Danilo Vassallo

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

84

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

A DCC-Type Approach for Realized Covariance Modelling With Score-Driven Dynamics

Number of pages: 39 Posted: 08 Jan 2019 Last Revised: 15 Jun 2020
Danilo Vassallo, Giuseppe Buccheri and Fulvio Corsi
Scuola Normale Superiore, University of Rome Tor Vergata and University of Pisa - Department of Economics
Downloads 58 (391,050)

Abstract:

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Realized Covariance, Dynamic Dependencies, Covariance forecasting, Score-driven models, Portfolio construction

2.

A Tale of Two Sentiment Scales: Disentangling Short-Run and Long-Run Components in Multivariate Sentiment Dynamics

Number of pages: 37 Posted: 04 Oct 2019
Danilo Vassallo, Giacomo Bormetti and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics and Università di Bologna
Downloads 26

Abstract:

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Sentiment Analysis; Dynamic Factor Models; Kalman FIlter; Expectation Maximization; Quantile Regression