Fabrizio Cipollini

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

Viale Morgagni, 59

Florence, Florence 50134

Italy

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 12,558

SSRN RANKINGS

Top 12,558

in Total Papers Downloads

4,074

SSRN CITATIONS
Rank 19,573

SSRN RANKINGS

Top 19,573

in Total Papers Citations

13

CROSSREF CITATIONS

32

Scholarly Papers (12)

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 1,922 (8,496)
Citation 4

Abstract:

Loading...

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 451 (67,969)
Citation 6

Abstract:

Loading...

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 428 (72,296)
Citation 6

Abstract:

Loading...

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 249 (131,734)

Abstract:

Loading...

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 - Leonard N. Stern School of Business - Department of Economics and Corte dei Conti - Italian Court of Audits
Downloads 248 (132,289)
Citation 8

Abstract:

Loading...

GARCH, MEM, Volatility, Copula, financial time series

6.
Downloads 238 (138,327)
Citation 3

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 Corte dei Conti - Italian Court of Audits
Downloads 151 (209,458)
Citation 3

Abstract:

Loading...

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 Corte dei Conti - Italian Court of Audits
Downloads 87 (311,933)
Citation 1

Abstract:

Loading...

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 183 (176,312)
Citation 2

Abstract:

Loading...

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 - Leonard N. Stern School of Business - Department of Economics and Corte dei Conti - Italian Court of Audits
Downloads 85 (316,541)

Abstract:

Loading...

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 Corte dei Conti - Italian Court of Audits
Downloads 38 (470,827)

Abstract:

Loading...

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 Corte dei Conti - Italian Court of Audits
Downloads 34 (489,985)

Abstract:

Loading...

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 Corte dei Conti - Italian Court of Audits
Downloads 23 (554,476)

Abstract:

Loading...

9.

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 59 (383,425)
Citation 1

Abstract:

Loading...

MEM, Model Selection, Analytic Derivatives, GMM, Copulas

10.

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 55 (396,554)
Citation 3

Abstract:

Loading...

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

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 - Leonard N. Stern School of Business - Department of Economics and Corte dei Conti - Italian Court of Audits
Downloads 48 (420,872)

Abstract:

Loading...

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

12.

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 DCU Business School
Downloads 13 (634,793)

Abstract:

Loading...

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