Giampiero M. Gallo

Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

Professor of Econometrics

Viale G.B. Morgagni, 59

Florence, 50134

Italy

http://www.disia.unifi.it/gallog

SCHOLARLY PAPERS

23

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142

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Scholarly Papers (23)

1.

Intra-Daily Volume Modeling and Prediction for Algorithmic Trading

Number of pages: 39 Posted: 24 Apr 2009 Last Revised: 19 Feb 2010
Christian T. Brownlees, Fabrizio Cipollini and Giampiero M. Gallo
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 1,865 (7,947)

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2.

Financial Econometric Analysis at Ultra-High Frequency: Data Handling Concerns

Universita' di Firenze, Dipartimento di Statistica G. Parenti Working Paper No. 2006-3
Number of pages: 30 Posted: 03 Mar 2006
Christian T. Brownlees and Giampiero M. Gallo
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 1,308 (14,131)

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3.

Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

Number of pages: 59 Posted: 31 May 2010 Last Revised: 07 Oct 2014
London School of Economics and Political Science, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and Vlerick Business School
Downloads 859 (26,436)

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Vector Multiplicative Error Model, Seminonparametric Estimation, Volatility

Comparison of Volatility Measures: A Risk Management Perspective

Universita' di Firenze, Dipartimento di Statistica G. Parenti Working Paper No. 2008-3
Number of pages: 38 Posted: 12 Dec 2007 Last Revised: 27 Apr 2009
Christian T. Brownlees and Giampiero M. Gallo
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 566 (45,864)

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Volatility Measures, VaR Forecasting, GARCH, MEM, P-Splines

Comparison of Volatility Measures: A Risk Management Perspective

Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 29-56, 2010
Posted: 28 Dec 2009
Christian T. Brownlees and Giampiero M. Gallo
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

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C22, C51, C52, C53, GARCH, MEM, P-splines, VaR, volatility measures

5.

Multiplicative Error Models

Number of pages: 26 Posted: 27 May 2011
Christian T. Brownlees, Fabrizio Cipollini and Giampiero M. Gallo
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 415 (68,354)

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MEM, Realized Volatility, Forecasting

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

NYU Working Paper No. FIN-08-036
Number of pages: 21 Posted: 09 Mar 2009
Robert F. Engle, Giampiero M. Gallo and Margherita Velucchi
New York University - Leonard N. Stern School of Business - Department of Economics, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 169 (173,893)

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

Number of pages: 21 Posted: 14 Oct 2008 Last Revised: 10 Dec 2013
Robert F. Engle, Giampiero M. Gallo and Margherita Velucchi
New York University - Leonard N. Stern School of Business - Department of Economics, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 97 (267,849)

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Volatility, Multiplicative Error Models, Asian Crisis, Market integration

7.

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

Number of pages: 38 Posted: 28 Jan 2009
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 231 (130,072)

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GARCH, MEM, Volatility, Copula, financial time series

8.
Downloads 228 (131,762)

Semiparametric Vector MEM

Number of pages: 21 Posted: 12 Oct 2008
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 146 (196,969)

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GARCH, GMM, MEM, NYSE, number of trades, realized volatility, volumes

Semiparametric Vector MEM

NYU Working Paper No. FIN-08-041
Number of pages: 21 Posted: 09 Mar 2009
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 82 (298,275)

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Vector Multiplicative Error Models:Representation and Inference

NYU Working Paper No. FIN-07-048
Number of pages: 53 Posted: 03 Nov 2008
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 81 (300,532)

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Vector Multiplicative Error Models: Representation and Inference

NYU Working Paper No. SC-CFE-06-01
Number of pages: 54 Posted: 07 Nov 2008
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 35 (447,251)

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Vector Multiplicative Error Models: Representation and Inference

NBER Working Paper No. w12690
Number of pages: 54 Posted: 20 Nov 2006 Last Revised: 05 Sep 2010
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 32 (460,924)

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Vector Multiplicative Error Models: Representation and Inference

NBER Working Paper No. t0331
Number of pages: 54 Posted: 31 May 2011
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 17 (549,086)

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10.

