Fabrizio Cipollini

Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni)

Viale Morgagni, 59

Florence, Florence 50134

Italy

SCHOLARLY PAPERS

14

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5,809

SSRN CITATIONS
Rank 21,195

SSRN RANKINGS

Top 21,195

in Total Papers Citations

28

CROSSREF CITATIONS

33

Scholarly Papers (14)

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 Corte dei Conti - Italian Court of Audits
Downloads 2,510 (10,688)
Citation 8

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2.

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 Corte dei Conti - Italian Court of Audits
Downloads 676 (73,146)
Citation 9

Abstract:

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MEM, Realized Volatility, Forecasting

3.

Parents Use of Subsidiaries to 'Push Down' Earnings Management: Evidence from Italy

Contemporary Accounting Research, Forthcoming
Number of pages: 50 Posted: 08 May 2013 Last Revised: 15 Jul 2017
Massimiliano Bonacchi, Fabrizio Cipollini and Paul Zarowin
Free University of Bolzano - Faculty of Economics and Management, Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and New York University (NYU) - Department of Accounting
Downloads 492 (108,722)
Citation 6

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Earnings management, Private subsidiaries, Consolidation process, Accounting accruals, Real activities

4.

Determinants of SME Credit Worthiness Under Basel Rules: The Value of Credit History Information

PSL Quarterly Review, Vol. 66, No. 264, pp. 21-47, 2013
Number of pages: 27 Posted: 28 Apr 2013 Last Revised: 30 Apr 2013
Francesco Dainelli, Francesco Giunta and Fabrizio Cipollini
University of Florence - Department of Business Administration, University of Florence - Dipartimento di Scienze Aziendali and Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni)
Downloads 457 (118,628)

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Basel accord, Small business financing, credit historical data, rating

5.

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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 316 (179,171)
Citation 11

Abstract:

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GARCH, MEM, Volatility, Copula, financial time series

6.
Downloads 279 (204,011)
Citation 4

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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 175 (316,572)
Citation 3

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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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 104 (480,156)
Citation 1

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7.

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 Corte dei Conti - Italian Court of Audits
Downloads 278 (204,757)
Citation 4

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

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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 123 (422,964)

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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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 60 (669,580)

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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: 06 Mar 2022
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 48 (744,512)

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Vector Multiplicative Error Models: Representation and Inference

NBER Working Paper No. t0331
Number of pages: 54 Posted: 31 May 2011 Last Revised: 29 May 2023
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 45 (765,394)

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9.

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), Corte dei Conti - Italian Court of Audits and University of Messina
Downloads 163 (336,831)
Citation 5

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

10.

A Dynamic Conditional Approach to Portfolio Weights Forecasting

Number of pages: 35 Posted: 22 May 2020
Fabrizio Cipollini, Giampiero M. Gallo and Alessandro Palandri
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), Corte dei Conti - Italian Court of Audits and University of Florence - Department of Statistics, Computer Science, Applications
Downloads 90 (524,498)

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Portfolio Allocation, Realized Volatility, Realized Correlations, Dynamic Conditional Modeling, Portfolio Weights Modeling

11.

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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 77 (576,030)

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

12.

Uncovering the impact of regulated Bitcoin futures on volatility and volume

Number of pages: 45 Posted: 17 Mar 2022
Fiammetta Menchetti, Fabrizio Cipollini and Fabrizia Mealli
University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA), Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and University of Florence - Department of Statistics
Downloads 75 (584,806)

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Bitcoin, Causal inference, Counterfactual analysis, Futures, Volatility, Volume

13.

Automated Variable Selection in Vector Multiplicative Error Models

Number of pages: 41 Posted: 02 Feb 2009
Fabrizio Cipollini
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni)
Downloads 73 (593,555)
Citation 1

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MEM, Model Selection, Analytic Derivatives, GMM, Copulas

14.

Doubly Multiplicative Error Models with Long– and Short–run Components

Number of pages: 30 Posted: 29 Jun 2020
CSEF - University of Naples Federico II, University of Salerno, Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and Corte dei Conti - Italian Court of Audits
Downloads 47 (734,110)

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Financial markets, Realized volatility, Multiplicative Error Model, MIDAS, GARCH, HAR