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Information about:
Giampiero M. Gallo

Personal Details | Affiliation | Works
This is information that was supplied by Giampiero Gallo in registering through RePEc. If you are Giampiero M. Gallo , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Giampiero
Middle Name: M.
Last Name: Gallo
Suffix:

RePEc Short-ID: pga48

Email:
Homepage: http://www.ds.unifi.it/gallog
Postal Address: Dipartimento di Statistica "G.Parenti" Università di Firenze Viale G.B. Morgagni 59 50134 Firenze Italy
Phone: +39 055 4237 273

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  2. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008. "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive wp2008_09, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  3. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  4. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2007. "A Model for Multivariate Non-negative Valued Processes in Financial Econometrics," Econometrics Working Papers Archive wp2007_16, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  5. Christian T. Brownlees & Giampiero Gallo, 2007. "Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_02, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  6. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Published as:

  7. Giampiero Gallo & Margherita Velucchi, 2007. "On the Interaction between Ultra–high Frequency Measures of Volatility," Econometrics Working Papers Archive wp2007_01, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  8. Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Published as:

  9. Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti, 2006. "Exchange Market Pressure: Some Caveats In Empirical Applications," Econometrics Working Papers Archive wp2006_17, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  10. Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Published as:

  11. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," NBER Working Papers 12690, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

  12. Giovanni De Luca & Giampiero M. Gallo, 2005. "Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometrics Working Papers Archive wp2005_11, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Other versions:

  13. Giampiero M. Gallo & Edoardo Otranto, 2005. "Volatility Transmission in Financial Markets: A New Approach," Econometrics Working Papers Archive wp2005_10, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  14. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2004. "A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets," Econometrics Working Papers Archive wp2004_12, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Published as:

  15. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

  16. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Econometrics Working Papers Archive wp2003_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Other versions:
    Published as:

  17. Alessandro Rossi & Giampiero M. Gallo, 2002. "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive wp2002_14, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Published as:

  18. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive wp2002_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  19. Massimiliano Cecconi & Giampiero M. Gallo & Marco J. Lombardi, 2002. "GARCH-based Volatility Forecasts for Market Volatility Indices," Econometrics Working Papers Archive wp2002_06, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  20. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  21. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2001. "Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets," Econometrics Working Papers Archive wp2001_01, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Published as:

  22. Giampiero M. Gallo, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Volatility," Econometrics Working Papers Archive wp2001_02, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Published as:

  23. Edoardo Otranto & Giampiero M. Gallo, 2001. "A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models," Econometrics Working Papers Archive wp2001_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Published as:

  24. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 1999. "The Impact of the Use of Forecasts in Information Sets," University of California at San Diego, Economics Working Paper Series 99-18, Department of Economics, UC San Diego. [Downloadable!]

  25. Renzo G. Avesani & Giampiero M. Gallo, 1999. "Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone," University of California at San Diego, Economics Working Paper Series 99-21, Department of Economics, UC San Diego. [Downloadable!]

  26. Gallo, G.M. & Pacini, B., 1998. "Early News Is Good News. The Effects of Market Opening on Market Volatility," Economics Working Papers eco98/3, European University Institute.
    Published as:

  27. Avesani, Renzo & Gallo, Giampiero M & Salmon, Mark, 1995. "On the Evolution of Credibility and Flexible Exchange Rate Target Zones," CEPR Discussion Papers 1123, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  28. Renzo G. Avesani & Giampiero M. Gallo, 1991. "Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone," Department of Economics Working Papers 9104, Department of Economics, University of Trento, Italia.

  29. Renzo G.Avesani & Giampiero M. Gallo & Peter Pauly, 1989. "Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries," Department of Economics Working Papers 8902, Department of Economics, University of Trento, Italia.

  30. Giampiero M. Gallo & Manfred Gilli, 1988. "How To Strip A Model To Its Essential Elements," Cahiers du Département d'Econométrie 88.06, Département d'Econométrie, Université de Genève.
    Published as:

  31. Giampiero M. Gallo & Massimiliano Marcellino, . "Ex Post and Ex Ante Analysis of Provisional Data," Working Papers 141, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]

Articles

  1. Gallo, Giampiero M. & Otranto, Edoardo, 2008. "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3011-3026, February. [Downloadable!] (restricted)
    Other versions:

  2. Giampiero M. Gallo & Edoardo Otranto, 2007. "Volatility transmission across markets: a Multichain Markov Switching model," Applied Financial Economics, Taylor and Francis Journals, vol. 17(8), pages 659-670. [Downloadable!] (restricted)
    Other versions:

  3. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March. [Downloadable!] (restricted)
    Other versions:

  4. Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27. [Downloadable!] (restricted)
    Other versions:

  5. Anindya Banerjee & Giampiero Gallo & Edoardo Otranto, 2006. "Frontiers in Time Series Analysis: Introduction," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 679-682, December. [Downloadable!] (restricted)

  6. Brownlees, C.T. & Gallo, G.M., 2006. "Financial econometric analysis at ultra-high frequency: Data handling concerns," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2232-2245, December. [Downloadable!] (restricted)
    Other versions:

  7. Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F., 2006. "The econometrics of macroeconomics, finance, and the interface," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 1-2. [Downloadable!] (restricted)

  8. Perez-Amaral, Teodosio & Gallo, Giampiero M. & White, Halbert, 2005. "A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets," Econometric Theory, Cambridge University Press, vol. 21(01), pages 262-277, February. [Downloadable!]
    Other versions:

  9. Giovanni De Luca & Giampiero Gallo, 2004. "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 1223-1223. [Downloadable!] (restricted)

  10. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December. [Downloadable!] (restricted)
    Other versions:

  11. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2002. "Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets," IMF Staff Papers, Palgrave Macmillan Journals, vol. 49(1), pages 2. [Downloadable!] (restricted)
    Other versions:

  12. Edoardo Otranto & Giampiero Gallo, 2002. "A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 477-496. [Downloadable!] (restricted)
    Other versions:

  13. Gallo, Giampiero M, 2001. "Modelling the Impact of Overnight Surprises on Intra-Daily Volatility," Australian Economic Papers, Blackwell Publishing, vol. 40(4), pages 567-80, December. [Downloadable!] (restricted)
    Other versions:

  14. Giampiero M. Gallo, Barbara Pacini, 2000. "The effects of trading activity on market volatility," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 163-175, June. [Downloadable!] (restricted)

  15. Giampiero M. Gallo & Grayham E. Mizon, 1998. "Simulation methods in econometrics: editors' introduction," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages Ci-Cvii.

  16. Gallo, Giampiero M & Pacini, Barbara, 1998. "Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 241-59, July. [Downloadable!] (restricted)

  17. Giampiero Gallo & Barbara Pacini, 1998. "Early News is Good News: The Effects of Market Opening on Market Volatility," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(4), pages 1034-1034. [Downloadable!] (restricted)
    Other versions:

  18. Gallo, Giampiero M & Gilli, Manfred H, 1990. "How to Strip a Model to Its Essential Elements," Computer Science in Economics & Management, Springer, vol. 3(2), pages 199-214.
    Other versions:

  19. RePEc:imf:imfstp:v:49:y:2002:i:1:p:2 is not listed on IDEAS

NEP Fields

20 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2007-01-28
  2. NEP-ECM: Econometrics (17) 1998-11-23 2002-06-13 2002-07-10 2003-10-12 2003-11-30 2005-05-23 2006-11-25 2007-01-28 2007-01-28 2007-01-28 2007-01-28 2007-01-28 2007-06-11 2007-06-11 2008-05-17 2008-05-17 2008-05-17 Author is listed
  3. NEP-ETS: Econometric Time Series (14) 2002-06-13 2002-07-04 2003-11-30 2005-05-23 2006-11-25 2007-01-28 2007-01-28 2007-01-28 2007-01-28 2007-01-28 2007-06-11 2007-06-11 2008-05-17 2008-05-17 Author is listed
  4. NEP-FIN: Finance (2) 2002-07-04 2005-05-23
  5. NEP-FMK: Financial Markets (3) 2002-07-04 2008-05-17 2008-05-17
  6. NEP-FOR: Forecasting (4) 2007-06-11 2008-05-17 2008-05-17 2008-05-17
  7. NEP-IFN: International Finance (2) 2002-06-13 2007-01-28
  8. NEP-MIC: Microeconomics (1) 2006-11-25
  9. NEP-MON: Monetary Economics (1) 2007-01-28
  10. NEP-MST: Market Microstructure (4) 2007-01-28 2007-01-28 2007-06-11 2008-05-17
  11. NEP-ORE: Operations Research (2) 2008-05-17 2008-05-17
  12. NEP-RMG: Risk Management (3) 2003-11-30 2008-05-17 2008-05-17
  13. NEP-SEA: South East Asia (2) 2007-01-28 2008-05-17
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This page was last updated on 2008-8-27.

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