Go with the Flow: A GAS Model For Predicting Intra-Daily Volume Shares

Number of pages: 19 Posted: 11 Dec 2013
Francesco Calvori, Fabrizio Cipollini and Giampiero M. Gallo
University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA), Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 164 (178,296)

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High Frequency Financial Data, Prediction, Trading Volumes, Volume Shares, VWAP, GAS

A Multiple Indicators Model for Volatility Using Intra-Daily Data

NYU Working Paper No. S-DRP-03-17
Number of pages: 27 Posted: 05 Nov 2008
Robert F. Engle and Giampiero M. Gallo
New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 98 (266,019)

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volatility modeling, volatility forecasting, GARCH, VIX, high-low range, realized volatility

A Multiple Indicators Model for Volatility Using Intra-Daily Data

NBER Working Paper No. w10117
Number of pages: 28 Posted: 05 Dec 2003 Last Revised: 25 Aug 2010
Giampiero M. Gallo and Robert F. Engle
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 60 (355,446)

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12.

Shrinkage Estimation of Semiparametric Multiplicative Error Models

Number of pages: 29 Posted: 28 Jan 2009
Christian T. Brownlees and Giampiero M. Gallo
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 116 (235,022)

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13.

Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

Universita' di Firenze Working Paper No. 2005-11
Number of pages: 29 Posted: 29 Mar 2006
Giampiero M. Gallo and Giovanni De Luca
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and Universita' di Napoli Parthenope
Downloads 110 (244,077)

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Market microstructure, ACD models, Exponential mixtures, Price durations

14.

On the Interaction between Ultra-High Frequency Measures of Volatility

Universita' di Firenze, Dipartimento di Statistica Econometrics Working Paper No. 2007-01
Number of pages: 22 Posted: 25 May 2007
Giampiero M. Gallo and Margherita Velucchi
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 96 (267,762)

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Volatility, Multiplicative Error Models, Realized Variance, Bi-power Variance, Squared Returns, Jumps

15.

Forecasting Realized Volatility with Changes of Regimes

Number of pages: 40 Posted: 06 Feb 2014
Giampiero M. Gallo and Edoardo Otranto
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of Messina
Downloads 91 (277,113)

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MEM, regime switching, realized volatility, volatility persistence, volatility forecasting

16.

Ex Post and Ex Ante Analysis of Provisional Data

IGIER Working Paper No. 141
Number of pages: 22 Posted: 02 Dec 1998
Massimiliano Giuseppe Marcellino and Giampiero M. Gallo
European University Institute and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 81 (297,754)

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17.

Copula-Based Specification of Vector MEMs

Number of pages: 25 Posted: 06 Apr 2016
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 43 (405,946)

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GARCH; MEM; Realized Volatility; Trading Volume; Trading Activity; Copula; Volatility Forecasting

18.

On Heteroskedasticity and Regimes in Volatility Forecasting

Number of pages: 22 Posted: 19 Sep 2017
Fabrizio Cipollini, Giampiero M. Gallo and Edoardo Otranto
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of Messina
Downloads 38 (424,985)

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Realized Volatility, Forecasting, Measurement Errors, HAR, AMEM, Markov Switching, Volatility of Volatility

19.

Adaptive Lasso for Vector Multiplicative Error Models

Number of pages: 34 Posted: 04 Aug 2018
Luca Cattivelli and Giampiero M. Gallo
Scuola Normale Superiore and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 33 (445,506)

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vMEM, Volatility Spillovers, Volatility Forecasting, Adaptive Lasso, Variable Selection, Oracle Property, European Debt Crisis

20.

Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach

Computational Statistics & Data Analysis, Vol. 52, No. 6, pp. 3011-3026, 2008
Posted: 30 Apr 2009
Giampiero M. Gallo and Edoardo Otranto
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of Messina

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Markov Switching, Multiple chains, Volatility, Spillover effect, Comovements

21.

On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria

Journal of Financial Econometrics, Vol. 6, Issue 4, pp. 513-539, 2008
Posted: 16 Oct 2008
Christian T. Brownlees and Giampiero M. Gallo
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

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C22, C52, C53, focused information criteria, forecasting, model selection, realized volatility, value at risk

22.

Solving Large Sparse Systems of Equations in Econometric Models

Journal of Forecasting, Vol. 6, No. 3, pages 167-180, 1987
Posted: 29 May 2007
Giampiero M. Gallo and Henk Don
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and CPB Netherlands Bureau of Economic Policy Analysis

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Solution algorithms, Feedback, Newton's method, Equation reordering, Econometric models

23.

A Comparison of Complementary Automatic Modeling Methods: Retina and Pcgets

Econometric Theory, Vol. 21, No. 1, pp. 262-277, February 1, 2005
Posted: 26 Mar 2006
Complutense University of Madrid - Facultad de Económicas y Empresariales, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of California, San Diego (UCSD) - Department of Economics

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