language:

english

File:

PDF, 103 KB

english, 2008

44

Mixture Processes for Financial Intradaily Durations

De Luca, Giovanni, Gallo, Giampiero M.

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2004

Language:

english

File:

PDF, 372 KB

english, 2004

45

Early News is Good News: The Effects of Market Opening on Market Volatility

Gallo, Giampiero M., Pacini, Barbara

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

1998

Language:

english

File:

PDF, 632 KB

english, 1998

46

Hybrid Repair of Thoracic and Thoracoabdominal Aortic Aneurysms (Mega Aortic Syndrome) With Lupiae Technique

Esposito, Giampiero, Cappabianca, Giangiuseppe, Contegiacomo, Gaetano, Labriola, Giuseppe, Gallo, Nunzio, Labriola, Cataldo

Journal:

Innovations Technology and Techniques in Cardiothoracic and Vascular Surgery

Year:

2011

Language:

english

File:

PDF, 523 KB

english, 2011

47

Forecasting realized volatility with changing average levels

Gallo, Giampiero M., Otranto, Edoardo

Journal:

International Journal of Forecasting

Year:

2015

Language:

english

File:

PDF, 777 KB

english, 2015

48

Volume Assessment in Mechanically Ventilated Critical Care Patients Using Bioimpedance Vectorial Analysis, Brain Natriuretic Peptide, and Central Venous Pressure

House, Andrew A., Haapio, Mikko, Lentini, Paolo, Bobek, Ilona, de Cal, Massimo, Cruz, Dinna N., Virzì, Grazia M., Carraro, Rizzieri, Gallo, Giampiero, Piccinni, Pasquale, Ronco, Claudio

Journal:

International Journal of Nephrology

Year:

2011

Language:

english

File:

PDF, 109 KB

english, 2011

49

Economics in Theory and Practice: An Eclectic Approachby Lawrence R. Klein; Jaime Marquez

Review by: Giampiero Gallo

Journal:

Southern Economic Journal

Year:

1991

Language:

english

File:

PDF, 141 KB

english, 1991

50

Forecast Error Decomposition in a Nonlinear Model with Provisional Data

Giampiero M. Gallo

Journal:

Annales d'Économie et de Statistique

Year:

1991

Language:

english

File:

PDF, 2.30 MB

english, 1991