Margherita Velucchi

University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)

Viale Morgagni, 59

Florence, 50134

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

381

SSRN CITATIONS
Rank 22,686

SSRN RANKINGS

Top 22,686

in Total Papers Citations

6

CROSSREF CITATIONS

34

Scholarly Papers (2)

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 (NYU) - Department of Finance, Corte dei Conti - Italian Court of Audits and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 177 (189,379)
Citation 4

Abstract:

Loading...

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 (NYU) - Department of Finance, Corte dei Conti - Italian Court of Audits and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 106 (285,054)
Citation 5

Abstract:

Loading...

Volatility, Multiplicative Error Models, Asian Crisis, Market integration

2.

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
Corte dei Conti - Italian Court of Audits and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 98 (298,664)

Abstract:

Loading...

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