Publications

Articles

2006
• The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes
  Antonio Matas-Mir, Denise. R. Osborn, Marco J. Lombardi
  forthcoming Journal of Applied Econometrics
  abstract: - full text:
• A Multiple Indicators Model for Volatility Using Intra-Daily Data
  Robert F. Engle, Giampiero M. Gallo
  Journal of Econometrics, 131, 3-27 (doi:10.1016/j.econom.2005.01.018)
  abstract: - full text:
• Volatility Estimation via Hidden Markov Models
  Alessandro Rossi, Giampiero M. Gallo
  Journal of Empirical Finance, 13, 203-230 (doi:10.1016/j.empfin.2005.09.003)
  abstract: - full text:
• Bayesian inference for alpha-stable distributions: A random walk MCMC approach
  Marco J. Lombardi
  forthcoming CSDA
  abstract: - full text:
• On-line Bayesian Estimation of Signals in Symmetric alpha-Stable Noise
  Marco J. Lombardi and Simon J. Godsill
  IEEE transactions on signal processing, 54, 775-779
  abstract: - full text:

2005
• A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets
  Teodosio Perez-Amaral, Halbert White, Giampiero M. Gallo
  Econometric Theory, 21, 262-277, 2005.
  abstract: - full text:

2004
• Mixture Processes for Financial Intradaily Durations
  Giovanni De Luca, Giampiero M. Gallo
  Studies in Nonlinear Dynamics and Econometrics, Volume 8; N. 2; Article 8. 2004
  abstract: - full text:

2003
• A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)
  Teodosio Perez-Amaral, Halbert White, Giampiero M. Gallo
  Oxford Bulletin of Economics and Statistics, 65-81, 821-838 , 2003.
  abstract: - full text:

2002
• A Nonparametric Bayesian Approach to Detect the Number of Regimes in Switching Models
  Edoardo Otranto, Giampiero M. Gallo
  Econometric Reviews, 21, 477 496, 2002.
  abstract: - full text:
• The Impact of the Use of Forecasts in Information Sets
  Giampiero M. Gallo, C.W.J. Granger, Y. Jeon
  IMF Staff Papers, 49, 4-21, 2002.
  abstract: - full text:
• Analytic Hessian Matrices and the Computation of FIGARCH Estimates
  Giampiero M. Gallo, Marco J. Lombardi
  Statistical Methods and Applications, 11: 247-264, 2002.
  abstract: - full text:

2001
• Modelling the Impact of Overnight Surprises on Intra-daily Volatility
  Giampiero M. Gallo
  Australian Economic Papers, 40, 567-580, 2001.
  abstract: - full text:
• Dati finanziari ad alta frequenza: trattamento ed applicazioni
  Massimiliano Cecconi, Marco J. Lombardi
  Scienza e Business 9: 17-24, 2001
  abstract: - full text:

2000
• Risk-related Asymmetries in Foreign Exchange Markets
  Giampiero M. Gallo, Barbara Pacini
  Nonlinear Econometric Modelling in Time Series, edited by W. Barnett, D.Hendry, S. Hylleberg, T. Teräsvirta, D. Tiostheim e A.H. Wurtz, Cambridge University Press,
  abstract: - full text:
• The Effects of Trading Activity on Stochastic Volatility
  Giampiero M. Gallo, Barbara Pacini
  European Journal of Finance, 6, 163-75, 2000.
  abstract: - full text:

Working Papers

2006
• Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns
  Christian T. Brownlees, Giampiero M. Gallo
  abstract: - full text:
• Multi Model Inference for Conditionally Heteroschedastic Dynamic Models
  Christian T. Brownlees
  abstract: - full text:

2005
• Volatility Transmission in Financial Markets: A New Approach
  Edoardo Otranto, Giampiero M. Gallo
  abstract: - full text:
• Ultra-high frequency measures of volatility: an MEM-based approach
  Giampiero M. Gallo, Margherita Velucchi
  
• Percezioni e fondamentali: strabismo?
  Giampiero M. Gallo, Margherita Velucchi
  full text:
• Time-Varying Mixing Weights in Mixture ACD Models
  Giovanni De Luca, Giampiero M. Gallo
  abstract: - full text:
• Theoretical and Empirical Issues in Assessing Exchange Market Pressure for Developing Countries
  Simone Bertoli, Giorgio Ricchiuti
  abstract: - full text:
• Indirect estimation of alpha-stable stochastic volatility models
  Marco J. Lombardi, Giorgio Calzolari
  abstract: - full text:

2003
• A Multiple Indicators Model For Volatility Using Intra-Daily Data
  Robert F. Engle, Giampiero M. Gallo
  abstract: - full text:
• Overnight Innovations and Volatility in the Stock Exchange Market: An Analysis with Ultra-High Frequency Data
  Christian T. Brownlees, Giampiero M. Gallo, Paul Kofman
  abstract: - full text:

2002
• GARCH-based Volatility Forecasts for Market Volatility Indices
  Massimiliano Cecconi, Giampiero M. Gallo, Marco J. Lombardi
  abstract: - full text:

2001
• Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns
  Giampiero M. Gallo, Yongmiao Hong, Tae-Hwy Lee
  abstract: - full text:
• A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models
  Edoardo Otranto, Giampiero M. Gallo
  abstract: - full text:

Books

2002
• Metodi quantitativi per i mercati finanziari
  Giampiero M. Gallo, Barbara Pacini
  Carocci Editore
  Software allegato fornito da TraderLink

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