← All authors Giampiero M. Gallo New York University (from arXiv:2601.21534, 2026) · ORCID · OpenAlex
61 papers in scope · 59 published · 2 on the econ.EM arXiv · 2,445 citations · h-index 23 (over the papers listed here)
Papers (2 of 61)
working paper 2026 · arXiv
Regime changes and spatial dependence in the 2020 US presidential election polls
published 2025 · Spatial Statistics · 1 citations
Modeling meaningful volatility events to classify monetary policy announcements
published 2025 · Big Data Research
working paper 2024 · arXiv
Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS*
published 2023 · Oxford Bulletin of Economics and Statistics · 3 citations
Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall
published 2023 · Annals of Operations Research · 9 citations · first circulated 2020
with Vincenzo Candila, Lea Petrella
Unconventional Policies Effects on Stock Market Volatility: The MAP Approach
published 2022 · Journal of the Royal Statistical Society Series C (Applied Statistics) · first circulated 2020
Multiplicative Error Models: 20 years on
published 2022 · Econometrics and Statistics · 13 citations · first circulated 2021
On classifying the effects of policy announcements on volatility
published 2021 · International Journal of Approximate Reasoning
Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model
published 2021 · Econometrics and Statistics · 22 citations
with Alessandra Amendola, Vincenzo Candila
A dynamic conditional approach to forecasting portfolio weights
published 2021 · International Journal of Forecasting · 6 citations · first circulated 2020
Energy and non–energy Commodities: Spillover Effects on African Stock Markets.
published 2020 · Journal of Statistical and Econometric Methods · 5 citations
with Alessandra Amendola, Marinella Boccia, Vincenzo Candila
Realized volatility forecasting: Robustness to measurement errors
published 2020 · International Journal of Forecasting · 46 citations · first circulated 2019
Realized Variance Modeling: Decoupling Forecasting from Estimation*
published 2020 · Journal of Financial Econometrics · 8 citations
Doubly Multiplicative Error Models with Long– and Short–run Components
published 2020 · Socio-Economic Planning Sciences · 1 citations
Choosing Between Weekly and Monthly Volatility Drivers Within a Double Asymmetric GARCH-MIDAS Model
published 2020 · Springer proceedings in mathematics & statistics
with Alessandra Amendola, Vincenzo Candila
Adaptive Lasso for vector Multiplicative Error Models
published 2019 · Quantitative Finance · 7 citations · first circulated 2018
with Luca Cattivelli
Modeling Euro STOXX 50 volatility with common and market-specific components
published 2018 · Econometrics and Statistics · 9 citations
On the asymmetric impact of macro–variables on volatility
published 2018 · Economic Modelling · 60 citations
with Alessandra Amendola, Vincenzo Candila
Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
published 2018 · Econometric Research in Finance · 1 citations
with Giovanni De Luca, Danilo Carità
Combining Sharp and Smooth Transitions in Volatility Dynamics: A Fuzzy Regime Approach
published 2017 · Journal of the Royal Statistical Society Series C (Applied Statistics) · 11 citations
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
published 2017 · Econometrics · 15 citations
Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics
published 2016 · Journal of Economics
Forecasting realized volatility with changing average levels
published 2015 · International Journal of Forecasting · 64 citations
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
published 2014 · Journal of Econometrics · 51 citations
SEMIPARAMETRIC VECTOR MEM
published 2012 · Journal of Applied Econometrics · 58 citations · first circulated 2008
The sixth special issue on computational econometrics
published 2012 · Computational Statistics & Data Analysis
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
published 2010 · The Review of Economics and Statistics · 125 citations · first circulated 2008
with Robert F. Engle, Margherita Velucchi
Shrinkage estimation of semiparametric multiplicative error models
published 2010 · International Journal of Forecasting · 16 citations · first circulated 2008
Intra-daily Volume Modeling and Prediction for Algorithmic Trading
published 2010 · Journal of Financial Econometrics · 94 citations
Castle, J. L. and Shephard, N.: The methodology and practice of econometrics
published 2010 · Journal of Economics
