34 results on '"Gallo, Giampiero M."'
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2. Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model
3. A dynamic conditional approach to forecasting portfolio weights
4. On classifying the effects of policy announcements on volatility
5. Realized volatility forecasting: Robustness to measurement errors
6. A Dynamic Conditional Approach to Portfolio Weights Forecasting
7. Doubly Multiplicative Error Models with Long– and Short–run Components
8. Using Mixed-Frequency and Realized Measures in Quantile Regression
9. Measuring the Effects of Unconventional Policies on Stock Market Volatility
10. Modeling Euro STOXX 50 volatility with common and market-specific components
11. On the asymmetric impact of macro–variables on volatility
12. Adaptive Lasso for Vector Multiplicative Error Models
13. On Heteroskedasticity and Regimes in Volatility Forecasting
14. Copula-Based Specification of Vector MEMs
15. Forecasting realized volatility with changing average levels
16. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
17. Forecasting Realized Volatility with Changes of Regimes
18. Go with the Flow: A GAS Model For Predicting Intra-Daily Volume Shares
19. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
20. Multiplicative Error Models
21. Automated variable selection in vector multiplicative error models
22. Intra-Daily Volume Modeling and Prediction for Algorithmic Trading
23. Comparison of Volatility Measures: A Risk Management Perspective
24. A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics
25. Volatility spillovers, interdependence and comovements: A Markov Switching approach
26. Shrinkage Estimation of Semiparametric Multiplicative Error Models
27. Semiparametric Vector MEM
28. A MEM-Based Analysis of Volatility Spillovers in East Asian Financial Markets
29. On the Interaction between Ultra-High Frequency Measures of Volatility
30. A multiple indicators model for volatility using intra-daily data
31. Volatility estimation via hidden Markov models
32. Financial Econometric Analysis at Ultra-High Frequency: Data Handling Concerns
33. Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
34. Ex Post and Ex Ante Analysis of Provisional Data
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