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Giampiero M. Gallo

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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


Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. G.M. Gallo & Edoardo Otranto, 2012. "The Markov Switching Asymmetric Multiplicative Error Model," Working Paper CRENoS 201205, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  2. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Multiplicative Error Models," Econometrics Working Papers Archive 2011_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti", revised Apr 2011.
  3. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and idiosyncratic Risk for large Panels of Assets," Working Papers ECARES ECARES 2010-019, ULB -- Universite Libre de Bruxelles.
  4. Giovanni De Luca & Giampiero Gallo, 2010. "A Time-varying Mixing Multiplicative Error Model for Realized Volatility," Econometrics Working Papers Archive wp2010_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti".
  5. Fabrizio Cipollini & Giampiero M. Gallo, 2009. "Automated Variable Selection in Vector Multiplicative Error Models," Econometrics Working Papers Archive wp2009_02, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti".
  6. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009. "Semiparametric vector MEM," Econometrics Working Papers Archive wp2009_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti".
  7. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2009. "Intra-daily Volume Modeling and Prediction for Algorithmic Trading," Econometrics Working Papers Archive wp2009_01, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti".
  8. 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".
  9. 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".
  10. 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".
  11. 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".
  12. 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".
  13. 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".
  14. 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".
  15. 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".
  16. 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".
  17. 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.
  18. 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".
  19. 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".
  20. 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".
  21. 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".
  22. 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.
  23. 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".
  24. 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".
  25. 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".
  26. 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".
  27. 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".
  28. 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".
  29. 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".
  30. 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".
  31. Gallo, Giampiero M. & Granger, Clive William John & Jeon, Yongil, 1999. "The impact of the use of forecasts in information sets," Research Notes 99-7, Deutsche Bank Research.
  32. Gallo, Giampiero M., 1999. "Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone," University of California at San Diego, Economics Working Paper Series qt4nb356d3, Department of Economics, UC San Diego.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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 (actuellement Département des Sciences Économiques), Université de Genève.

    RePEc:cdl:ucsdec:550597 is not listed on IDEAS
    RePEc:cdl:ucsdec:550585 is not listed on IDEAS
  38. 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.

Articles

  1. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2012. "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 222-223, 08.
  2. Brownlees, Christian T. & Gallo, Giampiero M., 2011. "Shrinkage estimation of semiparametric multiplicative error models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 365-378, April.
  3. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Intra-daily Volume Modeling and Prediction for Algorithmic Trading," Journal of Financial Econometrics, Oxford University Press, vol. 9(3), pages 489-518, Summer.
  4. Cipollini, Fabrizio & Gallo, Giampiero M., 2010. "Automated variable selection in vector multiplicative error models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2470-2486, November.
  5. Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 29-56, Winter.
  6. Giampiero Gallo, 2010. "Castle, J. L. and Shephard, N.: The methodology and practice of econometrics," Journal of Economics, Springer, vol. 101(1), pages 99-101, September.
  7. Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti, 2010. "Exchange market pressure: some caveats in empirical applications," Applied Economics, Taylor and Francis Journals, vol. 42(19), pages 2435-2448.
  8. Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor and Francis Journals, vol. 28(1-3), pages 102-120.
  9. Giampiero M. Gallo & Margherita Velucchi, 2009. "Market interdependence and financial volatility transmission in East Asia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 24-44.
  10. 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.
  11. Christian T. Brownlees & Giampiero M. Gallo, 2008. "On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 513-539, Fall.
  12. 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.
  13. 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.
  14. 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.
  15. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
  16. 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.
  17. 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.
  18. 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.
  19. Giovanni De Luca & Giampiero M. Gallo, 2004. "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 8.
  20. 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.
  21. 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, vol. 49(1), pages 2.
  22. 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.
  23. Gallo, Giampiero M, 2001. "Modelling the Impact of Overnight Surprises on Intra-Daily Volatility," Australian Economic Papers, Wiley Blackwell, vol. 40(4), pages 567-80, December.
  24. Giampiero 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.
  25. Giampiero M. Gallo & Grayham E. Mizon, 1998. "Simulation methods in econometrics: editors' introduction," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages Ci-Cvii.
  26. 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.
  27. Giampiero M. 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 3.
  28. Giampiero GALLO, 1991. "Forecast Error Decomposition in a Nonlinear Model with Provisional Data," Annales d'Economie et de Statistique, ENSAE, issue 22, pages 103-128.
  29. Gallo, Giampiero M & Gilli, Manfred H, 1990. "How to Strip a Model to Its Essential Elements," Computer Science in Economics & Management, Society for Computational Economics, vol. 3(2), pages 199-214.

NEP Fields

27 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 (24) 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 2009-03-07 2009-03-07 2010-05-08 2010-06-18 2010-08-14 2011-04-23 2012-04-10 Author is listed
  3. NEP-ETS: Econometric Time Series (17) 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 2010-05-08 2011-04-23 2012-04-10 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 (5) 2007-06-11 2008-05-17 2008-05-17 2008-05-17 2010-05-08 Author is listed
  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 (5) 2007-01-28 2007-01-28 2007-06-11 2008-05-17 2009-03-07 Author is listed
  11. NEP-ORE: Operations Research (4) 2008-05-17 2008-05-17 2010-05-08 2011-04-23
  12. NEP-RMG: Risk Management (5) 2003-11-30 2008-05-17 2008-05-17 2010-06-18 2010-08-14 Author is listed
  13. NEP-SEA: South East Asia (2) 2007-01-28 2008-05-17

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