← All authors Giulio Palomba Marche Polytechnic University (from arXiv:2606.08141, 2026) · ORCID · OpenAlex
19 papers in scope · 18 published · 1 on the econ.EM arXiv · 201 citations · h-index 6 (over the papers listed here)
Papers (1 of 19)
working paper 2026 · arXiv
Matrix-valued AutoRegressive (MAR) models in gretl
published 2026 · Computational Statistics · 1 citations
with Andrea Fares Bucci, Marco Tedeschi
Commodity price dynamics in the era of energy transition: Exploring the substitutability of clean energy
published 2025 · Economic Analysis and Policy · 2 citations
with Marco Tedeschi
Geopolitical Risks’ Spillovers Across Countries and on Commodity Markets: A Dynamic Analysis
published 2024 · Energy RESEARCH LETTERS · 3 citations · first circulated 2023
with Marco Tedeschi
Reconciling Tracking Error Volatility and Value-at-Risk in Active Portfolio Management: A New Frontier
published 2024 · Computational Economics · 1 citations
with Riccardo Lucchetti, Mihaela Nicolau, Luca Riccetti
Contagion among European financial indices, evidence from a quantile VAR approach
published 2024 · Economic Systems
with Marco Tedeschi
Disentangling the geopolitical risk and its effects on commodities. Evidence from a panel of G8 countries
published 2023 · Resources Policy · 38 citations
with Matteo Foglia, Marco Tedeschi
The role of uncertainty in forecasting volatility comovements across stock markets
published 2023 · Economic Modelling · 5 citations
starvars: An R Package for Analysing Nonlinearities in Multivariate Time Series
published 2022 · The R Journal · 3 citations
Analytical Gradients of Dynamic Conditional Correlation Models
published 2020 · Journal of risk and financial management · 2 citations
with Massimiliano Caporin, Riccardo Lucchetti
Asset management with TEV and VaR constraints: the constrained efficient frontiers
published 2019 · Studies in Economics and Finance · 4 citations · first circulated 2013
with Luca Riccetti
Dynamic relationships between spot and futures prices. The case of energy and gold commodities
published 2015 · Resources Policy · 46 citations
with Mihaela Nicolau
Portfolio frontiers with restrictions to tracking error volatility and value at risk
published 2012 · Journal of Banking & Finance · 22 citations · first circulated 2011
with Luca Riccetti
A model for pricing Italian Contemporary Art paintings at auction
published 2011 · The Quarterly Review of Economics and Finance · 6 citations
with Nicoletta Marinelli
Simulation-based tests of forward-looking models under VAR learning dynamics
published 2010 · Journal of Applied Econometrics · 16 citations · first circulated 2007
Nonlinear adjustment in US bond yields: An empirical model with conditional heteroskedasticity
published 2009 · Economic Modelling · 5 citations · first circulated 2008
with Riccardo Lucchetti
Testing similarities of short-run inflation dynamics among EU-25 countries after the Euro
published 2008 · Empirical Economics · 22 citations
with Emma Sarno, Alberto Zazzaro
A Cross-Country Model for the Influence of the Pre-Trade Transparency on Market Liquidity and Price Volatility
published 2008 · The Journal of Trading · 2 citations
with Caterina Lucarelli, Camilla Mazzoli
Multivariate GARCH models and the Black-Litterman approach for tracking error constrained portfolios: an empirical analysis
published 2008 · Global Business and Economics Review · 23 citations · first circulated 2006
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).