Automated variable selection in vector multiplicative error models
published 2009 · Computational Statistics & Data Analysis · 23 citations · first circulated 2008
Comparison of Volatility Measures: a Risk Management Perspective
published 2009 · Journal of Financial Econometrics · 194 citations · first circulated 2008
Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
published 2008 · Econometric Reviews · 33 citations · first circulated 2005
with Giovanni De Luca
Market interdependence and financial volatility transmission in East Asia
published 2008 · International Journal of Finance & Economics · 19 citations
with Margherita Velucchi
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
published 2008 · Journal of Financial Econometrics · 23 citations
Exchange market pressure: some caveats in empirical applications
published 2008 · Applied Economics · 28 citations · first circulated 2006
with Simone Bertoli, Giorgio Ricchiuti
Volatility spillovers, interdependence and comovements: A Markov Switching approach
published 2007 · Computational Statistics & Data Analysis · 123 citations
Volatility transmission across markets: a Multichain Markov Switching model
published 2007 · Applied Financial Economics · 46 citations · first circulated 2005
Frontiers in Time Series Analysis: Introduction
published 2006 · Oxford Bulletin of Economics and Statistics
Financial econometric analysis at ultra-high frequency: Data handling concerns
published 2006 · Computational Statistics & Data Analysis · 308 citations
Volatility estimation via hidden Markov models
published 2006 · Journal of Empirical Finance · 71 citations · first circulated 2002
with Alessandro Rossi, A. Rossi
The econometrics of macroeconomics, finance, and the interface
published 2005 · Journal of Econometrics · 7 citations
A multiple indicators model for volatility using intra-daily data
published 2005 · Journal of Econometrics · 513 citations · first circulated 2003
with Robert F. Engle, Robert Engle
A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
published 2005 · Econometric Theory · 26 citations · first circulated 2004
with Teodosio Pérez-Amaral, Halbert White, Teodosio Pérez Amaral
Mixture Processes for Financial Intradaily Durations
published 2004 · Studies in Nonlinear Dynamics and Econometrics · 55 citations
with Giovanni De Luca
A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)*
published 2003 · Oxford Bulletin of Economics and Statistics · 61 citations
with Teodosio Pérez-Amaral, Halbert White
Analytic Hessian matrices and the computation of FIGARCH estimates
published 2002 · Statistical Methods & Applications · 10 citations
with M. Lombardi, Marco Lombardi
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
published 2002 · Econometric Reviews · 51 citations · first circulated 2001
Modelling the Impact of Overnight Surprises on Intra‐daily Volatility
published 2001 · Australian Economic Papers · 31 citations
The effects of trading activity on market volatility
published 2000 · European Journal of Finance · 117 citations
with Barbara Pacini
Ex post and ex ante analysis of provisional data
published 1999 · Journal of Forecasting · 13 citations · first circulated 1998
Time-varying/sign-switching risk perception on foreign exchange markets
published 1998 · International Journal of Finance & Economics
with Barbara Pacini
Simulation methods in econometrics: editors’ introduction
published 1998 · Econometrics Journal · 7 citations
with Grayham E. Mizon
Early News is Good News: The Effects of Market Opening on Market Volatility
published 1998 · Studies in Nonlinear Dynamics and Econometrics · 16 citations
with Barbara Pacini
Forecast uncertainty reduction in nonlinear models
published 1996 · Statistical Methods & Applications · 3 citations
Volatilité conditionnelle, signaux d'échange et perception du risque
published 1996 · Économie & prévision
with Barbara Pacini
Economics in Theory and Practice: An Eclectic Approach
published 1991 · Southern Economic Journal
with Lawrence R. Klein, Jaime Márquez
Forecast Error Decomposition in a Nonlinear Model with Provisional Data
published 1991 · Annals of Economics and Statistics · 1 citations
no link
How to Strip a Model to Its Essential Elements
published 1990 · Computational Economics · 5 citations · first circulated 1988
with Manfred Gilli
Solving large sparse systems of equations in econometric models
published 1987 · Journal of Forecasting · 36 citations
with F.J. Henk Don, Henk Don
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