Giampiero M. Gallo

MaRDI QIDQ291999zbMATH OpenORCIDWikidataFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Unconventional policies effects on stock market volatility: the MAP approach Journal of the Royal Statistical Society. Series C. Applied Statistics	2024-11-27	Paper
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach Journal of the Royal Statistical Society. Series C. Applied Statistics	2024-11-20	Paper
On classifying the effects of policy announcements on volatility International Journal of Approximate Reasoning	2021-10-27	Paper
On classifying the effects of policy announcements on volatility International Journal of Approximate Reasoning	2021-10-27	Paper
Adaptive Lasso for vector multiplicative error models Quantitative Finance	2020-09-14	Paper
A multiple indicators model for volatility using intra-daily data Journal of Econometrics	2016-06-10	Paper
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures Journal of Econometrics	2014-08-06	Paper
Automated variable selection in vector multiplicative error models Computational Statistics and Data Analysis	2014-04-14	Paper
Volatility spillovers, interdependence and comovements: a Markov switching approach Computational Statistics and Data Analysis	2009-06-12	Paper
Financial econometric analysis at ultra-high frequency: Data handling concerns Computational Statistics and Data Analysis	2009-04-06	Paper
Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models Econometric Reviews	2009-03-17	Paper
Forecast uncertainty reduction in nonlinear models Journal of the Italian Statistical Society	2009-02-03	Paper
Financial econometric analysis at ultra-high frequency: Data handling concerns Computational Statistics and Data Analysis	2006-12-01	Paper
Mixture Processes for Financial Intradaily Durations Studies in Nonlinear Dynamics & Econometrics	2006-01-27	Paper
Early News is Good News: The Effects of Market Opening on Market Volatility Studies in Nonlinear Dynamics & Econometrics	2006-01-27	Paper
A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets Econometric Theory	2005-10-18	Paper
Analytic Hessian matrices and the computation of FIGARCH estimates Statistical Methods and Applications	2005-03-03	Paper
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS Econometric Reviews	2004-09-22	Paper
scientific article; zbMATH DE number 1944297 (Why is no real title available?)	2003-07-01	Paper
Regression diagnostic techniques to detect balanced space-to-time ratios in STARMA models Metron	1999-11-08	Paper
scientific article; zbMATH DE number 1327259 (Why is no real title available?)	1999-08-23	Paper

Research outcomes over time

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