Giorgio Vocalelli

University of Rome Tor Vergata

Via di Tor Vergata

Rome, Lazio 00133

Italy

  • University of Rome Tor Vergata

SCHOLARLY PAPERS

2

DOWNLOADS

344

TOTAL CITATIONS

0

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

Global Money Supply and Energy and Non-Energy Commodity Prices: A MS-TV-VAR Approach

Number of pages: 39 Posted: 09 Mar 2023
Stefano Grassi, Francesco Ravazzolo, Joaquin Vespignani and Giorgio Vocalelli
University of Rome Tor Vergata, Free University of Bozen-Bolzano, University of Tasmania - School of Economics and Finance and University of Rome Tor Vergata
Downloads 179 (334,308)

Abstract:

Loading...

Global money supply, Energy and non-energy prices, Markov-Switching V

2.

Estimating Risk in Illiquid Markets: a Model of Market Friction With Stochastic Volatility

CEIS Working Paper No. 506
Number of pages: 56 Posted: 01 Feb 2021 Last Revised: 09 Nov 2021
Giuseppe Buccheri, Stefano Grassi and Giorgio Vocalelli
University of Verona - Department of Economics, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance and University of Rome Tor Vergata
Downloads 165 (358,874)

Abstract:

Loading...

Market microstructure, Illiquidity, Volatility estimation, Score-driven models