← All authors Gianmarco Vacca Università Cattolica del Sacro Cuore (from arXiv:2106.04218, 2021) · ORCID · OpenAlex
17 papers in scope · 16 published · 2 on the econ.EM arXiv · 60 citations · h-index 4 (over the papers listed here)
Papers (2 of 17)
Measuring Thematic Funds Performance via an Approach Based on Observable and Latent Factors
published 2026 · European Financial Management
Climate-induced geopolitical risk and financial interdependence in Europe: A systemic transition perspective
published 2025 · Structural Change and Economic Dynamics
Detecting exuberance phenomena in thematic investing
published 2025 · Finance research letters · 1 citations · first circulated 2024
with Maria Debora Braga, Giulia Genoni
bootCT: An R Package for Bootstrap Cointegration Tests in ARDL Models
published 2025 · The R Journal · 1 citations
Detecting bubbles via FDR and FNR based on calibrated p -values
published 2024 · Quantitative Finance · 1 citations
Sentiment dynamics and volatility: A study based on GARCH-MIDAS and machine learning
published 2024 · Finance research letters · 7 citations
with Luigi Riso
Dating financial bubbles via online multiple testing procedures
published 2023 · Finance research letters · 5 citations
published 2022 · Economic Modelling · 25 citations
A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
published 2021 · The North American Journal of Economics and Finance · 4 citations
Forecasting in GARCH models with polynomially modified innovations
published 2021 · International Journal of Forecasting · 7 citations
working paper 2021 · arXiv
Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions
published 2020 · Risks · 2 citations
Kurtosis analysis in GARCH models with Gram–Charlier-like innovations
published 2019 · Economics Letters · 3 citations
Identifying and Testing Recursive vs. Interdependent Links in Simultaneous Equation Models via the SIRE Package
published 2019 · The R Journal · 1 citations
with Grazia Zoia Maria
%Gra: an SAS macro for generalized redundancy analysis
published 2016 · Journal of Statistical Computation and Simulation
with Pietro Giorgio Lovaglio
Human capital estimation in higher education
published 2016 · Advances in Data Analysis and Classification · 1 citations
with Pietro Giorgio Lovaglio, Stefano Verzillo
%ERA : A SAS Macro for Extended Redundancy Analysis
published 2016 · Journal of Statistical Software · 2 citations
with Pietro Giorgio Lovaglio
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