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Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti"

Econometrics Working Papers Archive

Contact information of Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti":
Postal: Viale G.B. Morgagni, 59 - I-50134 Firenze - Italy
Phone: +39 055 4237211
Fax: +39 055 4223560
Web page: http://www.ds.unifi.it/
More information through EDIRC

For technical questions regarding this series, please contact (Margherita Velucchi)
Series handle: repec:fir:econom

2009

wp2009_03 Semiparametric vector MEM
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo [Downloadable!]
wp2009_02 Automated Variable Selection in Vector Multiplicative Error Models
by Fabrizio Cipollini & Giampiero M. Gallo [Downloadable!]
wp2009_01 Intra-daily Volume Modeling and Prediction for Algorithmic Trading
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo [Downloadable!]

2008

wp2008_09 A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi [Downloadable!]
wp2008_03 Comparison of Volatility Measures: a Risk Management Perspective
by Christian T. Brownlees & Giampiero Gallo [Downloadable!]

2007

wp2007_16 A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo [Downloadable!]
wp2007_11 Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach
by Giampiero Gallo & Edoardo Otranto [Downloadable!]
wp2007_04 Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
by Christian T. Brownlees & Giampiero Gallo [Downloadable!]
wp2007_03 Regime Switching: Italian Financial Markets over a Century
by Margherita Velucchi [Downloadable!]
wp2007_02 Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria
by Christian T. Brownlees & Giampiero Gallo [Downloadable!]
wp2007_01 On the Interaction between Ultra–high Frequency Measures of Volatility
by Giampiero Gallo & Margherita Velucchi [Downloadable!]

2006

wp2006_17 Exchange Market Pressure: Some Caveats In Empirical Applications
by Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti [Downloadable!]
wp2006_15 Vector Multiplicative Error Models: Representation and Inference
by Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo [Downloadable!]
wp2006_12 Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
by Giovanni De Luca & Giampiero Gallo [Downloadable!]
wp2006_07 Indirect estimation of alpha-stable stochastic volatility models
by Marco Lombardi & Giorgio Calzolari [Downloadable!]
wp2006_04 Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model
by Giampiero Gallo & Edoardo Otranto [Downloadable!]
wp2006_03 Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns
by Christian T. Brownlees & Giampiero Gallo [Downloadable!]

2005

wp2005_15 The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes
by Antonio Matas-Mir & Denise R. Osborn & Marco Lombardi [Downloadable!]
wp2005_11 Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
by Giovanni De Luca & Giampiero M. Gallo [Downloadable!]
wp2005_10 Volatility Transmission in Financial Markets: A New Approach
by Giampiero M. Gallo & Edoardo Otranto [Downloadable!]

2004

wp2004_12 A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets
by Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White [Downloadable!]
wp2004_11 Bayesian inference for alpha-stable distributions: a random walk MCMC approach
by Marco J. Lombardi [Downloadable!]
wp2004_07 Indirect estimation of alpha-stable distributions and processes
by Marco J. Lombardi & Giorgio Calzolari [Downloadable!]
wp2004_05 On-line Bayesian estimation of AR signals in symmetric alpha-stable noise
by Marco J. Lombardi & Simon J. Godsill [Downloadable!]

2003

wp2003_07 A Multiple Indicators Model For Volatility Using Intra-Daily Data
by Robert F. Engle & Giampiero M. Gallo [Downloadable!]
wp2003_04 A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)
by Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White [Downloadable!]

2002

wp2002_20 Labor-Cost Effects on Relative Prices between Regions of a Monetary Union: Implications for the EMU
by Giovanni Arese-Visconti [Downloadable!]
wp2002_19 Inflation Differentials before and after the EMU
by Giovanni Arese-Visconti [Downloadable!]
wp2002_14 Volatility Estimation via Hidden Markov Models
by Alessandro Rossi & Giampiero M. Gallo [Downloadable!]
wp2002_11 Tassi di Cambio Reale: Teoria ed Evidenza Empirica
by Giovanni Arese-Visconti [Downloadable!]
wp2002_06 GARCH-based Volatility Forecasts for Market Volatility Indices
by Massimiliano Cecconi & Giampiero M. Gallo & Marco J. Lombardi [Downloadable!]
wp2002_03 Analytic Hessian Matrices and the Computation of FIGARCH Estimates
by Marco J. Lombardi & Giampiero M. Gallo [Downloadable!]

2001

wp2001_04 A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models
by Edoardo Otranto & Giampiero M. Gallo [Downloadable!]
wp2001_03 Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns
by Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee [Downloadable!]
wp2001_02 Modelling the Impact of Overnight Surprises on Intra-daily Volatility
by Giampiero M. Gallo [Downloadable!]
wp2001_01 Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets
by Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon [Downloadable!]

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This page was last updated on 2009-11-3.

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